Results 1 to 10 of about 499,937 (337)

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
openaire   +5 more sources

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.
europepmc   +8 more sources

Portfolio Model Considering Normal Uncertain Preference Relations of Investors [PDF]

Entropy
The 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
doaj   +2 more sources

Foundations of Portfolio Theory [PDF]

The Journal of Finance, 1991
Prize Lecture to the memory of Alfred Nobel, December 7, 1990.(This abstract was borrowed from another version of this item.)
Markowitz, Harry M.
openaire   +3 more sources

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.
doaj   +1 more source

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
doaj   +1 more source

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
doaj   +3 more sources

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
doaj   +1 more source

On the microeconomic problems studied by portfolio theory [PDF]

, 2012
In the paper we consider economically motivated problems, which are treated with the help of methods of portfolio theory that goes back to the papers by H. Markowitz [1] and J. Tobin [2].
Medvedeva, Marina, Nikonov, Oleg
core   +1 more source

Modern Portfolio Theory and its Applications in Information Retrieval [PDF]

Iranian Journal of Information Processing & Management
Introduction 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
doaj   +1 more source