Risk neutral measures are defined such that the basic random assets in a portfolio are martingales. Hence, when the market model is complete, to value any instrument having the basic assets as underlying is, in principle, an easy task. For the determination of the risk neutral measure, it is...

A solution to a portfolio optimization problem is always conditioned by constraints on the initial capital and the price of the available market assets. If a risk neutral measure is known, then the price of each asset is the discounted expected value of the asset's price under this measure. But...

During the last few years, there has been an interest in comparing simple or heuristic procedures for portfolio selection, such as the naive, equal weights, portfolio choice, against more "sophisticated" portfolio choices, and in explaining why, in some cases, the heuristic choice seems to...

We propose the following criterion for comparing two portfolios: Portfolio A is {it better in probability} than portfolio B, whenever P(a b) 1/2, where a and b stand for the random returns of portfolio A and B, respectively. This criterion is both straightforward to interpret by the...