investment options, which is diversify of the investment portfolio; what is also what modern portfolio theory, or Markowitz …

risk with reference to the assessment and distribution of value. Distribution is marked by all possible outcomes with the …

computation of the real total portfolio return of households in Germany. Besides bank deposits, this return is also determined by …

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 …

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 …

This study looks at the Post-Modern Portfolio Theory that maintains greater diversification in an investment portfolio … by using the alpha and the beta coefficient to measure investment performance. Post-Modern Portfolio Theory appreciates … financial risk. Post-Modern Portfolio Theory's downside measure generated a noticeable distinction between downside and upside …

The seminal work by Markowitz in 1959 introduced portfolio theory to the world. The prevailing notion since then has … been that portfolio risk is non linear i.e. you cannot use Linear Programming (LP) to optimize your portfolio. We will in … this paper show that simple portfolio drawdown constraints are indeed linear and can be used to find for example maximum …

difficult issues to resolve. Up to now there has been no easy and reliable way to compare the risk of one stock or portfolio … with another stock or portfolio measured as of the time the investment decision in question was made. As I argued in an … elegant and fine-grained measure of risk for a stock or portfolio that can be computed with readily available data and used to …