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Finance Research Letters, 2018
Abstract We successfully show that it is possible to optimize both for risk and for asset allocation without compromising the optimization of individual goals by introducing the novel concept of a compensation portfolio. Therefore, we solve for the global vs.
Rohner, Philippe, Uhl, Matthias W
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Abstract We successfully show that it is possible to optimize both for risk and for asset allocation without compromising the optimization of individual goals by introducing the novel concept of a compensation portfolio. Therefore, we solve for the global vs.
Rohner, Philippe, Uhl, Matthias W
openaire +3 more sources
Portfolio entrepreneurship and resource orchestration
, 2016Research summary This study examines the role of resource orchestration for the exploration and exploitation of opportunities through portfolio entrepreneurship. Adopting a single-case study approach, we identify eight distinctive resource orchestration
C. Baert +3 more
semanticscholar +1 more source
1969
Savers’ investment policies vary according to their circumstances and responsibilities. An explanation of the methods of calculating yields leads to a comparison of high- and low-yielding shares. A brief review of the system of personal taxation is related to the effect of tax on the choice of securities. The chapter concludes with a review of the more
Kenneth Midgley, Ronald G. Burns
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Savers’ investment policies vary according to their circumstances and responsibilities. An explanation of the methods of calculating yields leads to a comparison of high- and low-yielding shares. A brief review of the system of personal taxation is related to the effect of tax on the choice of securities. The chapter concludes with a review of the more
Kenneth Midgley, Ronald G. Burns
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, 1992
(1992). Global Portfolio Optimization. Financial Analysts Journal: Vol. 48, No. 5, pp. 28-43.
F. Black, Robert B. Litterman
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(1992). Global Portfolio Optimization. Financial Analysts Journal: Vol. 48, No. 5, pp. 28-43.
F. Black, Robert B. Litterman
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Mean-absolute deviation portfolio optimization model and its applications to Tokyo stock market
, 1991The purpose of this paper is to demonstrate that a portfolio optimization model using the L 1 risk (mean absolute deviation risk) function can remove most of the difficulties associated with the classical Markowitz's model while maintaining its ...
H. Konno, H. Yamazaki
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Finanzwirtschaft, Banken und Bankmanagement I Finance, Banks and Bank Management, 2019
Gevorg Hunanyan
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Gevorg Hunanyan
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Efficient Portfolios and Hedging Portfolios
1997Among 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 diversification with virtual currency: Evidence from bitcoin
International Review of Financial Analysis, 2019K. Guesmi +3 more
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Portfolio Transition and Transition Portfolios
2002For pension plan sponsors, funds of funds and other investors engaging the services of investment managers, changing investment managers is time consuming and potentially very costly. Factors influencing how portfolio transition between investment managers is managed include:
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Optimum Consumption and Portfolio Rules in a Continuous-Time Model*
, 1975R. C. Merton
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