Optimal portfolios: new variations of an old theme
نویسنده
چکیده
We survey some recent developments in the area of continuous-time portfolio optimization. These will include the use of options and of defaultable assets as investment classes and the presentation of a worst-case investment approach that takes the possibility of stock market crashes into account.
منابع مشابه
An integrated strategy for vehicle active suspension and anti-lock braking systems
In this paper, a decentralized integrated control structure ...
متن کاملA new methodology for deriving the efficient frontier of stocks portfolios: An advanced risk-return model
In this paper after a general literature review on the concept of Efficient Frontier (EF), an important inadequacy of the Variance based models for deriving EFs and the high necessity for applying another risk measure is exemplified. In this regard for this study the risk measure of Lower Partial Moment of the first order is decided to replace Variance. Because of the particular shape of the pr...
متن کاملComparison of Portfolios Formed by Use of Grid Strategy Model Based on New and Traditional Variables Performance With Sharpe and Treynor Measures (Evidence of IRAN Exchange)
In this research, performance of portfolios formed by use of grid strategy based on new variables (aggressive, indifference and defensive stocks) presented by Rahnamaye Roodposhti (1388), and traditional ones (growth, growth-value and value stocks), calculated with Sharpe and Treynor performance measures and tested by an Active portfolio management approach to identify the portfolios by perform...
متن کاملOn the Computation of Optimal Monotone Mean-Variance Portfolios via Truncated Quadratic Utility
We report a surprising link between optimal portfolios generated by a special type of variational preferences called divergence preferences (cf. [8]) and optimal portfolios generated by classical expected utility. As a special case we connect optimization of truncated quadratic utility (cf. [2]) to the optimal monotone mean-variance portfolios (cf. [9]), thus simplifying the computation of the ...
متن کاملOptimal Liquidation of Derivative Portfolios
We consider the problem facing a risk averse agent who seeks to liquidate or exercise a portfolio of (infinitely divisible) perpetual American style options on a single underlying asset. The optimal liquidation strategy is of threshold form and can be characterised explicitly as the solution of a calculus of variations problem. Apart from a possible initial exercise of a tranche of options, the...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
عنوان ژورنال:
- Comput. Manag. Science
دوره 5 شماره
صفحات -
تاریخ انتشار 2008