Search Results - subject:"optimal portfolio"

Continuous-time delegated portfolio management with homogeneous expectations: can an agency conflict be avoided?

Kraft, Holger; Korn, Ralf - In: Financial Markets and Portfolio Management 22 (2008) 1, pp. 67-90

Persistent link: https://www.econbiz.de/10005722891

On the inefficiency of portfolio insurance and caveats to the mean/downside-risk framework

Lucas, André; Dert, Cees L. - Faculteit der Economische Wetenschappen en … - 1998

Portfolio insurance strategies based on options typically treat the investment in the risky asset, e.g., stock, as fixed. We show in a mean/downside-risk framework that such a strategy is inefficient. Using at the money put options, expected returns can be increased by more than 250 basis points...

Persistent link: https://www.econbiz.de/10010782801

Approximation of jump diffusions in finance and economics

Bruti-Liberati, Nicola; Platen, Eckhard - In: Computational Economics 29 (2007) 3, pp. 283-312

In finance and economics the key dynamics are often specified via stochastic differential equations (SDEs) of jump-diffusion type. The class of jump-diffusion SDEs that admits explicit solutions is rather limited. Consequently, discrete time approximations are required. In this paper we give a...

Persistent link: https://www.econbiz.de/10005674128

A Benchmark Approach to Portfolio Optimization under Partial Information

Platen, Eckhard; Runggaldier, Wolfgang - In: Asia-Pacific Financial Markets 14 (2007) 1, pp. 25-43

Persistent link: https://www.econbiz.de/10005727017

SHARPE RATIO MAXIMIZATION AND EXPECTED UTILITY WHEN ASSET PRICES HAVE JUMPS

CHRISTENSEN, MORTEN MOSEGAARD; PLATEN, ECKHARD - In: International Journal of Theoretical and Applied … 10 (2007) 08, pp. 1339-1364

the optimal portfolio of a utility maximizing individual may "accidentally" have maximal Sharpe ratio. Furthermore, if …

Persistent link: https://www.econbiz.de/10004970131

STATISTICAL ESTIMATION OF OPTIMAL PORTFOLIOS FOR LOCALLY STATIONARY RETURNS OF ASSETS

SHIRAISHI, HIROSHI; TANIGUCHI, MASANOBU - In: International Journal of Theoretical and Applied … 10 (2007) 01, pp. 129-154

This paper discusses the asymptotic property of estimators for optimal portfolios when the returns are vector-valued locally stationary processes. First, we derive the asymptotic distribution of a nonparametric portfolio estimator based on the kernel method. Optimal bandwidth and kernel function...

Persistent link: https://www.econbiz.de/10004971740

International Diversification and Labor Income Risk

Fugazza, Carolina; Giofré, Maela; Nicodano, Giovanna - Centre for Research on Pensions and Welfare Policies … - 2007

Members of an occupational pension plan face the same industry shocks, since membership is based on employment industry. An occupational pension fund may therefore design portfolio composition so as to hedge members’ labour income shocks at the industry level. This paper quantifies differences...

Persistent link: https://www.econbiz.de/10005012823

Optimal Financial Portfolios

Stoyanov, S. V.; Rachev, S. T.; Fabozzi, F. J. - In: Applied Mathematical Finance 14 (2007) 5, pp. 401-436

The classes of reward-risk optimization problems that arise from different choices of reward and risk measures are considered. In certain examples the generic problem reduces to linear or quadratic programming problems. An algorithm based on a sequence of convex feasibility problems is given for...

Persistent link: https://www.econbiz.de/10005495420

Optimal Risk Taking with Flexible Income

Jakša Cvitani\'{c}; Goukasian, Levon; Zapatero, Fernando - In: Management Science 53 (2007) 10, pp. 1594-1603

We study the portfolio selection problem of an investor who can optimally exert costly effort for more income. The possibility of generating more income, if necessary, increases the risk-taking appetite of the investor. We find the optimal allocation to the risky security as a proportion of...

Persistent link: https://www.econbiz.de/10009197648

An artificial intelligence approach to portfolio selection and management

Abdelazim, Hazem Y.; Wahba, Khaled - In: International Journal of Financial Services Management 1 (2006) 2/3, pp. 243-254

quantitative and systematic method to construct an optimal portfolio. The genetic algorithms technique (GAs) is one of the AI … optimal portfolio based on maximising a composite objective function that maximises return, minimises risk and minimises cross … markets the generated optimal portfolio based on genetic algorithms was able to provide higher risk adjusted returns than the …

Persistent link: https://www.econbiz.de/10010668720