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A general framework for portfolio theory : part I: theory and various models
Maier-Paape, Stanislaus; Zhu, Qiji Jim - In: Risks : open access journal 6 (2018) 2, pp. 1-35
of utility and risk. This is a rather general pattern. The modern portfolio theory of Markowitz (1959) and the capital … utility. As a result, the growth optimal portfolio theory Lintner (1965) and the leverage space portfolio theory Vince (2009 …
Persistent link: https://www.econbiz.de/10011867378
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A general framework for portfolio theory : part II: drawdown risk measures
Maier-Paape, Stanislaus; Zhu, Qiji Jim - In: Risks : open access journal 6 (2018) 3, pp. 1-31
general framework for portfolio theory of Maier-Paape and Zhu (2018), presented in Part I of this series. As an alternative to …
Persistent link: https://www.econbiz.de/10011890765
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Optimal risk budgeting under a finite investment horizon
López de Prado, Marcos M.; Vince, Ralph; Zhu, Qiji Jim - In: Risks : open access journal 7 (2019) 3/86, pp. 1-15
The Growth-Optimal Portfolio (GOP) theory determines the path of bet sizes that maximize long-term wealth. This multi …
Persistent link: https://www.econbiz.de/10012126488