منابع مشابه
Leptokurtic Portfolio Theory
The question of optimal portfolio is addressed. The conventional Markowitz portfolio optimisation is discussed and the shortcomings due to non-Gaussian security returns are outlined. A method is proposed to minimise the likelihood of extreme non-Gaussian drawdowns of the portfolio value. The theory is called leptokurtic, because it minimises the effects from ”fat tails” of returns. The leptokur...
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Cover’s celebrated theorem states that the long run yield of a properly chosen “universal” portfolio is as good as the long run yield of the best retrospectively chosen constant rebalanced portfolio. The “universality” pertains to the fact that this result is model-free, i.e., not dependent on an underlying stochastic process. We extend Cover’s theorem to the setting of stochastic portfolio the...
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ژورنال
عنوان ژورنال: The European Physical Journal B
سال: 2006
ISSN: 1434-6028,1434-6036
DOI: 10.1140/epjb/e2006-00062-8