Financial liberalisation has offered global investors with new investment opportunities via international portfolio diversification. Proper investment planning as well as portfolio diversification and rebalancing require low correlations between the assets under consideration. In general, correlations between countries have increased during the global financial crisis due to contagion, interdep...

Residential property has long been recognised as an important component in a household’s overall wealth. The sheer magnitude of purchasing a house has compelled households to commit a disproportionate amount of their funds to own a house, leaving little capital for other kinds of investment. The findings of this study show that an allocation between 50% to 65% of the available capital to reside...

Information Technology Portfolio Management (ITPM) is a topic of intense interest in the strategic management of information technology (IT). In ITPM, IT synchronization with corporate business strategy is operationalized by the application of the principles of financial portfolio management to IT investments. This perspective is crucial to the continual alignment of business strategy and IT in...

In this paper, we solve the intertemporal investment problem of an investor holding a portfolio of default-free and defaultable bonds. Default-risk is modeled in an intensity based framework with state variables following an a¢ne di¤usion. The structure of the optimal portfolio over time is investigated and compared to the static meanvariance portfolio. Furthermore, we describe the impact of ti...

The stock evaluation process plays an important role in portfolio selection because it is the prerequisite for investment and directly influences on the stock allocation. This paper presents a methodology based on Data Envelopment Analysis for portfolio selection, decision making units which can be stocks or other financial assets. First, DMUs efficiencies are computed based on input/output, an...

Using the restrictions implied by the heteroskedasticity of stock returns, we identify four factors in the U.S. industry returns. The first correlates highly with the market portfolio; the second is a portfolio of stocks that produce investment goods minus stocks that produce consumption goods; the third differentiates between cyclical and noncyclical stocks. The fourth, a portfolio of industri...

This paper features an analysis of the effectiveness of a range of portfolio diversification strategies, with a focus on down-side risk metrics, as a portfolio diversification strategy in a European market context. We apply these measures to a set of daily arithmetically-compounded returns, in U.S. dollar terms, on a set of ten market indices representing the major European markets for a nine-y...

In this paper, we apply spectral analysis tools to portfolio management. Recognizing volatility and factor beta as major risk sources, we analyze the short-term and longterm components of risk for any given portfolio. We model the portfolio weights as an LTI system filter and describe how the risk metrics behave as one holes the portfolio over increasing horizon. Then, we propose dynarmic portf...

After the initial design of a portfolio the fund manager is constantly confronted with the following decision problem of Portfolio Re-Optimization: Due to changes on the market the given portfolio has become infeasible because of violations to the investment guidelines and/or sub-optimal due to under-performance with respect to yield, risk etc. In this daily situation the fund manager has to re...

A portfolio of different insurance policies such as temporary, endowment and wholelife insurance policies is studied in a stochastic mortality and interest environment. The first two moments of the present value of the benefits of the portfolio are derived. The riskiness of the portfolio as measured by the variance of the present value of the benefits can be divided into an insurance risk and a...