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On the Optimality of Portfolio Insurance
The Journal of Finance, 1985ABSTRACTThis paper examines the optimality of an insurance strategy in which an investor buys a risky asset and a put on that asset. The put's striking price serves as the insurance level. In complete markets, it is highly unlikely that an investor would utilize such a strategy.
Benninga, Simon, Blume, Marshall E
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Metaheuristics for Portfolio Optimization
2017Portfolio optimization refers to allocating an amount of investors’ wealth to different assets in order to satisfy the investors’ preferences for return and risk. We address the portfolio optimization problem with real-world constraints, where traditional optimization methods fail to efficiently find an optimal or near-optional solution.
Sarah El-Bizri, Nashat Mansour
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ASYMPTOTICALLY OPTIMAL PORTFOLIOS
Mathematical Finance, 1992This paper extends to continuous time the concept of universal portfolio introduced by Cover (1991). Being a performance weighted average of constant rebalanced portfolios, the universal portfolio outperforms constant rebalanced and buy‐and‐hold portfolios exponentially over the long run.
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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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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, 2022Guofu Zhou, Raymond Kan, Xiaolu Wang
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Optimal Portfolio Projections for Skew-Elliptically Distributed Portfolio Returns
Journal of Optimization Theory and Applications, 2023Tomer Shushi +2 more
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