This paper explores how a put option changes the probability distribution of portfolio value. The paper extends the … portfolio distribution to measure riskiness and compare different put options. I report a so-called ‘quantile surface’ that … decrease the quantile, which is equivalent to increasing the riskiness of the portfolio, and leads me to ask: what return will …

contrarian strategy by believing that loser portfolio will experience of rebound conversely degradation at share winner portfolio …

This paper studies the particularities of portfolio selection on the Romanian stock market using the risk …

minimizing risk and maximizing returns of expected portfolio. At the beginning, proposed models in this issue are resolved basing … approaches have been proposed to solve asset allocation and portfolio optimization problems. In a first time, we survey some … providing a good guide to the application of Metaheuristics to portfolio optimization and asset allocation problems. …

In this paper I consider a portfolio optimization problem where an agent holds an endowment of stock and is allowed to … literature that uses exact algebraic analysis with a binomial probability model of portfolio value, I use numerical techniques to … the distribution of portfolio value. The location of the optimal quantity varies across preferences and provides examples …

Departure from normality poses implementation barriers to the Markowitz mean-variance portfolio selection. When assets … the Gibbs sampler. An application to the global portfolio diversification is also discussed. …