Real Time Investments with Adequate Portfolio Theory

The SPLENDORS Real Time Portfolio Management System

Portfolio Analysis of Investments in Risk Management

In many practical investment situations the amount of available memory on stock data is extremely huge. Thus many investors are attracted to base their decisions on the information "currently available in their minds" (see [1, 2]). In the present paper various risk measurement models having application in the investment management are discussed. First we explain the concept of mean variance eff...

Continuous time portfolio optimization

This paper presents dynamic portfolio model based on the Merton's optimal investment-consumption model, which combines dynamic synthetic put option using risk-free and risky assets. This paper is extended version of methodological paper published by Yuan Yao (2012). Because of the long history of the development of foreign financial market, with a variety of financial derivatives, the study on ...

Modern Portfolio Theory, Digital Portfolio Theory and Intertemporal Portfolio Choice

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...

Real-Time Scheduling Theory

in the directory /pub/techreports. Abstracts and compressed postscript files are available via Real-time, multi-tasking software, such as that used in embedded control systems, is notoriously difficult to develop and maintain. Scheduling theory offers a mathematically-sound way of predicting the timing behaviour of sets of communicating, concurrent tasks, but its principles are often unfamiliar...