Results 221 to 230 of about 32,122 (260)
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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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On the Optimality of Portfolio Insurance
The Journal of Finance, 1985ABSTRACTThis paper examines the optimality of an insurance strategy in which an investor buys a risky asset and a put on that asset. The put's striking price serves as the insurance level. In complete markets, it is highly unlikely that an investor would utilize such a strategy.
Benninga, Simon, Blume, Marshall E
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An Entropy-Based Approach to Portfolio Optimization [PDF]
Entropy, 2020 Peter Joseph Mercurio, Yuehua Wu
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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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Metaheuristics for Portfolio Optimization
2017Portfolio optimization refers to allocating an amount of investors’ wealth to different assets in order to satisfy the investors’ preferences for return and risk. We address the portfolio optimization problem with real-world constraints, where traditional optimization methods fail to efficiently find an optimal or near-optional solution.
Sarah El-Bizri, Nashat Mansour
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Optimal Impulse Control of Portfolios
Mathematics of Operations Research, 1988An investor has the opportunity of holding shares in n risky assets and one nonrisky asset at every time in a fixed interval [t, T]. The risky assets are governed by a stochastic differential equation. At random instants of his choice he may intervene in order to rebalance his portfolio and consume a nonnegative amount of money.
Jerome F. Eastham, Kevin J. Hastings
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Elasticity Approach to Portfolio Optimization
Mathematical Methods of Operations Research (ZOR), 2003Portfolio investment problems in a continuous-time setting are studied. In previous papers, including Merton (1969, 1971) with a stochastic control technique, and Pliska (1986), Cox \& Huang (1989, 1991) and Karatzas, Lehoczky \& Shreve (1987) with a martingale approach, the portfolio problems were formulated with respect to the assets which belong to ...
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The Journal of Risk Finance, 2016
Purpose The purpose of this paper is to show how investors can incorporate the multi-scale nature of asset and factor returns into their portfolio decisions and to evaluate the out-of-sample performance of such strategies. Design/methodology/approach The authors decompose daily return series of common risk factors and of all stocks listed in the Dow
Theo Berger, Christian Fieberg
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Purpose The purpose of this paper is to show how investors can incorporate the multi-scale nature of asset and factor returns into their portfolio decisions and to evaluate the out-of-sample performance of such strategies. Design/methodology/approach The authors decompose daily return series of common risk factors and of all stocks listed in the Dow
Theo Berger, Christian Fieberg
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The specific thesis aims at providing useful information in portfolio management and contributes to the conclusion of the best way to create an efficient portfolio. It consists of two parts, a theoretical and empirical. In the theoretical part, basic information, that an investor should take into consideration, is provided.
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Overfitting in portfolio optimization
Journal of Risk Model Validation, 2023Matteo Maggiolo, Oleg Szehr
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