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Stochastic portfolio optimization: A regret-based approach on volatility risk measures: An empirical evidence from The New York stock market. [PDF]
PLoS OneLarni-Fooeik A, Sadjadi SJ, Mohammadi E.
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Some of the next articles are maybe not open access.
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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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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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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Factor-based portfolio optimization
Economics Letters, 2023zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Jun Kyung Auh, Wonho Cho
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Game-Theoretic Optimal Portfolios
Management Science, 1988We show, for a wide variety of payoff functions, that the expected log optimal portfolio is also game theoretically optimal in a single play or in multiple plays of the stock market. Thus there is no essential conflict between good short-term and long-run performance. Both are achieved by maximizing the conditional expected log return.
Robert Bell, Thomas M. Cover
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