and incorporated consistently to arrive at and .These new parameters can then be used in the portfolio optimization … Kovarianz-Matrix weiterverarbeitet werden. Diese angepassten Parameter dienen dann als Ausgangspunkt fur die Portfolio …

financial risk-taking. -- genetics ; risk-taking ; portfolio investment ; twins …

; portfolio choice ; life-cycle decisions ; recursive utility ; REITs …

We consider the problem of portfolio selection within the classical Markowitz meanvariance framework, reformulated as a … absolute values of the portfolio weights. This penalty regularizes (stabilizes) the optimization problem, encourages sparse … that of the naive evenly-weighted portfolio which constitutes, as shown in recent literature, a very tough benchmark …

Anreiz hat, laufend Umschichtungen im Portfolio vorzunehmen, obwohl dies negative steuerliche Konsequenzen hervorruft … portfolio turnovers repeatedly trigger capital gains taxation. So far the calculations of these values are difficult, due to … portfolio turnovers and reluctance to realize taxable capital gains. -- capital gains tax ; portfolio investments ; periodical …

shipping investments in quantitative portfolio considerations. The first calculations in this article can be seen as exemplary …

cases, the addition of real assets improved portfolio performance (measured with Sharpe ratio, Sortino ratio, Omega ratio …, and Modified Sharpe ratio) in comparison with a base portfolio consisting only of standard stocks and bonds. Among the … measure from the vast supply of such measures does not seem to matter much. -- diversification ; inflation ; portfolio choice …