Portfolio implementation is critical for investment success. Seemingly minor differences in portfolio construction can lead to major differences in performance outcomes. In this paper, we summarize the differences between two popular portfolio construction approaches, “mix” and “integrate,” and examine a handful of value and momentum-themed examples to demonstrate how these differences play out...

The growth-optimal portfolio is designed to have maximum expected log-return over the next rebalancing period. Thus, it can be computed with relative ease by solving a static optimization problem. The growthoptimal portfolio has sparked fascination among finance professionals and researchers because it can be shown to outperform any other portfolio with probability 1 in the long run. In the sho...

This paper presents dynamic portfolio model based on the Merton's optimal investment-consumption model, which combines dynamic synthetic put option using risk-free and risky assets. This paper is extended version of methodological paper published by Yuan Yao (2012). Because of the long history of the development of foreign financial market, with a variety of financial derivatives, the study on ...

Finding the best way to optimize the portfolio after Markowitz's 1952 article has always been and will continue to be one of the concerns of activists in the investment management industry. Researchers have come up with different solutions to overcome this problem. The introduction of mathematical models and meta-heuristic models is one of the activities that has influenced portfolio optimizati...

The goal of an artificial intelligence decision support system is to provide the human user with an optimized decision recommendation when operating under uncertainty in complex environments. The particular focus of our discussion is the investment domain – the goal of investment decision-making is to select an optimal portfolio that satisfies the investor’s objective, or, in other words, to ma...

investors use different approaches to select optimal portfolio. so, optimal investment choices according to return can be interpreted in different models. the traditional approach to allocate portfolio selection called a mean - variance explains. another approach is markov chain. markov chain is a random process without memory. this means that the conditional probability distribution of the nex...