A number of authors have used the portfolio standard deviation to model the risk reduction advantages of naive … diversification. Other authors have pointed out that when risk is modelled by the portfolio's variance the modelling process becomes … portfolio standard deviation and size and thus highlight the dangers of using the standard deviation in conjunction with O …

higher the fluctuation degree of the portfolio yield is, its risk is higher. …

minimizing risk and maximizing returns of expected portfolio. At the beginning, proposed models in this issue are resolved basing … approaches have been proposed to solve asset allocation and portfolio optimization problems. In a first time, we survey some … providing a good guide to the application of Metaheuristics to portfolio optimization and asset allocation problems. …

This paper deals with the problem of defining efficient portfolios of electricity production assets using the Portfolio … production technologies, considering the fact that the Portfolio Theory was initially proposed in the field of financial …

a portfolio component. We use a unique dataset describing 642 US-American portfolio companies with 3620 private equity … variations and even higher rates of failure. It is in this category in particular that high average portfolio returns are …. There is a high marginal diversifiable risk reduction of about 80% when the portfolio size is increased to include 15 …

We solve, in closed form, a stock-bond-cash portfolio problem of a risk- and ambiguity-averse investor when interest … prefers a portfolio strategy which is robust to model misspecification. Ambiguity about the inflation dynamics is shown to … affect the optimal portfolio fundamentally different than ambiguity about the price dynamics of traded assets, for example …

minimize risk in portfolio models for any given expected return, provided the margin requirement remains below a critical …