Portfolio Decisions with Higher Order Moments [PDF]
In this paper, we address the global optimization of two interesting nonconvex problems in finance. We relax the normality assumption underlying the classical Markowitz mean-variance portfolio optimization model and consider the incorporation of skewness
Berc Rustem, P. M. Kleniati
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Portfolio Selection in Multipath Routing for Traffic Allocation [PDF]
, 2012 Multiple-path source routing protocols allow a data source node to distribute the total traffic among available paths. In this article, we consider the problem of jammingaware source routing in which the source node performs traffic allocation based on ...
Dr. M. Karunakar Reddy
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Approximating the Growth Optimal Portfolio with a Diversified World Stock Index [PDF]
This paper constructs and compares various total return world stock indices based on daily data. Due to diversification these indices are noticeably similar. A diversification theorem identifies any diversified portfolio as a proxy for the growth optimal
Eckhard Platen, Truc Le
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Enhancing Farm Profitability through Portfolio Analysis: The Case of Spatial Rice Variety Selection [PDF]
This study applies portfolio theory to rice varietal selection decisions to find profit maximizing and risk minimizing outcomes. Results based on data from six counties in the Arkansas Delta for the period 1999–2006 suggest that sowing a portfolio of ...
Watkins, Brad +3 more
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Evolutionary Stability of Portfolio Rules in Incomplete Markets [PDF]
This paper studies the evolution of market shares of portfolio rules in incomplete markets with short-lived assets. Prices are determined endogenously. The performance of a portfolio rule in the process of continuous reinvestment of wealth is determined ...
Klaus Reiner Schenk-Hoppé +1 more
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The regional electricity generation mix in Scotland: A portfolio selection approach [PDF]
Standalone levelised cost assessments of electricity supply options miss an important contribution that renewable and non-fossil fuel technologies can make to the electricity portfolio: that of reducing the variability of electricity costs, and their ...
Peter Mcgregor +3 more
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A Polynomial Optimization Approach to Constant Rebalanced Portfolio Selection [PDF]
We address the multi-period portfolio optimization problem with the constant rebalancing strategy. This problem is formulated as a polynomial optimization problem (POP) by using a mean-variance criterion.
Sotirov, R., Takano, Y.
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Retraction: A novel method based on clustering and decision-making for construction project portfolio selection. [PDF]
PLoS OnePLOS One Editors.
europepmc +1 more source
Portfolio Selection with Endogenous Estimation Risk [PDF]
I explore how investors allocate mental effort to learn about the mean return of a number of assets and I analyze how this allocation changes the portfolio selection problem.
Diego Nocetti
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Mean-Variance-Skewness Portfolio Performance Gauging: A General Shortage Function and Dual Approach [PDF]
This paper proposes a nonparametric efficiency measurement approach for the static portfolio selection problem in mean-variance-skewness space. A shortage function is defined that looks for possible increases in return and skewness and decreases in ...
Kristiaan Kerstens +2 more
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