We implement a long-horizon static and dynamic portfolio allocation involving a risk-free and a risky asset. This model …

. CAPM, Mean-Variance Portfolio Optimization, Constrained Optimization, Fama-French, Value-Size Portfolios, Dynamical …

assets only, the constrained one, and the presence of a risk-free asset. The use of a generalized form for the budget … - and infer the price of pure risk. Some properties of the several solutions are highlighted. The rationale for a linear …

Modern Portfolio Theory (MPT) provides an elegant mathematical framework for the efficient portfolio allocation problem …-of-sample volatility if a jump in systematic risk occurs. Chapter 2 introduces a covariance estimation approach which is based solely on …Die Moderne Portfolio Theorie (MPT) bietet einen eleganten mathematischen Rahmen für das Problem der effizienten …

systematic risk within the CAPM framework …-coefficient of Capital Asset Pricing Model (CAPM). The method calculates higher-order derivatives for beta-coefficient function using …