This paper gauges consumption and portfolio shares for aggregate assets (i.e. financial, tangible, and human assets …

This paper analyzes the important time variation in U.S. aggregate portfolio allocations. To do so, we first use … portfolio allocations are strongly supported, and iii) the Fama-French factors best explain empirical portfolios shares. …

This paper analyzes the important time variation in U.S. aggregate portfolio allocations. To do so, we first use …, and strategic portfolio allocations. We then compare these rules to the data through formal statistical analysis. Our main … results reveal that i) purely tactical and myopic investment behaviors are unambiguously rejected, ii) strategic portfolio …

The seminal work by Markowitz in 1959 introduced portfolio theory to the world. The prevailing notion since then has … been that portfolio risk is non linear i.e. you cannot use Linear Programming (LP) to optimize your portfolio. We will in … this paper show that simple portfolio drawdown constraints are indeed linear and can be used to find for example maximum …

altering the portfolio in response to changes in macroeconomic indicators. Therefore, this study examines the existence of …

with that, rationally allocating investment resources. The proposed system is based on the adequate portfolio model … portfolio of the interaction of macroeconomic indicators with USA, UK, and Lithuanian data is developed. Such results could be …