The Markowitz frontier of optimal portfolios is valid in both mean–variance space and mean–standard deviation space. There are, however, some curious differences because lines one become curves the other. This article explores explains curiosity. Key Findings ▪ capital allocation line a curve that connects riskless rate with tangency portfolio, but it not line. Volatility can be either s...

This report investigates 2nd Fall and 3rd Fall retention rates by Expected Family Contribution (EFC) for recent full-time, first-time (FTFT) freshman cohorts. This report serves as an update to, and extension of, prior retention by EFC reports that focused on 2 Fall Retention as the sole dependent variable. Sub-groups of interest including First Generation students, minority ethnicity students,...

This paper uses simulation-based portfolio optimization to mitigate the left tail risk of portfolio. The contribution is twofold. (i) We propose Markov regime-switching GARCH model with multivariate normal tempered stable innovation (MRS-MNTS-GARCH) accommodate fat tails, volatility clustering and regime switch. each asset independently follows regime-switch model, while correlation joint model...

The authors investigate the added value of strategically allocating to Chinese A-shares equity market. Their results indicate a positive contribution portfolio that only considers traditional developed and emerging markets bonds. find diversified based on value, quality, momentum factors exhibits significantly better risk-adjusted performance than passive market portfolio. Consequently, A-share...

Select 59 concept stocks in the chip industry for quantitative analysis, use principal component analysis method and k-means clustering to process our financial indicators; historical simulation method, variance-covariance Monte Carlo calculate VaR value of each stock effective risk management. Based on Markowitz theory, frontier five is constructed, combined with utility investors different av...

<p style='text-indent:20px;'>This paper investigates a multi-period asset allocation problem for defined contribution (DC) pension fund facing stochastic inflation under the Markowitz mean-variance criterion. The rate is described by discrete-time version of Ornstein-Uhlenbeck process. To best our knowledge, literature along line dynamic portfolio selection dominated continuous-time model...

Abstract When solving large-scale cardinality-constrained Markowitz mean–variance portfolio investment problems, exact solvers may be unable to derive some efficient portfolios, even within a reasonable time limit. In such cases, information on the distance from best feasible solution, found before optimization process has stopped, true solution is unavailable. this article, I demonstrate how p...

With the development of idea portfolio optimization, it has become one important topics in field modern finance for achieving balance between maximizing return assets and minimizing risk. This study selected ten stocks from WIND used LSTM Neural Network as fundamental forecasting model. Based on method cyclic prediction, we predicted asset’s forecast value next day by rolling multi-dimensional ...

In this paper we tackle the optimal portfolio selection problem (PSP). Many research has been made around this subject mainly in two ways, whether extending the Markowitz model by taking into account real-world constraints (floor-ceiling, class and cardinality) or introducing different risk measures like semivariance, value at risk, absolute desviation, etc. Here, we present the preliminary res...