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Complex Valued Risk Diversification [PDF]
, 2018 Risk diversification is one of the dominant concerns for portfolio managers. Various portfolio constructions have been proposed to minimize the risk of the portfolio under some constrains including expected returns.
Kadoya, Takanori +2 more
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The thermodynamics of portfolios [PDF]
Acta Phys. Pol B32 597 (2001), 2000 8 pages, LaTeX, appolb.cls is ...
Piotrowski, E. W, Sładkowski, Jan
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Portfolio optimization for heavy-tailed assets: Extreme Risk Index vs. Markowitz [PDF]
, 2015 Using daily returns of the S&P 500 stocks from 2001 to 2011, we perform a backtesting study of the portfolio optimization strategy based on the extreme risk index (ERI).
Mainik, Georg +2 more
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SSRN Electronic Journal, 2000 Capital flows to developing countries are small and are mostly take the form of loans rather than direct foreign investment. We build a simple model of North-South capital flows that highlights the interplay between diminishing returns, production risk and sovereign risk.
Kraay, Aart +3 more
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ON THE INTERNATIONALIZATION OF PORTFOLIOS * [PDF]
Oxford Economic Papers, 1992 Portfolio theory has been an important component of open economy macroeconomic models. In those models, it is essential to distinguish among several categories of assets, both foreign and domestic, and to specify the demands and supplies. This framework has become increasingly relevant.
Brainard, William C, Tobin, James
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Cover's universal portfolio, stochastic portfolio theory, and the numéraire portfolio [PDF]
Mathematical Finance, 2018 AbstractCover's celebrated theorem states that the long‐run yield of a properly chosen “universal” portfolio is almost as good as that of the best retrospectively chosen constant rebalanced portfolio. The “universality” refers to the fact that this result is model‐free, that is, not dependent on an underlying stochastic process.
Cuchiero, Christa +2 more
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, 2000 Recent research has shown that rich' households save at much higher rates than others (see Carroll (2000); Dynan, Skinner, and Zeldes (1996); Gentry and Hubbard (1998); Huggett (1996); Quadrini (1999)). This paper documents another large difference between the rich and the rest of the population: portfolios of the rich are heavily skewed toward risky ...
Christopher D. Carroll +1 more
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From a Pathophysiological Concept to a New Drug
European Psychiatry, 2022 Although antipsychotics were discovered over fifty years ago, it took another decade until dopamine antagonism was demonstrated as central to their clinical effectiveness.
G. Németh
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International Journal of Adolescence and Youth, 2016 The acceptability of Child and Adolescent Mental Health Services (CAMHS) to indigenous rangatahi (12–19-year-olds) requires investigation. Evaluation tools able to take account of the more holistic approach to the attainment of mental health that ...
Kahu McClintock +3 more
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Microbiome, 2019 The National Institutes of Health (NIH) is the primary federal government agency for biomedical research in the USA. NIH provides extensive support for human microbiome research with 21 of 27 NIH Institutes and Centers (ICs) currently funding this area ...
NIH Human Microbiome Portfolio Analysis Team
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