allocate resources to innovation and new product development (NPD) programs in a portfolio. Resource allocation and NPD … portfolio decisions often span multiple levels of the organization's hierarchy, leading to questions about how much authority to … product development, and the relative balance in the NPD portfolio shifts toward incremental innovation. In addition, we …

multidimensional integration and the integrand is suitably smooth. For portfolio value-at-risk (VaR) problems, the distribution of … portfolio value change is based on the expectation of an indicator function, hence the integrand is discontinuous. The purpose … portfolio value-at-risk is fast and accurate. Numerical examples elucidate the advantage of the proposed approach over regular …

sample size, the investment horizon and the market conditions are three important factors in determining the strong … interest equals the expected return on the market portfolio over the sample period or when the sample size is infinite, (2) the … interest is greater than (or less than) the expected return on the market portfolio, (3) an observation horizon shorter than …

We show, for a wide variety of payoff functions, that the expected log optimal portfolio is also game theoretically …

developing an efficient computational approach applicable to the broad range of portfolio models employed by the investment …This paper describes a practical algorithm for large-scale mean-variance portfolio optimization. The emphasis is on …

A number of authors have used the portfolio standard deviation to model the risk reduction advantages of naive … diversification. Other authors have pointed out that when risk is modelled by the portfolio's variance the modelling process becomes … portfolio standard deviation and size and thus highlight the dangers of using the standard deviation in conjunction with O …

We develop a model of portfolio choice to nest the views of Keynes, who advocates concentration in a few familiar … optimal portfolio depends on two quantities: relative ambiguity across assets and the standard deviation of the expected … return estimate for each asset. If both quantities are low, then the optimal portfolio consists of a mix of familiar and …

We formalize the idea that when managers require external investment to expand, higher-skilled firms will be more …

investment strategy in closed form. The model predicts negative hedging demands for medium-term investors, and an allocation to … variation in investment opportunities. These utility gains are preserved when we impose realistic borrowing and short …