منابع مشابه
Asset Allocation
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متن کاملasset allocation strategies
a number of theories about the hest method of allocating assets have been developed over the years, managers are concernd about allocating scarce resources, mainly capital, in most productive way. managers want to ensure that the return from the invested resources exceeds the cost of resources finanical theories and finanicial strategies try to facilitate creating optimum value for investors in...
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We revisit an investment experiment that compares the performance of an investor using Bayesian methods for determining portfolio weights with an investor that uses the Monte Carlo based resampling approach advocated in Michaud (1998). Markowitz and Usmen (2003) showed that the Michaud investor always won. However, in the original experiment, the Bayes investor was handicapped because the algor...
متن کاملAsset allocation and derivatives
The fact that derivative securities are equivalent to specific dynamic trading strategies in complete markets suggests the possibility of constructing buy-and-hold portfolios of options that mimic certain dynamic investment policies, e.g. asset-allocation rules. We explore this possibility by solving the following problem: given an optimal dynamic investment policy, find a set of options at the...
متن کاملDynamic asset allocation techniques
Investment strategy is often static, punctuated by infrequent reviews. For most long-term investors, this practice results in large risks being taken that could otherwise be managed with a more dynamic investment policy. The bulk of this paper is aimed at analysing and describing two multi-period investment strategy problems – in order to derive potential dynamic strategies. Along the way, we s...
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ژورنال
عنوان ژورنال: Pensions: An International Journal
سال: 2008
ISSN: 1750-208X
DOI: 10.1057/palgrave.pm.5950064