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Reflections: Beyond Portfolio Theory: The Next Frontier
, 2005 Keith P. Ambachtsheer
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Information-Theoretic Cost-Benefit Analysis of Hybrid Decision Workflows in Finance. [PDF]
Entropy (Basel)Beaucamp P, Maylor H, Chen M.
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Emergent poverty traps at multiple levels impede social mobility. [PDF]
Humanit Soc Sci CommunDupont C, Roy D.
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2007
Abstract A portfolio is a collection of securities. Portfolio theory is a formal analysis of the relationship between the rates of return on a portfolio of risky securities and the rates of return on the securities contained in that portfolio. The rate of return on a portfolio is a random variable.
Janette Rutterford, Marcus Davison
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Abstract A portfolio is a collection of securities. Portfolio theory is a formal analysis of the relationship between the rates of return on a portfolio of risky securities and the rates of return on the securities contained in that portfolio. The rate of return on a portfolio is a random variable.
Janette Rutterford, Marcus Davison
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SSRN Electronic Journal, 2015
Portfolios are designed to maximize a conservative market value or bid price for the portfolio. Theoretically this bid price is modeled as reflecting a convex cone of acceptable risks supporting an arbitrage free equilibrium of a two price economy.
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Portfolios are designed to maximize a conservative market value or bid price for the portfolio. Theoretically this bid price is modeled as reflecting a convex cone of acceptable risks supporting an arbitrage free equilibrium of a two price economy.
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Computational Economics, 2001
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
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zbMATH Open Web Interface contents unavailable due to conflicting licenses.
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Instantaneous portfolio theory
Quantitative Finance, 2016Instantaneous risk is described by the arrival rate of jumps in log price relatives. As a consequence there is then no concept of a mean return compensating risk exposures, as zero is the only inst...
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SSRN Electronic Journal, 2004
This paper considers the role of valuation in portfolio theory. In particular, we examine value-price ratios and their dynamic properties. Five valuation principles are proposed, namely the separability of prices and valuations, the asymptotic convergence of value-price ratios, the finite horizon convergence of value-price ratios, the predictability of
Kim R. Sawyer, Chang Han Joo
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This paper considers the role of valuation in portfolio theory. In particular, we examine value-price ratios and their dynamic properties. Five valuation principles are proposed, namely the separability of prices and valuations, the asymptotic convergence of value-price ratios, the finite horizon convergence of value-price ratios, the predictability of
Kim R. Sawyer, Chang Han Joo
openaire +1 more source