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Efficient Portfolios and Hedging Portfolios

1997
Among the major applications of ARCH models is the estimation of volatility evolving in time. This estimation allows one to compare portfolios or to build them with desired properties, for instance, those that maximize the expected utility of their return or allow one to hedge several sources of risk.
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Portfolio Selection

Finanzwirtschaft, Banken und Bankmanagement I Finance, Banks and Bank Management, 2019
Gevorg Hunanyan
semanticscholar +1 more source

Policy Portfolios and Portfolio Characteristics

The Journal of Portfolio Management, 2019
In this article, the author provides an alternative to traditional portfolio re-balancing based on changes in asset market values, one informed by equity characteristics. The logic of policy portfolio re-balancing is applied to a framework that uses assets’ 12-month rolling average characteristic values and return volatilities as inputs and re-balances
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Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case

, 1969
R. C. Merton
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Optimum Consumption and Portfolio Rules in a Continuous-Time Model*

, 1975
R. C. Merton
semanticscholar +1 more source

Models of portfolios