Portfolio Size in Stochastic Portfolio Networks Using Digital Portfolio Theory
نویسندگان
چکیده
منابع مشابه
Portfolio 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: Journal of Mathematical Finance
سال: 2013
ISSN: 2162-2434,2162-2442
DOI: 10.4236/jmf.2013.32028