PORTFOLIO
نویسندگان
چکیده
منابع مشابه
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...
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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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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...
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ژورنال
عنوان ژورنال: Tessera
سال: 2003
ISSN: 1923-9408,0840-4631
DOI: 10.25071/1923-9408.25520