Minnesota's biotechnology portfolio

Biotechnology and Social Aspect

Modern Portfolio Theory, Digital Portfolio Theory and Intertemporal Portfolio Choice

The paper compares three portfolio optimization models. Modern portfolio theory (MPT) is a short-horizon volatility model. The relevant time horizon is the sampling interval. MPT is myopic and implies that investors are not concerned with long-term variance or mean-reversion. Intertemporal portfolio choice is a multiple period model that revises portfolios continuously in response to relevant s...

Cover’s Universal Portfolio, Stochastic Portfolio Theory and the Numéraire Portfolio

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...

Portfolio Size in Stochastic Portfolio Networks Using Digital Portfolio Theory

The investment portfolio with stochastic returns can be represented as a maximum flow generalized network with stochastic multipliers. Modern portfolio theory (MPT) [1] provides a myopic short horizon solution to this network by adding a parametric variance constraint to the maximize flow objective function. MPT does not allow the number of securities in solution portfolios to be specified. Int...

microbial biotechnology

KennethN. Timmis (Editor-in-Chief), Environmental Microbiology Laboratory, Helmholtz Center for Infection Research, Inhoffenstrasse 7, D-38124 Braunschweig, Germany. Tel.: +49 531 6181 4000; Fax: +49 531 6181 4199; e-mail: [email protected] Juan L. Ramos, Estación Experimental del Zaidín – CSIC, C/ Prof. Albareda, 1, E-18008Granada, Spain. Tel.: +34 958 181 608; Fax: +34 958 135 740; e-mail:...