We demonstrate theoretically and illustrate the implications of assuming power utility when the true function is of the expo-power form. Empirical results can appear to be consistent with cumulative prospect theory when they are in fact generated from a Markowitz model. Crown Copyright© 2011 Published by Elsevier B.V. All rights reserved.

In the basic Markowitz and Merton models, a stock’s weight in efficient portfolios goes up if its expected rate of return goes up. Put differently, there are no financial Giffen goods. By an example from mortgage choice we illustrate that for more complicated portfolio problems Giffen effects do occur.

SubmitGregory J. Buffone and Susan A. Lewis, Clinical ters: Chemistry Laboratory, Children’s Hospital National Medical Center, ill Michigan Ave., N. W., Washington, DC 20010 Eva luaCarl R. Jolliff, Lincoln Clinic, Lincoln, NE tors: 68501 Harold Markowitz, Mayo Clinic, Rochester, MN 55901 Gabriel Virella, H. Hugh Fundenberg, Jose Munoz, Nick Burdash, and Patricia Buchner, Medical University of S...

We present a polynomial-time interior-point algorithm for a class of nonlinear saddle-point problems that involve semidefiniteness constraints on matrix variables. These problems originate from robust optimization formulations of convex quadratic programming problems with uncertain input parameters. As an application of our approach, we discuss a robust formulation of the Markowitz portfolio se...

Abstract. Portfolio theory deals with the question of how to allocate resources among several competing alternatives (stocks, bonds), many of which have an unknown outcome. In this paper we provide an overview of different portfolio models with emphasis on the corresponding optimization problems. For the classical Markowitz mean-variance model we present computational results, applying a dual a...

2006;82:2247-2253 Ann Thorac Surg William Greeley, David F. Wilson and Anna Pastuszko Tatiana Zaitseva, Steven Schultz, Gregory Schears, Peter Pastuszko, Scott Markowitz, Regulation of Brain Cell Death and Survival After Cardiopulmonary Bypass http://ats.ctsnetjournals.org/cgi/content/full/82/6/2247 located on the World Wide Web at: The online version of this article, along with updated informa...

An insurance model, with realistic assumptions about coverage, deductible and premium, is studied. Insurance is shown to decrease the variance of the cost to the insured, but increase the expected cost, a tradeoff that places our model in the Markowitz mean–variance model.

It is important to investigate the different impact factors on establishment of investment portfolio. In order maximize profit a portfolio, this research selects six stocks: Adobe (ADBE), International Business Machines Corp (IBM), Bank America Corporation (BAC), Citigroup (C), Southwest Airlines Co (LUV) and Alaska Air Group Inc. (ALK) as an empirical case conduct decision. This compares resul...

Levy and Levy (2002, 2004) and others extend the stochastic dominance (SD) theory for risk averters and risk seekers by developing the prospect SD (PSD) and Markowitz SD (MSD) theory for investors with S-shaped and reverse S-shaped utility functions. Davidson and Duclos (2000) and others develop an SD test for risk averters while Wong, et al. (2007) develop an SD test for risk seekers. In this ...

Portfolio optimization inputs differ widely from their subsequent out-of-sample (OOS) values. As a result, optimized portfolios have 2 to 28 times more risk OOS than their ex-ante estimates suggest. I propose a simple solution to this problem: let the data speak for itself and pick, in real time, the correction that most reduces past OOS errors. The resulting optimized portfolios consistently o...