Portfolio theory, utility theory and mate selection

نویسندگان
چکیده

برای دانلود باید عضویت طلایی داشته باشید

برای دانلود متن کامل این مقاله و بیش از 32 میلیون مقاله دیگر ابتدا ثبت نام کنید

اگر عضو سایت هستید لطفا وارد حساب کاربری خود شوید

منابع مشابه

Portfolio Life Cycle Selection – Theory and Experiment

In this paper, I compare the results from a laboratory experiment, in which individuals could allocate their funds between a risky asset and a risk-free zero return fund, with stochastic dynamic optimization policies based on expected utility maximization. Specifically, I focus on the predictions based on a negative exponential and concave quadratic utility. In addition, I look at the applicabi...

متن کامل

Automatic Trading Agent. RMT based Portfolio Theory and Portfolio Selection

Portfolio theory is a very powerful tool in the modern investment theory. It is helpful in estimating risk of an investor’s portfolio, arosen from lack of information, uncertainty and incomplete knowledge of reality, which forbids a perfect prediction of future price changes. Despite of many advantages this tool is not known and not widely used among investors on Warsaw Stock Exchange. The main...

متن کامل

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...

متن کامل

Utility-Deviation-Risk Portfolio Selection

We here provide a comprehensive study of the utility-deviation-risk portfolio selectionproblem. By considering the first-order condition for the corresponding objective function, we firstderive the necessary condition that the optimal terminal wealth satisfying two mild regularity con-ditions solves for a primitive static problem, called Nonlinear Moment Problem. We then illustrate<...

متن کامل

Portfolio selection with probabilistic utility

We present a novel portfolio selection technique, which replaces the traditional maximization of the utility function with a probabilistic approach inspired by statistical physics. We no longer seek the single global extremum of some chosen utility function, but instead reinterpret the latter as a probability distribution of ‘optimal’ portfolios, and select the portfolio that is given by the me...

متن کامل

ذخیره 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: Genetics Selection Evolution

سال: 1987

ISSN: 1297-9686

DOI: 10.1186/1297-9686-19-3-321