The literature on portfolio analysis assumes that the securities returns are random variables with fixed expected returns and variances values (see Bachelier [1], Briec et al. [4] and Markowitz [10]). However, since investors receive efficient or inefficient information from the real world, ambiguous factors usually exist in it. Consequently, we need to consider not only random conditions but a...

Tests of the CAPM, the prototype model of equilibrium in financial markets, are usually based on returns computed from end-of-month closing prices. It is reasonable to doubt that these prices always reflect markets that are at equilibrium, thus raising the question whether and how inference is biased. Rather than exploring this issue using one of the many theoretical (but empirically unverified...

This paper attempts to build an investment portfolio optimization model based on the typical transaction cost. First, shortages of current investment portfolio models are analyzed. By analyzing the changing process of the transaction cost in practical investments, the author introduces the non-concave and non-convex transaction cost function and the mean-variance model, and adopts the investmen...

In this paper we demonstrate that coordinate-wise descent algorithms can be used to solve portfolio selection problems in which asset weights are constrained by l q norms for 1 ≤ q ≤ 2. A special case of the such problems is when q = 1. The l 1 norm constraint promotes zero values for the weight vector, leading to an automatic asset selection for the portfolio. We first consider the case of min...

This paper provides an overview of how taxation affects household portfolio structure. It begins by outlining six aspects of portfolio behavior that may be influenced by the tax system. These are asset selection, asset allocation, borrowing, asset location in taxable and tax-deferred accounts, asset turnover, and whether to hold assets directly or through financial intermediaries. The analysis ...

Using geometric illustrations, we investigate what implications of portfolio optimization in equilibrium can be generated by the simple mean-variance framework, under margin borrowing restrictions. First, we investigate the case of uniform marginability on all risky assets. It is shown that changing from unlimited borrowing to margin borrowing shifts the market portfolio to a riskier combinatio...

Most tests of asset pricing models address only the pricing predictions – perhaps because the portfolio choice predictions are obviously wrong. But how can asset-pricing theory be right if the portfolio choice theory on which it rests is wrong? This work builds and observes experimental markets in which risky and riskless assets are traded. Risk aversion is a robust phenomenon in experimental s...

The problem of portfolio selection is a standard problem in financial engineering and has received a lot of attention in recent decades. Classical mean-variance portfolio selection aims at simultaneously maximizing the expected return of the portfolio and minimizing portfolio variance. In the case of linear constraints, the problem can be solved efficiently by parametric quadratic programming (...

This article illustrates that since last century investment becomes more and popular as a way for people to save or spend money, but during the recovery of pandemic, how we could make suitable investment. article, it demonstrates an optimal portfolio with high return low risk, introduction Variance Mean model efficient frontier, accompanied aid Excel functions, let helps get solution best fitte...

this research aims to design the portfolio entrepreneurship model and to analyze the effect of social capital, prior experience and knowledge, the entrepreneur’s financial resources, as well as human capital on portfolio entrepreneurship and also to investigate the effect of portfolio entrepreneurship on recognition of new opportunities, as well as business growth and development. the research ...