Optimization of Financial Asset Neutrosophic Portfolios

Optimal Financial Portfolios

This article considers classes of reward-risk optimization problems that arise from different choices of reward and risk measures. In certain examples the generic problem reduces to linear or quadratic programming problems. We state an algorithm based on a sequence of convex feasibility problems for the general quasiconcave ratio problem. We also consider reward-risk ratios that are appropriate...

Getting More Out of Two Asset Portfolios

Asset Pricing Tests Using Random Portfolios

Results from two-stage asset pricing tests vary with first-stage design choices and test assets. First, I argue that time-varying betas have higher construct validity than constant loadings as they are not conditional on future (returns) information and more accurately capture time-varying expected returns. Second, randomly generated portfolios as test assets yield, in contrast to the systemati...

International Diversification in Bank Asset Portfolios

Through their transformation of assets, banks carry a considerably degree of non-diversifiable economic risks on their books, and given that banks are extremely sensitive to deadweight costs of financial distress, we ask whether international extensions of credit may improve the diversification of such risks. Using an unpublished data set on the cross-border claims of banks located in four coun...

Pledging Requirements and Bank Asset Portfolios

Under state and Federal law, commercial banks are required to hold government securities as a reserve against government deposits. While these pledging requirements are potentially important links between the asset and liability sides of a bank's portfolio, they have largely been ignored in the professional literature. This omission cannot be justified even if pledging requirements have no effe...