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...

Article history: Received October 1, 2011 Received in Revised form November, 14, 2011 Accepted 15 February 2012 Available online 29 February 2012 The aim of this paper is to explore the determinants of Portfolio Choice under the investors, professionals and academics’ perception. We introduce an approach based on cognitive mapping technique with a series of semi-directive interviews. Among a sa...

In principle, implementation of portfolio investment strategies through market orders at the NYSE open would be problematic because of execution price uncertainty. This paper measures the impact, by comparing the actual value at the end of the trading day against the value one would have obtained if it were possible to observe opening prices when submitting orders. For positively weighted portf...

We consider a group of mean-variance investors with mimicking desire such that each investor is willing to penalize deviations of his portfolio composition from compositions of other group members. Penalizing norm constraints are already applied for statistical improvement of Markowitz portfolio procedure in order to cope with estimation risk. We relate these penalties to individuals’ wish of s...

Using the language of convex analysis we describe key results in several important areas of finance: portfolio theory, financial derivative trading and pricing and consumption based asset pricing theory. We hope to emphasize the importance of convex analysis in financial mathematics and also bring attention to researchers in convex analysis interesting issues in financial applications.

Credit allocation through the usage of Portfolio optimization mainly seeks tomaximize return and minimize the risk of the portfolio; but there are other importantissues including sustainable development which is important for government/publicsectors. This paper presents a novel credit allocation approach based on portfoliooptimization and investigates the effects of selected indicators of sust...

This paper provides an intersection between portfolio choice theory and the elicitation of preferences under uncertainty. Theories of financial markets build on portfolio choice theory, which generally assumes that preferences are of a particularly simple kind, while research on preferences has revealed that people have more sophisticated preferences. This paper brings the two fields together b...

The theory of functionally generated portfolios (FGPs) is an aspect of the continuous-time, continuouspath Stochastic Portfolio Theory of Robert Fernholz. FGPs have been formulated to yield a master equation a description of their return relative to a passive (buy-and-hold) benchmark portfolio serving as the numéraire. This description has proven to be analytically very useful, as it is both pa...