Notes-portfolio
نویسندگان
چکیده
منابع مشابه
Research Notes and Commentaries Alliance Portfolio Diversity and Firm Performance
In this paper, we offer a comprehensive alliance portfolio diversity construct that includes partner, functional, and governance diversity. Grounding our work primarily with the resourceand dynamic capabilities-based views, we argue that increased diversity in partners’ industry, organizational, and national background will incur added complexity and coordination costs but will provide broadene...
متن کاملAutobiographical notes
I was born in Zagreb (Croatia) on October 26, 1936. My parents were Regina (née Pavić) (April17, 1916, Zagreb–March 9, 1992, Zagreb) and Cvjetko Trinajstić (September 9, 1913, Volosko–October 29, 1998, Richmond, Australia).
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The paper compares three portfolio optimization models. Modern portfolio theory (MPT) is a short-horizon volatility model. The relevant time horizon is the sampling interval. MPT is myopic and implies that investors are not concerned with long-term variance or mean-reversion. Intertemporal portfolio choice is a multiple period model that revises portfolios continuously in response to relevant s...
متن کاملCover’s Universal Portfolio, Stochastic Portfolio Theory and the Numéraire Portfolio
Cover’s celebrated theorem states that the long run yield of a properly chosen “universal” portfolio is as good as the long run yield of the best retrospectively chosen constant rebalanced portfolio. The “universality” pertains to the fact that this result is model-free, i.e., not dependent on an underlying stochastic process. We extend Cover’s theorem to the setting of stochastic portfolio the...
متن کاملPortfolio Size in Stochastic Portfolio Networks Using Digital Portfolio Theory
The investment portfolio with stochastic returns can be represented as a maximum flow generalized network with stochastic multipliers. Modern portfolio theory (MPT) [1] provides a myopic short horizon solution to this network by adding a parametric variance constraint to the maximize flow objective function. MPT does not allow the number of securities in solution portfolios to be specified. Int...
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ژورنال
عنوان ژورنال: Documenta
سال: 2020
ISSN: 0771-8640
DOI: 10.21825/doc.v36i2.16462