The aim of this paper is to propose a portfolio selection methodology capable take into account asset tail co-movements as additional constraints in Markowitz model. We apply the observed time series 10 largest crypto assets, terms market capitalization, over period 20 September 2017–31 December 2020 (1200 daily observations). results indicate that portfolios selected considering risk are more ...

Introduction One of the basic problems of applied finance is the optimal selection of stocks by conflicting objective of maximizing future return and minimizing investment risk. The first systematic treatment of this dilemma is the mean variance approach proposed by Markowitz. Markowitz combined the optimization and probability theory to solve the dilemma. In Markowitz’s mean variance model, th...

Portfolio optimization requires the minimal risk with certain expected return. The risk structure of securities, such as their exposure to countries, industrial sectors, or commodity/factor, have to be characterized, and then the optimal weights of securities in a portfolio can be determined to minimize the exposure of the portfolio to any specific risk factor. Typically, the risk factors are n...

A number of variants of the classical Markowitz mean-variance optimization model for portfolio selection have been investigated to render it more realistic. Recently, it has been studied the imposition of a cardinality constraint, setting an upper bound on the number of active positions taken in the portfolio, in an attempt to improve its performance and reduce transactions costs. However, one ...

Investing during a pandemic is very challenging. Even in these difficult times, the investor must appropriately allocate assets into his portfolio. In this article, we discuss investing stock market. We are interested creating portfolios of shares that consist financial assets. The individual methods use designed to provide an allocation funds between shares. modern portfolio theory, Markowitz ...

In this paper, we show that, similarly to the fact that distributing the investment between several independent financial instruments decreases the investment risk, using a combination of several medicines can decrease the medicines’ side effects. Moreover, the formulas for optimal combinations of medicine are the same as the formulas for the optimal portfolio, formulas first derived by the Nob...

We derive a closed-form optimal dynamic portfolio policy when trading is costly and security returns are predictable by signals with different mean-reversion speeds. The optimal strategy is characterized by two principles: 1) aim in front of the target and 2) trade partially towards the current aim. Specifically, the optimal updated portfolio is a linear combination of the existing portfolio an...

data types, objects, classes and inheritance. Many consider SIMULA 67 to be the first object oriented programming language. SIMSCRIPT (Markowitz, Hausner and Karr 1962) is an SPL that, in its original form, conformed to the event scheduling world view. The original version of SIMSCRIPT (often referred to as SIMSCRIPT I) allows the modeler to describe a simulation model in terms of entities, att...