Optimal Portfolios For Different Holding Periods
نویسندگان
چکیده
منابع مشابه
Optimal portfolios for logarithmic utility
We consider the problem of maximizing the expected logarithmic utility from consumption or terminal wealth in a general semimartingale market model. The solution is given explicitly in terms of the semimartingale characteristics of the securities price process. c © 2000 Elsevier Science B.V. All rights reserved.
متن کاملoptimal Rebalancing for Institutional Portfolios
WtNTER 2006 I nstitutional money managers develop risk models and optimal portfolios to match a desired risk/reward profile. Utility functions express risk preferences and implicitly reflect the views of fund trustees or directors. Once a manager determines a target portfolio, maintaining this balance of assets is non-trivial. A manager must rebalance actively because different asset classes ca...
متن کاملOptimal Bond Portfolios
We aim to construct a general framework for portfolio management in continuous time, encompassing both stocks and bonds. In these lecture notes we give an overview of the state of the art of optimal bond portfolios and we re-visit main results and mathematical constructions introduced in our previous publications (Ann. Appl. Probab. 15, 1260–1305 (2005) and Fin. Stoch. 9, 429–452 (2005)). A sol...
متن کاملOptimal Financial Portfolios
This article considers classes of reward-risk optimization problems that arise from different choices of reward and risk measures. In certain examples the generic problem reduces to linear or quadratic programming problems. We state an algorithm based on a sequence of convex feasibility problems for the general quasiconcave ratio problem. We also consider reward-risk ratios that are appropriate...
متن کاملRobust Growth-Optimal Portfolios
The growth-optimal portfolio is designed to have maximum expected log-return over the next rebalancing period. Thus, it can be computed with relative ease by solving a static optimization problem. The growthoptimal portfolio has sparked fascination among finance professionals and researchers because it can be shown to outperform any other portfolio with probability 1 in the long run. In the sho...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Journal of Business & Economics Research (JBER)
سال: 2010
ISSN: 2157-8893,1542-4448
DOI: 10.19030/jber.v8i10.768