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Prospective, longitudinal oncology registries enabling advanced real-world evidence: the iOMEDICO experience. [PDF]
ESMO Real World Data Digit OncolJänicke M +3 more
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Optimizing the possession portfolio
Current Opinion in Psychology, 2022Most consumers live surrounded by physical goods, some of which are used often and others that are largely neglected. In this article, we introduce the concept of a "possession portfolio" which we define as an individual's holistic sense (vs. an objective listing) of the totality of the physical goods they own at a given point in time.
Kelly L. Haws, Rebecca Walker Reczek
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Optimal Control of the Portfolio
Automation and Remote Control, 2001zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Kibzun, A. I., Kuznetsov, E. A.
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Drawdown Measure in Portfolio Optimization [PDF]
International Journal of Theoretical and Applied Finance, 2004 A new one-parameter family of risk measures called Conditional Drawdown (CDD) has been proposed. These measures of risk are functionals of the portfolio drawdown (underwater) curve considered in active portfolio management. For some value of the tolerance parameter Alpha, in the case of a single sample path, drawdown functional is defined as the mean ...
ALEXEI CHEKHLOV +2 more
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Metrika, 2002
We address the problem of estimating risk-minimizing portfolios from a sample of historical returns, when the underlying distribution that generates returns exhibits departures from the standard Gaussian assumption. Specifically, we examine how the underlying estimation problem is influenced by marginal heavy tails, as modeled by the univariate Student-
G. J. Lauprete +2 more
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We address the problem of estimating risk-minimizing portfolios from a sample of historical returns, when the underlying distribution that generates returns exhibits departures from the standard Gaussian assumption. Specifically, we examine how the underlying estimation problem is influenced by marginal heavy tails, as modeled by the univariate Student-
G. J. Lauprete +2 more
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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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