Results 11 to 20 of about 830,700 (211)
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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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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Bitcoin and Portfolio Diversification: Portfolio Optimization Approach [PDF]
SSRN Electronic Journal, 2020 This study investigates the performance of Bitcoin as a diversifier under different constraining portfolio optimization frameworks. The study employs different constraining optimization frameworks that seek to maximize risk-adjusted returns (Sharpe ratio) of the portfolio by optimizing allocations to each asset class (asset allocation). The performance
Walid Bakry +3 more
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Producing the tangency portfolio as a corner portfolio [PDF]
RAIRO - Operations Research, 2013 One-fund theorem states that an efficient portfolio in a Mean-Variance (M-V) portfolio selection problem for a set of some risky assets and a riskless asset can be represented by a combination of a unique risky fund (tangency portfolio) and the riskless asset.
Reza Keykhaei, Mohamad Taghi Jahandideh
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Functional Portfolio Optimization in Stochastic Portfolio Theory
SIAM Journal on Financial Mathematics, 2022 In this paper we develop a concrete and fully implementable approach to the optimization of functionally generated portfolios in stochastic portfolio theory. The main idea is to optimize over a family of rank-based portfolios parameterized by an exponentially concave function on the unit interval. This choice can be motivated by the long term stability
Steven Campbell, Ting-Kam Leonard Wong
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International Journal of Neural Systems, 1997 A constant rebalanced portfolio is an asset allocation algorithm which keeps the same distribution of wealth among a set of assets along a period of time. Recently, there has been work on on-line portfolio selection algorithms which are competitive with the best constant rebalanced portfolio determined in hindsight (Cover, 1991; Helmbold et al., 1996;
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Printmaking Exchange Portfolio 2022 [Creative Portfolio] [PDF]
, 2022 Printmaking Exchange Portfolio 2022 is a curated creative portfolio featuring 20cm x 20 cm edition of prints that are exchanged with Australian universities including RMIT, The National Art School, Curtin University and the University of Southern ...
Dennis, Grace +29 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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Ultrasonics Sonochemistry, 2022 Propelled by enormous increase in demand for fuel sources, Canadian oil sands are becoming increasingly important as a fuel source due to their abundance and upgrading capability.
Rija Ansari, Deepak M. Kirpalani
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An examination of Child and Adolescent Mental Health Services for Māori rangatahi [youth]
International Journal of Adolescence and Youth, 2016 This article offers a review of the literature illustrating factors that can contribute to responsive Child and Adolescent Mental Health Services (CAMHS) for Māori (indigenous population of Aotearoa/New Zealand) rangatahi [12–19-year-old youths].
Kahu McClintock +2 more
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