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Optimal Impulse Control of Portfolios
Mathematics of Operations Research, 1988An investor has the opportunity of holding shares in n risky assets and one nonrisky asset at every time in a fixed interval [t, T]. The risky assets are governed by a stochastic differential equation. At random instants of his choice he may intervene in order to rebalance his portfolio and consume a nonnegative amount of money.
Jerome F. Eastham, Kevin J. Hastings
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Elasticity Approach to Portfolio Optimization
Mathematical Methods of Operations Research (ZOR), 2003Portfolio investment problems in a continuous-time setting are studied. In previous papers, including Merton (1969, 1971) with a stochastic control technique, and Pliska (1986), Cox \& Huang (1989, 1991) and Karatzas, Lehoczky \& Shreve (1987) with a martingale approach, the portfolio problems were formulated with respect to the assets which belong to ...
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The Journal of Risk Finance, 2016
Purpose The purpose of this paper is to show how investors can incorporate the multi-scale nature of asset and factor returns into their portfolio decisions and to evaluate the out-of-sample performance of such strategies. Design/methodology/approach The authors decompose daily return series of common risk factors and of all stocks listed in the Dow
Theo Berger, Christian Fieberg
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Purpose The purpose of this paper is to show how investors can incorporate the multi-scale nature of asset and factor returns into their portfolio decisions and to evaluate the out-of-sample performance of such strategies. Design/methodology/approach The authors decompose daily return series of common risk factors and of all stocks listed in the Dow
Theo Berger, Christian Fieberg
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2015
The problem of investing money is common to citizens, families and companies. In this chapter, we introduce the decision framework of the portfolio selection problem in general terms. We describe the basic concepts of financial assets, capital to invest, performance (rate of return) and risk (measure of dispersion) possibly with the use of examples ...
Mansini R., Ogryczak W., Speranza M. G.
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The problem of investing money is common to citizens, families and companies. In this chapter, we introduce the decision framework of the portfolio selection problem in general terms. We describe the basic concepts of financial assets, capital to invest, performance (rate of return) and risk (measure of dispersion) possibly with the use of examples ...
Mansini R., Ogryczak W., Speranza M. G.
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Overfitting in portfolio optimization
Journal of Risk Model Validation, 2023Matteo Maggiolo, Oleg Szehr
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The specific thesis aims at providing useful information in portfolio management and contributes to the conclusion of the best way to create an efficient portfolio. It consists of two parts, a theoretical and empirical. In the theoretical part, basic information, that an investor should take into consideration, is provided.
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Optimal Portfolio Choice with Estimation Risk: No Risk-Free Asset Case
Management Science, 2022Raymond Kan, Xiaolu Wang, Guofu Zhou
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Optimal Portfolio Projections for Skew-Elliptically Distributed Portfolio Returns
Journal of Optimization Theory and Applications, 2023Nicola Loperfido +2 more
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A Mean Field Game of Optimal Portfolio Liquidation
Mathematics of Operations Research, 2021Guanxing Fu +2 more
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