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Fixed Income Portfolio Management at PIMCO : Bill Gross, the Bond King
Namvar, Ethan - 2013
The purpose of this case is to provide an introduction to fixed income portfolio management. In addition, the case describes the story of Bill Gross and the founding of PIMCO.Bill Gross continues to work the same schedule since joining PIMCO in 1970; a rigorous and structured workday that begins at...
Persistent link: https://www.econbiz.de/10013089945
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On the Optimality of Non-Optimal Portfolios
Rutledge, John - 2009
Accepted wisdom, assuming capital market equilibrium and low cash returns, advises investors to hold optimal portfolios containing little cash. But credit crunches - periods of non-price credit rationing when effective cash yields are very high - happen in the real world. Because of this, it is...
Persistent link: https://www.econbiz.de/10013153212
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Risk-Free versus Risky Assets : Teaching a Portfolio Model With Application to the Stock Market
Berga, Dolors - 2019
In this paper we present an application where advanced undergraduate students can solve the expected utility portfolio model with a risk-free and a risky asset with both up and down returns in the Stock Market. With real Stock Market data, we use Excel Solver to find the portfolio decision and...
Persistent link: https://www.econbiz.de/10012860660
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Loopholes in Modern Portfolio Theory
Messica, Avi - 2018
This paper points out to loopholes in Modern Portfolio Theory (MPT) and fundamental flaws that question its validity and applicability not only for investment but for education as well. Using theoretical analysis, Monte Carlo simulations and market data I present and discuss theoretical, as well...
Persistent link: https://www.econbiz.de/10012917550
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Legal restrictions on portfolio holdings: Some empirical results
Hlouskova, Jaroslava; Lee, Gabriel S. - 2001
This article investigates the sensitivity analysis of mean-variance portfolio holdings to changes in the upper bounds. The optimization problem studied in this paper is, thus, constrained by a restriction that no more than certain portion of wealth can be invested in any one security. Our...
Persistent link: https://www.econbiz.de/10010292741
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An integrated CVaR and real options approach to investments in the energy sector
Fortin, Ines; Fuss, Sabine; Hlouskova, Jaroslava; … - 2007
The objective of this paper is to combine a real options framework with portfolio optimization techniques and to apply this new framework to investments in the electricity sector. In particular, a real options model is used to assess the adoption decision of particular technologies under...
Persistent link: https://www.econbiz.de/10010294022
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"Ito's Lemma" and the Bellman equation for Poisson processes: An applied view
Sennewald, Ken; Wälde, Klaus - 2005
variables formula and the Hamilton-Jacobi-Bellman equation. This paper provides examples for the application of both tools in … Hamilton-Jacobi-Bellman equation is both a necessary and sufficient criterion for optimality. The main example here consists of … a consumption-investment problem with labor income. It is shown how the Hamilton-Jacobi-Bellman equation can be used to …
Persistent link: https://www.econbiz.de/10010296536
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"Itô's Lemma" and the Bellman equation: An applied view
Sennewald, Ken; Wälde, Klaus - 2005
variables formula and the Hamilton-Jacobi-Bellman equation. This paper provides examples for the application of both tools in … Hamilton-Jacobi-Bellman equation is both a necessary and sufficient criterion for optimality. The main example here consists of … a consumption-investment problem with labor income. It is shown how the Hamilton-Jacobi-Bellman equation can be used to …
Persistent link: https://www.econbiz.de/10010296792
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Risk in agriculture as impediment to rural lending: the case of North-Western Kazakhstan
Petrick, Martin; Ditges, C. Markus - 2000
On the basis of portfolio selection theory, this paper finds that whole-farm risk must be regarded as a major reason for the low level of credit flow to agriculture in North-western Kazakhstan. A quadratic programming model was used in order (a) to demonstrate the comparatively high overall risk...
Persistent link: https://www.econbiz.de/10010299418
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Downside risk optimization in securitized real estate markets
Kroencke, Tim Alexander; Schindler, Felix - 2010
Optimization of international securitized real estate portfolios has been a key topic for several decades. However, most previous analysis has focused on regional diversification by applying the traditional mean-variance (MV) framework suggested by Markowitz (1952) even if the limitations of...
Persistent link: https://www.econbiz.de/10010300508