The basics of the mean-variance portfolio optimisation procedure have been well understood since the seminal work of Markowitz in the 1950's. A vector x of asset weights, restricted only by requiring its components to add to 1, is to be chosen so that the linear combination μ p=x ′ μ of the...

This paper presents a closed form solution of the mean-variance portfolio selection problem for uncorrelated assets that precludes short sells. We also study the problem with the consideration of transaction cost. When the asset holding can be explicitly become available, one can have a better...

The basics of the mean-variance portfolio optimisation procedure have been well understood since the seminal work of Markowitz in the 1950's. A vector x of asset weights, restricted only by requiring its components to add to 1, is to be chosen so that the linear combination μ<Subscript>p</Subscript>=x <Superscript>′</Superscript> μ of the...</superscript></subscript>

Leverage entails a unique set of risks, such as margin calls, which can force investors to liquidate securities at adverse prices. Modern Portfolio Theory (MPT) fails to account for these unique risks. Investors often use portfolio optimization with a leverage constraint to mitigate the risks of...

This paper presents a closed form solution of the mean-variance portfolio selection problem for uncorrelated assets that precludes short sells. We also study the problem with the consideration of transaction cost. When the asset holding can be explicitly become available, one can have a better...

In this article, we investigate risk return characteristics and diversification benefits when private equity is used as a portfolio component. We use a unique dataset describing 642 US-American portfolio companies with 3620 private equity investments. Information about precisely dated cash flows...

In this article, we investigate risk return characteristics and diversification benefits when private equity is used as a portfolio component. We use a unique dataset describing 642 US-American portfolio companies with 3620 private equity investments. Information about precisely dated cash flows...

Like the stock market, the human capital market consists of a wide range of assets, i.e. educations. Each <p> young individual chooses the educational asset that matches his preferred combination of risk and return in terms of <p> future income. A unique register-based data set with exact information...</p></p>

We propose to model policy making as a multicriteria problem and solve it using suitable multicriteria techniques in connection with some structural economic model to represent optimal policy making and to get useful policy recommendations. By using a multiobjective approach combined with a...

In this paper we analyze investments in human capital assets in a way which is standard for financial assets, but not (yet) for human capital assets. We study mean-variance plots of human capital assets. We compare the properties of human capital returns using a performance measure and by sing...