This paper aim at studying a mean-variance portfolio selection problem with stochastic salary, proportional administrative costs and taxation in the accumulation phase of a defined contribution (DC) pension scheme. The fund process is subjected to taxation while the contribution of the pension plan member (PPM) is tax exempt. It is assumed that the flow of contributions of a PPM are invested in...

The paper describes the use of trade-off information to create effective stock portfolio characterized by the desired values of selected stock attributes. The basic notions behind such a process of portfolio creation are discussed and related to multi attribute analysis which is done by evaluating compensations among the attributes’ values. A framework to construct a portfolio using only compen...

In this article, I explicitly solve dynamic portfolio choice problems, up to the solution of an ordinary differential equation (ODE), when the asset returns are quadratic and the agent has a constant relative risk aversion (CRRA) coefficient. My solution includes as special cases many existing explicit solutions of dynamic portfolio choice problems. I also present three applications that are no...

Instead of modeling asset price and currency risks separately, this paper derives the international hedge portfolio, hedging asset price and currency risk simultaneously for estimating the dynamic international optimal hedge ratio. The model estimation is specified in a multivariate GARCH setting with vector error correction terms and estimated for the commodity and stock markets of the U.S., t...

We consider optimal investment problems for a diffusion market model with nonobservable random drifts that evolve as an Itô’s process. Admissible strategies do not use direct observations of the market parameters, but rather use historical stock prices. For a non-linear problem with a general performance criterion, the optimal portfolio strategy is expressed via the solution of a scalar minimiz...

The portfolio is a perfect combination of stock or assets, which an investor buys them. The objective of the portfolio is to divide the investment risk among several shares. Using non-parametric DEA and DEA-R methods can be of great significance in estimating portfolio. In the present paper, the efficient portfolio is estimated by using non-radial DEA and DEA-R models. By proposing non-radial m...

This paper studies the optimal investment strategy of an investor who can access not only the bond and the stock markets, but also the derivatives market. We focus on the investment situation where, in addition to the usual diffusive price shocks, the stock market experiences sudden price jumps and stochastic volatility, and provide closed-form solutions to the dynamic portfolio problem involvi...

contrarian and momentum investing strategies are two techniques which are used in stock markets to enhance portfolio return. contrarian investing strategy states that stocks which had better performances in the past should be sold and stocks that had poor performances should be bought. in practice, this strategy is used for a package of stocks and for portfolio formation. the main objective of ...

Australia’s 2000’s decade saw the sharpest rise in mining investments arising from developing Asian emerging economies’ high demand for commodities like coal, iron ore, nickel, oil and gas which drove up prices to a historic level (Connolly & Orsmond, 2011). As of December 2012, 39 % and 9 % of the Australian Securities Exchange’s stocks were of the mining (coal and uranium stocks are included ...

The problem of portfolio optimization is one of the most important issues in asset management. We here propose a new dynamic portfolio strategy based on the time-varying structures of MST networks in Chinese stock markets, where the market condition is further considered when using the optimal portfolios for investment. A portfolio strategy comprises two stages: First, select the portfolios by ...