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A new approach to stochastic optimization: the investment-consumption model

Moawia, Alghalith - Volkswirtschaftliche Fakultät, … - 2009

We derive general explicit solutions to the investment-consumption model without the restrictive assumption of HARA or exponential utility function and without reliance on the existing duality or variational methods.

Persistent link: https://www.econbiz.de/10008587467

Consistencia de la evaluación de desempeño de inversiones financieras: Pruebas de dominación estocástica versus índices media-varianza

Pinto, Cristian F.; Acuña, Andres A. - Volkswirtschaftliche Fakultät, … - 2011

In this paper we analize the consistency of financial indexes and the ordering of investments based on the mean-variance and the stochastic dominance (SD) approaches. We take 47 mutual funds from the Chilean financial market in order to compute several algorithms that enable us to verify...

Persistent link: https://www.econbiz.de/10009149429

Portfolio Selection with Little Information about the Future

Hellwig, Klaus - In: Annals of Economics and Finance 6 (2005) 2, pp. 331-335

In multiperiod portfolio selection one faces the problem of choosing a proper multiperiod utility function, to … opportunities. In this paper an alternative approach is proposed where the initial portfolio value is required to follow some given …

Persistent link: https://www.econbiz.de/10009150749

One Method of Solution of an Optimum Investment Portfolio Problem for Risky Assets

Milnikov, Alexander; Mamistvalov, Mikheil - In: IBSU Scientific Journal 2 (2008) 1, pp. 66-70

The problem for choice of an optimum investment portfolio is considered. The square-law form of risk is presented as … reduction of covariance matrix to the diagonal form, the problem by definition of optimum structure of a portfolio is solved …

Persistent link: https://www.econbiz.de/10008765814

An empirical comparison of different risk measures in portfolio optimization

Hoe, Lam Weng; Hafizah, Jaaman Saiful; Zaidi, Isa - In: Business and Economic Horizons (BEH) 1 (2010) 1, pp. 39-45

Risk is one of the important parameters in portfolio optimization problem. Since the introduction of the mean …-variance model, variance has become the most common risk measure used by practitioners and researchers in portfolio optimization … drawbacks of variance. The purpose of this paper is to discuss and compare the portfolio compositions and performances of four …

Persistent link: https://www.econbiz.de/10008774307

PORTFOLIO ANALYSIS BASED ON THE EXAMPLE OF ZAGREB STOCK EXCHANGE

Bogdan, Sinisa; Baresa, Suzana; Ivanovic, Sasa - In: UTMS Journal of Economics 1 (2010) 1, pp. 39-52

In this paper we analyze the portfolio that was selected from the Zagreb Stock Exchange and also try to assess its … individual stocks within the portfolio and the systemic risk of the given portfolio and explain its importance. Through … end we will explain the correlation in the selected portfolio and point out the importance of the correlation and …

Persistent link: https://www.econbiz.de/10009143460

The Management Of A Portfolio In The Conditions Of Economic Crisis

Răscolean, Ilie; Isac, Claudia; Szabo, Robert - In: Annals of the University of Petrosani, Economics 10 (2010) 4, pp. 273-280

The need for money is one of the main financial goals of any company. Such needs have led to specific segments of demand and supply that demand for money and the money supply, in particular capital. Were created following specific markets: financial markets, with specialized division of labour...

Persistent link: https://www.econbiz.de/10008853201

El teorema de la separación de Tobin: información del primer semestre de 2008 del mercado accionario colombiano

Gómez, José Gabriel Astaiza - In: REVISTA AD-MINISTER (2012)

Colombian Stock Market for the First Half of 2008</h2> This paper shows a special situation where a portfolio created based on … Tobin’s separation theorem does not match the Markowitz efficient set. Next a review of Markowitz´s portfolio selection … covariances of these returns, nor to suggest an optimal portfolio for an investor with a particular utility function, but to …

Persistent link: https://www.econbiz.de/10011152810

LINEAR PROGRAMMING METHODS FOR SOLVING THE PORTFOLIO’S PROBLEMS

TKACENKO, Alexandra - In: Journal of Financial and Monetary Economics 1 (2014) 1, pp. 216-221

It is well known that the portfolio optimization involves creating the stock portfolio minimizing the risk for a … bring alternative models for solving a portfolio’s problem. Particularly in the paper is proposed some techniques and … considerations for non-linear portfolio’s model transformation in one of linear or linear fractional type. The last ones leads to …

Persistent link: https://www.econbiz.de/10011184501

Optimal Portfolio Liquidation with Limit Orders

Guéant, Olivier; Lehalle, Charles-Albert; Tapia, … - Université Paris-Dauphine (Paris IX) - 2011

This paper addresses the optimal scheduling of the liquidation of a portfolio using a new angle. Instead of focusing … order book to optimally liquidate a portfolio. Most practitioners address these two issues separately: they compute an …

Persistent link: https://www.econbiz.de/10011072650