results show that fund selection method based on SD criteria greatly improves the performance of hedge fund portfolio. …

Market participants' risk attitudes, wealth and portfolio composition in°uence their positions in a pegged foreign …

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 …

the effectiveness of diversification for stock-currency portfolio holdings with respect to the following points. First … investors should set aside to cover potential extreme losses when investing in a currency-stock portfolio. Third, our …

Using a dynamic (stochastic-factor) portfolio model, we devise a method to estimate the impact of the oil price on the …

findings of recent empirical research, we develop a portfolio model that captures the potential trade-off between "quantity …

, 30 companies in the 2007-2012 period. To measure portfolio performance two classic indicators are used: (1) Jensen alpha … and (2) Sharpe ratio, and also conditional metrics are used that measures the number of times the portfolio return exceeds … the market average. The goal is to find a portfolio that maximizes these parameters and compare the results between the …

portfolio with excessive weight assigned to illiquid assets, the optimal consumption path, and wealth decumulation. According to … our findings, higher financial literacy substantially reduces the portfolio imbalance of people aged 50+ by reducing the …