The optimum portfolio selection for an investor with particular preferences was proven to lie on the normalized efficient frontier between two bounds defined by the Ballestero (1998) bounding theorem. A deeper understanding is possible if the decision-maker is provided with visual and quantitative techniques. Here, we derive useful insights as a way to support investor’s decision-making through...

We study the existence of the numéraire portfolio under predictable convex constraints in a general semimartingale model of a financial market. The numéraire portfolio generates a wealth process, with respect to which the relative wealth processes of all other portfolios are supermartingales. Necessary and sufficient conditions for the existence of the numéraire portfolio are obtained in terms ...

Resum The optimum portfolio selection for an investor with particular preferences was proven to lie on the normalized efficient frontier between two bounds defined by the Ballestero (1998) bounding theorem. A deeper understanding is possible if the decision-maker is provided with visual and quantitative techniques. Here, we derive useful insights as a way to support investor?s decision-making t...

Keywords: Capital asset pricing model (Capm) Capital asset pricing theory Finance theory Hedonic pricing Portfolio theory Residential rental real estate investment (RRREI) Security market line Systematic/unsystematic risk

This paper presents a portfolio selection model based on the idea of approximation. The model describes a portfolio by its decumulative distribution curve and a preference structure by a family of convex indi€erence curves. It prescribes the optimal portfolio as the one whose decumulative curve has the highest tangent indi€erence curve. The model extends the mean±variance model in the sense tha...

We study the realized risk of Markowitz portfolio computed using parameters estimated from data and generalizations to similar questions involving the out-of-sample risk in quadratic programs with linear equality constraints. We do so under the assumption that the data is generated according to an elliptical model, which allows us to study models where we have heavy-tails, tail dependence, and ...

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MPT is a novel multipath technology based on the GRE in UDP tunnel specification. In this paper, the conceptual architecture of MPT is disclosed. The designed structure of MPT includes several useful components: the possibility for external software modules to change the run-time parameters (by using the control interface), the choice between flow-based and packet based mappings of tunnel traff...

Episodic memory involves a mechanism that binds information into a coherent representation structure. Especially, more complex memory structures are required when there are more overlapping elements among different episodes (Humphreys, Bain & Pike, 1989), and the ability to use memory structures of different complexities increases throughout development (Yim, Dennis, & Sloutsky, 2013). Although...

This paper studies portfolio choice and pricing in markets in which immediate trading may be impossible. It departs from the literature by removing restrictions on asset holdings, and finds that optimal positions depend significantly and naturally on liquidity: When expected future liquidity is high, agents take more extreme positions, given that they do not have to hold those positions for lon...