We show that the optimal asset allocation for an investor depends crucially on the theory with which the investor is modeled. For the same market data and the same client data different theories lead to different portfolios. The market data we consider is standard asset allocation data. The client data is determined by a standard risk profiling question and the theories we apply are mean–varian...

capital asset pricing model (capm) has been among the common models to estimate expected returns rate. since the linearity assumption is considered in the standard version of the capital asset pricing model, estimating beta in nonlinear setting will be inconsistent and bias-oriented. therefore, this study tries to evaluate predictive power of nonlinear capital asset pricing model as well as sta...

Let K ⊂ R d be a convex body, and assume that L is randomly rotated shifted integer lattice. the hull of (random) points ∩ . The mean width W ( ) investigated. asymptotic order difference λ − maximized by obtained polytopes minimized for smooth sets as → ∞

modern portfolio theory is based on harry markowitz's 1952 work on mean-variance portfolios. he stated that a rational investor should either maximize his expected return for a given level of risk, or minimize his risk for a given expected return. in this study the markowitz model with cardinality constraints was studied. we extend the standard model to include cardinality constraints that...

In this paper, a fuzzy production inventory model with resalable returns has been analysed in an imprecise and uncertain environment by considering the cost and revenue parameters as trapezoidal fuzzy numbers. The main objective is to determine the optimal fuzzy production lotsize which maximizes the expected profit where the products leftout at the end of the period are salvaged and demands wh...