This paper characterizes the asymptotic behaviour, as the number of assets gets arbitrarily large, of the portfolio weights for the class of tangency portfolios belonging to the Markowitz paradigm. It is assumed that the joint distribution of asset returns is characterized by a general factor...

This book presents solutions to the general problem of single period portfolio optimization. It introduces different linear models, arising from different performance measures, and the mixed integer linear models resulting from the introduction of real features. Other linear models, such as...

Die Untersuchung widmet sich den Prinzipien der katholischen Vermögensanlage. Dem Fragenkomplex nach den Vorgaben für eine wertebasierte Anlagepolitik vor dem Hintergrund der katholischen Soziallehre wurde bisher in der Literatur wenig Beachtung geschenkt. Diese Vernachlässigung verwundert,...

This article proposes a neoclassical stock market portfolio based on the principles of dynamic response and constant adaptation to the market. The construction of a neoclassical investment portfolio begins with the conceptual development of an adaptive investment strategy. We suggest an...