A student portfolio is a collection of products and processes selected and organized to highlight specific aspects of the portfolio creator and his or her work. What goes into the portfolio depends on its purpose and usually includes reflection on the materials included and the portfolio as a whole. Portfolios may be required for a course, a major, or a career goal. Electronic portfolios may co...

In this paper we examine whether past returns of the market portfolio (MKT), the size portfolio (SMB), the book-to-market portfolio (HML) and the idiosyncratic volatility portfolio (HIMLI) can predict growth rates of ten major Australian economic indicators from 1993 to 2010. We find that all four factors can be used to predict growth rates in Australian economic indicators. We also find high r...

This study first reviews fuzzy random Portfolio selection theory and describes the concept of portfolio optimization model as a useful instrument for helping finance practitioners and researchers. Second, this paper specifically aims at applying possibility-based models for transforming the fuzzy random variables to the linear programming. The harmony search algorithm approaches to resolve the ...

It has been widely debated how much nonsynchronous trading drives asymmetric portfolio cross-autocorrelations: lagged returns on a portfolio of larger-capitalization stocks are far more heavily correlated with current returns on a portfolio of smallercapitalization stocks than the converse. This paper proposes a new method to generate precise estimates of the extent to which nonsynchronous trad...

We examine the optimal portfolio selection problem for a single agent who receives a unhedgeable endowment. The agent wishes to optimize his/her log-utility derived from his/her terminal wealth. We do not solve this problem analytically but rigorously prove that there exists a unique optimal portfolio strategy. We present a recursive computational algorithm which produces a sequence of portfoli...

We propose a consolidated risk measure based on variance and the safety-first principle in a mean-risk portfolio optimization framework. The safety-first principle to financial portfolio selection strategy is modified and improved. Our proposed models are subjected to norm regularization to seek near-optimal stable and sparse portfolios. We compare the cumulative wealth of our preferred propose...

We provide a detailed portfolio analysis for a nancial market with an atomless continuum of assets. In the context of an exact arbitrage pricing theory (EAPT), we go beyond the characterization of the existence of important portfolios (normalized riskless, mean, cost, factor and mean-variance eÆcient portfolios) to furnish exact portfolio compositions in terms of explicit portfolio weights. Suc...

Frequent references are made to the use of portfolio spread rates in managing financial risks in banks, but indications as to the procedures for determining such rates are very scant. The purpose of this article is to present some initial ideas on the subject: a Standard Funding system indicates what each portfolio should have earned, while an Actual Funding system points out what each portfoli...

Dynamic portfolio trading system is used to allocate one’s capital to a number of securities through time in a way to maximize the portfolio return and to minimize the portfolio risk. Genetic programming (GP) as an artificial intelligence technique has been used successfully in the financial field, especially for the forecasting tasks in the financial markets. In this paper, GP is used to devel...

The analysis of risk-return tradeoffs and their practical applications to portfolio analysis paved the way for Modern Portfolio Theory (MPT), which won Harry Markowitz a 1992 Nobel Prize in Economics. A typical approach in measuring a portfolio's expected return is based on the historical returns of the assets included in a portfolio. On the other hand, portfolio risk is usually measured using ...