Keyword: portfolio management

Found 84 papers in total
On admissible efficient portfolio selection problem
On admissible efficient portfolio selection problem
2004,
The expected return and risk of asset cannot be predicted accurately because of...
Risk factor analysis and portfolio immunization in the corporate bond market
Risk factor analysis and portfolio immunization in the corporate bond market
2005,
In this paper we develop a multi-factor model for the yields of corporate bonds. The...
Optimal consumption portfolio and no-arbitrage with nonproportional transaction costs
Optimal consumption portfolio and no-arbitrage with nonproportional transaction costs
2005,
In this paper we consider a finite-state financial market with non-proportional...
Robust asset allocation
Robust asset allocation
2004,
This article addresses the problem of finding an optimal allocation of funds among...
Portfolio optimization with target-shortfall-probability vector
Portfolio optimization with target-shortfall-probability vector
2004,
Traditional portfolio optimization uses the standard deviation of the returns as a...
How efficient is naive portfolio diversification? an educational note
How efficient is naive portfolio diversification? an educational note
2004,
Standard textbooks of Investment/Financial Management teach that although portfolio...
Selecting portfolios for mutual funds
Selecting portfolios for mutual funds
2004,
In modern investment theory the path to portfolio selection involves two steps, which...
Optimal strategies for risk-sensitive portfolio optimization problems for general factor models
Optimal strategies for risk-sensitive portfolio optimization problems for general factor models
2003,
We consider constructing optimal strategies for risk-sensitive portfolio optimization...
Semi-absolute deviation rule for mutual funds portfolio selection
Semi-absolute deviation rule for mutual funds portfolio selection
2003,
Investors consider mutual funds as an interesting investment opportunity. This is the...
A comparative analysis of the Markowitz and Konno portfolio selection models
A comparative analysis of the Markowitz and Konno portfolio selection models
2003,
In this paper Konno portfolio selection model is presented and compared with Markowitz...
Portfolio optimization under credit risk
Portfolio optimization under credit risk
2003,
Based on the models of Hull & White for the pricing of non-defaultable bonds and...
Portfolio management in the binomial model: Conditions for outperforming benchmarks
Portfolio management in the binomial model: Conditions for outperforming benchmarks
2003,
The performance of a portfolio manager is in practice usually measured by the result...
Value at risk (VaR) modelling on long run horizons
Value at risk (VaR) modelling on long run horizons
2003,
The Value-at-Risk (VaR) criterion as a measure of portfolio's risk on long run...
Robust portfolio selection problems
Robust portfolio selection problems
2003,
In this paper we show how to formulate and solve robust portfolio selection problems....
Survival and growth with a liability: Optimal portfolio strategies in continuous time
Survival and growth with a liability: Optimal portfolio strategies in continuous time
1997,
We study the optimal behavior of an investor who is forced to withdraw funds...
A stochastic control approach to portfolio problems with stochastic interest rates
A stochastic control approach to portfolio problems with stochastic interest rates
2001,
We consider investment problems where an investor can invest in a savings account,...
Optimal consumption and portfolio with both fixed and proportional transaction costs
Optimal consumption and portfolio with both fixed and proportional transaction costs
2002,
We consider a market model with one risk-free and one risky asset, in which the...
An interior-point method for a class of saddle-point problems
An interior-point method for a class of saddle-point problems
2003,
We present a polynomial-time interior-point algorithm for a class of nonlinear...
New light on the portfolio allocation problem
New light on the portfolio allocation problem
2002,
The basics of the mean-variance portfolio optimisation procedure have been well...
A stochastic convergence model for portfolio selection
A stochastic convergence model for portfolio selection
2002,
Portfolio selection techniques must provide decision makers with a dynamic model...
The generalized Sharpe ratio used in optimal portfolio decision-making
The generalized Sharpe ratio used in optimal portfolio decision-making
2001,
Based on the research of Dowd about the criteria for which assets should be added to...
Robust portfolio optimization
Robust portfolio optimization
2002,
We address the problem of estimating risk-minimizing portfolios from a sample of...
Portfolio selection with stable distributed returns
Portfolio selection with stable distributed returns
2002,
This paper analyzes and discusses the stable distributional approach in portfolio...
Forming of the investment portfolio using the self-organizing maps (SOM)
Forming of the investment portfolio using the self-organizing maps (SOM)
2001,
The problem of comparison of different companies is facing, when looking for possible...
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