نتایج جستجو برای: optimal portfolio

تعداد نتایج: 383159  

Journal: :Ekonomická revue - Central European Review of Economic Issues 2014

2010

In portfolio optimization, the inverse covariance matrix prescribes the hedge trades where a portfolio of stocks hedges each one with all the other stocks to minimize portfolio risk. In practice with finite samples, however, multicollinearity makes the hedge trades too unstable to be reliable. By reducing the number of stocks in each hedge trade to curb estimation errors, we motivate a “sparse”...

2010
Nikolai Dokuchaev N. DOKUCHAEV

The paper studies optimal portfolio selection for discrete time market models in meanvariance and goal achieving setting. The optimal strategies are obtained for models with an observed process that causes serial correlations of price changes. The optimal strategies are found to be myopic for the goal-achieving problem and quasi-myopic for the mean variance portfolio. Mathematics Subject Classi...

2008
Shaolin Ji

Continuous-time mean-variance portfolio selection model with nonlinear wealth equations and bankruptcy prohibition is investigated by the dual method. A necessary and sufficient condition which the optimal terminal wealth satisfies is obtained through a terminal perturbation technique. It is also shown that the optimal wealth and portfolio is the solution of a forwardbackward stochastic differe...

2015
Nikolai Dokuchaev NIKOLAI DOKUCHAEV

We discuss modelling possibility of short-term forecasting for market parameters in the portfolio selection problems. We suggest a continuous time financial market model and a discrete time market model featuring this possibility. For these models, optimal portfolio selection problem has an optimal quasi-myopic solution. Computationally, the problem is reduced to a stochastic optimal control pr...

2009

It is well known that the wealthier the household, the larger tends to be the proportion of its total capital portfolio allocated to publicly traded stock, and the larger tends to be the number of individual stock issues included in its portfolio. Using the “homogeneous securities” case of a mean-variance model originally proposed by Michael Brennan, explicit functional forms are obtained for b...

Journal: :Operations Research 2006
Martin B. Haugh Leonid Kogan Jiang Wang

The performance of a given portfolio policy can in principle be evaluated by comparing its expected utility with that of the optimal policy. Unfortunately, the optimal policy is usually not computable, in which case a direct comparison is impossible. In this paper, we solve this problem by using the given portfolio policy to construct an upper bound on the unknown maximum expected utility. This...

2006
Ludger Rüschendorf

In this paper we survey some recent developments on risk measures for portfolio vectors and on the allocation of risk problem. The main purpose to study risk measures for portfolio vectors X = (X1, . . . , Xd) is to measure not only the risk of the marginals separately but to measure the joint risk of X caused by the variation of the components and their possible dependence. Thus an important p...

2008
Qing-Ping Ma

This paper considers the optimal asset allocation problem for defined-contribution pension plan members whose terminal utility is a function of replacement ratio, i.e. the pension-to-final wage ratio. When three asset types are available for investment, the optimal portfolio composition, which is horizon dependent, includes investment in both riskless and risky assets. The investment in risky a...

2004
Y-C Chou

The tool portfolio of a plant refers to the makeup, in quantity and type, of processing machines in the plant. Portfolio planning is a multi-criteria decisiontnaking task involving trade-offs among investment cost, throughput, cycle time and risk. In this paper, an economic decision model is first presented for optimal configuration of portfolio and to determine optimal factory loading. I f pla...

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