The present paper seeks to study the possible diversification potential by the integration ofindirect real estate investments in international portfolios. To this end, monthly index-returntime-series in the time-period from January 1985 till December 1998 from real estate investmentcompanies as...

We give a review of classical and recent results on maximization of expected utility for an investor who has the possibility of trading in a financial market. Emphasis will be given to the duality theory related to this convex optimization problem.(...)

This work gives a brief overview of the portfolio selection problem following the mean-risk approach first proposed by Markowitz (1952)... [Enrico De Giorgi]<p>

The portfolio selection problem is traditionally modelled by two different approaches. The first one is based on an axiomatic model of risk-averse preferences, where decision makers areassumed to possess an expected utility function and the portfolio choice consists in maximizing the expected...

This paper deals with the the evolution of portfolio rules in markets withstationary returns and endogenous prices.

The literature traditionally assumes that a portfolio manager who expends costly effort to generate information makes an unrestricted portfolio choice and is paid according to a sharing rule. However, the revelation principle provides a more efficient institution.(...)

This paper contributes to the dynamic portfolio choice and transaction cost literatures by considering a multiperiod CRRA individual who faces transaction costs and who has access to multiple risky assets, all with predictable returns.(...)

This paper examines portfolio allocations and market clearing prices when the representative agent can allocate across equity portfolios formed on the basis of characteristics like size and book-to- market and portfolio cash flows are predictable.(...)

Die vorliegende Arbeit analysiert das Phänomen des Cost Averaging (CA). Dabei geht es um Überlegungen zur geeigneten Renditeoperationalisierung bei einem Strategienvergleich. Anhand simulierter und empirischer Daten werden die Rendite- und Risikocharakteristika von CA-Strategien anderen...

The authors determine, whether adding foreign assets to a domestic benchmark portfolio improves the risk-return profile from the perspective ofan investor located in a specific country. Here Hungary and Germany.