We propose a framework for considering active portfolio management, consistent with existing literature in the single period environment, but extended to the multi-period environment that most practicing active managers operate in. We derive several active portfolio management results including the Generalised Law of Active Portfolio Management (a generalisation that accounts for correlations a...

a r t i c l e i n f o The technology acceptance model (TAM) has been applied in various fields to study a wide range of information technologies. Although TAM has been developed in this research stream in Taiwan, TAM's issues of measurement have received scant attention. A robust model must perform measurement invariance across different respondent subgroups to ensure that various sample profil...

Ever since the inception of Markowitz’s modern portfolio theory, static portfolio optimization techniques were gradually phased out by dynamic portfolio management due to the growth of popularity in automated trading. In view of the intensive computational needs, it is common to use machine learning approaches on Sharpe ratio maximization for implementing dynamic portfolio optimization. In the ...

The growth optimal portfolio (GOP) is a portfolio which has a maximal expected growth rate over any time horizon. As a consequence, this portfolio is sure to outperform any other significantly different strategy as the time horizon increases. This property in particular has fascinated many researchers in finance and mathematics created a huge and exciting literature on growth optimal investment...

The portfolio selection problem is clearly one of the most fundamental problems in the eld of computational nance. Given a set of say m stocks (one of which may be \cash"), the natural online problem is to determine a portfolio for the i th trading period based on the sequence of prices (or equivalently relative prices) for the preceding i ? 1 trading periods. There has been both a growing inte...

Mean-variance criterion has long been the main stream approach in the optimal portfolio theory. The investors try to make a balance between the risk and return on their portfolio. In this paper, the deviation of the asset return from the investor’s expectation in the worst scenario is taken as the measure of risk for portfolio selection. One important advantage of this approach is that the inve...

I develop a model of life-cycle portfolio choice with non-tradeable idiosyncratic labor income where the agent has an option to invest in human capital, for example through education. The inability to borrow against her human capital depresses the agent’s demand for equity, as she is concerned about being liquidity constrained when it is optimal to invest. The model has many predictions that ar...

The monthly return distributions of many hedge fund indices exhibit highly unusual skewness and kurtosis properties as well as first-order serial correlation. This has important consequences for investors. We demonstrate that although hedge fund indices are highly attractive in mean-variance terms, this is much less the case when skewness, kurtosis and autocorrelation are taken into account. Sh...

This paper explores the role of monetary policy in an open economy in an environment of endogenous portfolio choice. The model is simple enough to allow solutions for optimal portfolios to be derived analytically for a range of different asset market environments. We explore the impact of monetary policy on national bond and equity portfolios in environments where assets markets are either comp...

This paper is devoted to the study of discrete implications that satisfy modus ponens (MP), modus tollens (MT) or both (MPT). The main goal is to characterize all R, S, QL and D-implications on a finite chain L satisfying these properties for a given smooth t-norm T1. The non-smooth case is also discussed for a special family of t-norms.