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Application of modern financial portfolio theory to water resource portfolios
Water Science and Technology: Water Supply, 2006exaly
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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Functional Portfolio Optimization in Stochastic Portfolio Theory
SIAM Journal on Financial Mathematics, 2022 In this paper we develop a concrete and fully implementable approach to the optimization of functionally generated portfolios in stochastic portfolio theory. The main idea is to optimize over a family of rank-based portfolios parameterized by an exponentially concave function on the unit interval. This choice can be motivated by the long term stability
Steven Campbell, Ting-Kam Leonard Wong
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