the focal objective of this study is to analyze and explore the co-movement of pakistan stock market (kse-100) with the stock market of developed countries (us, uk, canada, australia, germany, japan, france and neither land) which have portfolio investment in pakistan by applying co-integration approach using johansen and juselius multivariate and bi variate co-integration. secondary data of st...

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 com...

This paper is the continuation of the paper entitled “Hereditary portfolio optimization with taxes and fixed plus proportional transaction costs I” that treats an infinite-time horizon hereditary portfolio optimization problem in a market that consists of one savings account and one stock account. Within the solvency region, the investor is allowed to consume from the savings account and can ma...

In this paper we implement an algorithm for the optimal selection of a portfolio of stock and risk-free asset under the stochastic volatility (SV) model with discrete observation and trading. The SV model extends the classical Black-Scholes model by allowing the noise intensity (volatility) to be random. The main assumption is that the portfolio manager has discrete access to the continuous-tim...

Let the random (stock market) vector X 2 0 be drawn according to a known distribution function F(x), x E R ". A log-optimal portfolio b* is any portfolio b achieving maximal expected log return W* = sup,, E In b'X, where the supremum is over the simplex b 2 0, Cr, b, = 1. An algorithm is presented for finding b*. The algorithm consists of replacing the portfolio b by the expected portfolio b', ...

We introduce a bond portfolio management theory based on foundations similar to that of stock portfolio management. A general continuous time zero coupon market is considered. The problem of optimal portfolios of zero coupon bonds is solved for general utility functions, under a condition of no-arbitrage in the zero coupon market. A mutual fund theorem is proved, in the case of deterministic vo...

We introduce a bond portfolio management theory based on foundations similar to those of stock portfolio management. A general continuous-time zero-coupon market is considered. The problem of optimal portfolios of zero-coupon bonds is solved for general utility functions, under a condition of no-arbitrage in the zero-coupon market. A mutual fund theorem is proved, in the case of deterministic v...

We study in this paper the portfolio selection problem with a stock index and European style options on the index. A refined mean-variance methodology is adopted in the study. Single-stage and two-stage investment models are studied and solved. In the later case a scenario tree and stochastic programming formulation are used. Explicit forms of the optimal portfolio and its corresponding efficie...

in every society the optimal performance of economic system is depened upon two efjkient, powerful and administered sections: real and financial. the existence of different institutions in financial markets make different financial instruments available to real section. investment companies are among active financial institutions which collect small amounts ofcapital by selling thier shares and...

This paper considers the optimal asset allocation problem for defined-contribution pension plan members whose terminal utility is a function of replacement ratio, i.e. the pension-to-final wage ratio. When three asset types are available for investment, the optimal portfolio composition, which is horizon dependent, includes investment in both riskless and risky assets. The investment in risky a...