The basics of the mean-variance portfolio optimisation procedure have been well understood since the seminal work of … the expected return on a portfolio, is maximised for a specified level of “risk”, σ p, the standard deviation of the … portfolio. The efficient frontier is the curve traced out in (μ p, σ p) space by portfolios whose return/risk tradeoff is …

In this paper, an optimal portfolio selection problem is formulated as a minimax problem in which tax and dividend are … associated with transactions. The corresponding optimal portfolio is derived respectively in the market with and without riskless …

The basics of the mean-variance portfolio optimisation procedure have been well understood since the seminal work of … (or, expected excess returns), which represents the expected return on a portfolio, is maximised for a specified level of … “risk”, σ<Subscript>p</Subscript>, the standard deviation of the portfolio. The efficient frontier is the curve traced out …

In this paper, an optimal portfolio selection problem is formulated as a minimax problem in which tax and dividend are … associated with transactions. The corresponding optimal portfolio is derived respectively in the market with and without riskless …

. Starting from a portfolio insurance strategy we define a new measure of risk based on the downside risk. We propose as a … measure for downside risk that part of a portfolio’s total risk that can be eliminated implementing portfolio insurance while … our measure for upside risk is the part of a portfolio’s total risk that does not disappear using portfolio insurance. In …

stimulated foreigners to buy American assets, thereby driving up the exchange rate. In this paper a modified portfolio balance …