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Portfolio allocation for European markets with predictability and parameter uncertainty
Jondeau, Eric; Rockinger, Michael - 2010
We implement a long-horizon static and dynamic portfolio allocation involving a risk-free and a risky asset. This model …
Persistent link: https://www.econbiz.de/10008797745
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Robust reverse engineering of cross-sectional returns and improved portfolio allocation performance using the CAPM
Ni, Xiaohui; Malevergne, Yannick; Sornette, Didier; … - 2011
. CAPM, Mean-Variance Portfolio Optimization, Constrained Optimization, Fama-French, Value-Size Portfolios, Dynamical …
Persistent link: https://www.econbiz.de/10009009611
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Investor type heterogeneity in bottom-up optimization models
Mier, Mathias; Azarova, Valeriya - 2021
Bottom-up optimization models neglect the inclusion of investment behavior We introduce three investor types that differ in their investment cost specifications, financing costs, and discounting. This leads to a substantially different pace and rate of adoption for specific generation...
Persistent link: https://www.econbiz.de/10012663283
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Using possibilistic moments and bi-objective optimization metaheuristics to compute pessimistic and optimistic efficient portfolios/frontiers for fuzzy-valued returns of risky asse...
Georgescu, Vasile; Ştefan, Andreea-Mirabela - In: Fuzzy economic review : the review of the International … 25 (2020) 2, pp. 25-43
Persistent link: https://www.econbiz.de/10012628322
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Mutual fund competition in the presence of dynamic flows
Breton, Michèle; Hugonnier, Julien; Masmoudi, Tarek - 2008
portfolio choice in the sense that they should offer the same risk/return tradeoff in equilibrium. This result brings …
Persistent link: https://www.econbiz.de/10003962143
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A new optimisation framework based on Monte Carlo embedded hybrid variant mean-variance mapping considering uncertainties
Norhafidzah Mohd Saad; Sujod, Muhamad Zahim; Mohd … - In: Decision analytics journal 10 (2024), pp. 1-19
(RDN). The Active Power Loss (APL) index was calculated considering the risk of uncertain photovoltaic generation and urban …
Persistent link: https://www.econbiz.de/10014533468
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Utility Maximization Under Solvency Constraints and Unhedgeable Risks
Kleinow, Torsten - 2010
We consider the utility maximization problem for an investor who faces a solvency or risk constraint in addition to a …
Persistent link: https://www.econbiz.de/10013147893
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Risk return trade-off in relaxed risk parity portfolio optimization
Gambeta, Vaughn; Kwon, Roy - In: Journal of risk and financial management : JRFM 13 (2020) 10/237, pp. 1-28
This paper formulates a relaxed risk parity optimization model to control the balance of risk parity violation against … the total portfolio performance. Risk parity has been criticized as being overly conservative and it is improved by re …-introducing the asset expected returns into the model and permitting the portfolio to violate the risk parity condition. This paper …
Persistent link: https://www.econbiz.de/10012387965
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Mean-Variance Optimization for Simulation of Order Flow
Kolm, Petter N.; Westray, Nicholas - 2022
In this article, the authors propose an order flow simulator for meta orders such as those originating from the trading activity of buy-side firms. The simulator is designed with three key goals in mind. First, it should be simple to use and integrate into different applications. Second, it must...
Persistent link: https://www.econbiz.de/10013406041
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Multi-period power utility optimization under stock return predictability
Bodnar, Taras; Ivasiuk, Dmytro; Parolya, Nestor; … - In: Computational management science 20 (2023) 1, pp. 1-27
Persistent link: https://www.econbiz.de/10014228499