نتایج جستجو برای: portfolio allocation
تعداد نتایج: 98994 فیلتر نتایج به سال:
In this paper we develop two permutation theorems on argument increasing functions of a multivariate random vector and a real parameter vector. We use the unified approach of our two theorems to provide some important theoretical results on the capital allocation in actuarial science, the deductible and upper limit allocations in insurance policy, and portfolio allocation in financial engineeri...
We investigate an optimal portfolio allocation problem between a risky and a risk-free asset, as in [1]. They obtained explicit conditions for path-independence and optimality of allocation strategies when the price of the risky asset follows a geometric Brownian motion with constant asset characteristics. This paper analyzes and extends their results for dynamic investment strategies by allowi...
The paper analyzes the asset pricing implications of performance fees linking the compensation of fund managers to the return of the managed portfolio relative to that of a benchmark portfolio. Symmetric (“fulcrum”) performance fees distort the allocation of managed portfolios in a way that induces a significant positive effect on the equilibrium prices of stocks included in the benchmark portf...
A Dynamic Portfolio or Dynamic Asset Allocation is a strategy used to determine the proportion of a number of assets, chosen carefully, in order to achieve optimum performance of the portfolio. In this paper, the portfolio consists only Options traded in the financial market. One of the most famous models of option pricing is Binomial Cox-Ross-Rubinstein (CRR) Model. Using Fuzzy Binomial CRR pr...
this paper uses a multivariate garch model to simultaneously estimate the mean and conditional variance using daily returns among different tehran sector indexes from tir 1386 to tir 1391. since different financial assets are traded based on these sector indexes, it is important for financial market participants to understand the volatility transmission mechanism over time and across sectors in...
Asset allocation is widely recognized as the most fundamental decision in the investment process. Surprisingly little work has been done on examining what drives the asset allocation recommendations of professional investment advisors. To address this issue, we propose a general framework to identify and estimate the parameters characterizing the preferences and beliefs of money managers. In a ...
We examine how different types of risk presentation numerical descriptions, experience sampling, graphical displays, and a combination of these formats in a ‘risk tool simulation’influence asset allocations in an experimental investment portfolio. Participants viewed information about a risky and a risk free fund and made a portfolio allocation. Risky allocations were elevated in the risk tool ...
1 We present efficient partial differential equation (PDE) methods for continuous time mean2 variance portfolio allocation problems when the underlying risky asset follows a stochastic 3 volatility process. The standard formulation for mean variance optimal portfolio allocation 4 problems gives rise to a two-dimensional non-linear Hamilton-Jacobi-Bellman (HJB) PDE. We 5 use a wide stencil metho...
Recent advances in the measurement of volatility have utilized high frequency intraday data to produce what are generally known as realised volatility estimates. It has been shown that forecasts generated from such estimates are of positive economic value in the context of portfolio allocation. This paper considers the link between the value of such forecasts and the loss function under which m...
Abstract Most of GA-based portfolio assets allocation uses normalization method to allocate investment asset’s weight. However, the normalization process will cause unease converging and even diverging characteristics, because it changes the gene’s relativity of address in chromosome. In this paper, we propose a weighed encoding scheme and crossover algorithm to allocate suitable assets in port...
نمودار تعداد نتایج جستجو در هر سال
با کلیک روی نمودار نتایج را به سال انتشار فیلتر کنید