Results 1 to 10 of about 19,433 (155)
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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Coherent Diversification Measures in Portfolio Theory: An Axiomatic Foundation
Risks, 2022 We provide an axiomatic foundation for the measurement of correlation diversification in a one-period portfolio model. We propose a set of eight desirable axioms for this class of diversification measures.
Gilles Boevi Koumou, Georges Dionne
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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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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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A Theory of Patent Portfolios [PDF]
SSRN Electronic Journal, 2013 This paper develops a theory of patent portfolios in which firms accumulate an enormous amount of related patents, which makes it impractical to develop new products that avoid inadvertent infringement. We show that patent peace arises if product market competition is weak and patent portfolios are either sufficiently weak or sufficiently strong with ...
Choi, Jay Pil, Gerlach, Heiko
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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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