Results 1 to 10 of about 18,315 (253)
Cover's universal portfolio, stochastic portfolio theory, and the numéraire portfolio. [PDF]
Math Financ, 2019 AbstractCover's celebrated theorem states that the long‐run yield of a properly chosen “universal” portfolio is almost as good as that of the best retrospectively chosen constant rebalanced portfolio. The “universality” refers to the fact that this result is model‐free, that is, not dependent on an underlying stochastic process.
Cuchiero C, Schachermayer W, Wong TL.
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Portfolio Model Considering Normal Uncertain Preference Relations of Investors [PDF]
EntropyThe paper examines the application of uncertainty theory to portfolio decision making, specifically focusing on constructing portfolio models based on uncertain preference relations.
Yu Zhou, Chun Yan, Xiangrong Wang
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Historical development of portfolio theory [PDF]
Tehnika, 2021 Portfolio theory occupies an essential place in modern finance, while portfolio management grounded on its achievements has been recognized as one of the main tasks of financial experts worldwide.
Leković Miljan M.
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Behavioral portfolio theory and behavioral asset pricing model as an alternative to standard finance concepts [PDF]
Economic Horizons, 2019 The growing gap between standard finance theory and practice has made way for the emergence of new theories and the development of new asset-pricing models.
Miljan Lekovic
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Leptokurtic portfolio theory [PDF]
The European Physical Journal B - Condensed Matter and Complex Systems, 2006 The question of optimal portfolio is addressed. The conventional Markowitz portfolio optimisation is discussed and the shortcomings due to non-Gaussian security returns are outlined. A method is proposed to minimise the likelihood of extreme non-Gaussian drawdowns of the portfolio value.
Robert Kitt, Jaan Kalda
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Multi-period uncertain portfolio selection model with prospect utility function.
PLoS ONE, 2022 In this paper, we discuss a multi-period portfolio optimization problem based on uncertainty theory and prospect theory. We propose an uncertain multi-period portfolio selection model, in which the return utility and risk of investment are measured by ...
Gaohuizi Guo, Yao Xiao, Cuiyou Yao
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Investment risk management by applying contemporary modern portfolio theory [PDF]
Megatrend Revija, 2015 Investment risk is the principal threat to the assets side of the balance sheets of financial institutions. It is evident that investors who concentrate their wealth on one type of securities can rarely be found.
Jakšić Milena, Leković Miljan
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Modern Portfolio Theory and its Applications in Information Retrieval [PDF]
Iranian Journal of Information Processing & ManagementIntroduction and purpose: The portfolio theory is one of the theories in the financial field that was presented by Harry Markowitz. This theory states that investors should diversify their stock portfolio to reduce investment risk. This research has been
Mehdi Rahmani
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Results in Applied Mathematics, 2021 The fuzzy set theory is widely used to describe the uncertainty of financial markets in modern portfolio selection problems. In this study, the credibility theory (a popular branch of the fuzzy set theory) is applied to extend Markowitz’s mean–variance ...
Jagdish Kumar Pahade, Manoj Jha
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Sistemnì Doslìdženâ ta Informacìjnì Tehnologìï, 2020 The problem of constructing an optimal securities portfolio under uncertainty is considered along with the direct and dual problems of fuzzy portfolio optimization. The modified fuzzy portfolio optimization problem is also suggested under a constraint on
Helen Zaychenko, Yuriy Zaychenko
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