搜索结果: 1-9 共查到“经济学 optimal portfolio”相关记录9条 . 查询时间(0.098 秒)
Optimal Portfolio Rules in Continuous Time When the Nonnegativity Constraint on Consumption is Binding
Optimal Portfolio Rules Continuous Time Consumption Binding
2015/5/13
Optimal Portfolio Rules in Continuous Time When the Nonnegativity Constraint on Consumption is Binding.
On the non-stationarity of financial time series: impact on optimal portfolio selection
non-stationarity of financial time series impact optimal portfolio selection Statistical Finance
2012/6/2
We investigate the possible drawbacks of employing the standard Pearson estimator to measure correlation coefficients between financial stocks in the presence of non-stationary behavior, and we provid...
A Goal Programming Model for Optimal Portfolio Diversification
Set-valued risk measure portfolio optimization multi-criteria optimization goal programming
2012/3/2
We present a goal programming model for risk minimization of a financial portfolio managed by an agent subject to different possible criteria. We extend the classical risk minimization model with scal...
This paper addresses the optimal scheduling of the liquidation of a portfolio using a new
angle. Instead of focusing only on the scheduling aspect like Almgren and Chriss in [2], or
only on the liqu...
Optimal Portfolio Diversification Using Maximum Entropy Principle
Diversification Entropy measure Portfolio selection Shrinkage rule Simulation methods
2011/4/2
Markowitz’s mean-variance (MV) efficient portfolio selection is one of the most widely used approaches in solving portfolio diversification problem. However, contrary to the notion of diversification,...
Density quantization method in the optimal portfolio choice with partial observation of stochastic volatility
Optimal portfolio partial observation ltering density
2010/10/21
Computational aspects of the optimal consumption and investment with the partially observed stochastic volatility of the asset prices are considered. The new quantization approach to filtering - dens...
Transaction fees and optimal rebalancing in the growth-optimal portfolio
growth-optimal portfolio Kelly game transaction fees
2010/10/21
The growth-optimal portfolio optimization strategy pioneered by Kelly is based on constant portfolio rebalancing which makes it sensitive to transaction fees. We examine the effect of fees on an exam...
Stochastic Utilities With a Given Optimal Portfolio : Approach by Stochastic Flows
Stochastic Utilities Optimal Portfolio Stochastic Flows
2010/10/20
The paper generalizes the construction by stochastic flows of consistent utilities processes introduced by M. Mrad and N. El Karoui (2010). The market is incomplete and securities are modeled as local...
The dual optimizer for the growth-optimal portfolio under transaction costs
The dual optimizer the growth-optimal portfolio transaction costs
2010/10/20
We consider the maximization of the long-term growth rate in the Black-Scholes model under proportional transaction costs as in Taksar, Klass and Assaf [Math. Oper. Res. 13, 1988]. Similarly as in Ka...