SCALABLE, EFFICIENT AND OPTIMAL DISCRETE-TIME REBALANCING ALGORITHMS FOR LOG-OPTIMAL INVESTMENT PORTFOLIO

Conflict is the key factor to affect investment and benefits of the industry technologies and innovation strategic alliance. This paper constructs an investment decision model of industry technology innovation strategic alliance by discussing the influence of the conflict on the alliance generic technology investment and the impact of member benefits. The results suggest that maximize revenue o...

In this paper, we revisit the portfolio optimization problems of the minimization/maximization of investment risk under constraints of budget and investment concentration (primal problem) and the maximization/minimization of investment concentration under constraints of budget and investment risk (dual problem) for the case that the variances of the return rates of the assets are identical. We ...

A universalization of a parameterized investment strategy is an online algorithm whose average daily performance approaches that of the strategy operating with the optimal parameters determined offline in hindsight. We present a general framework for universalizing investment strategies and discuss conditions under which investment strategies are universalizable. We present examples of common i...

This chapter provides an empirical analysis of interactions between FDI flows and domestic investment in capacity. As a motivation for the empirical analysis, I provide highlights of a new theory of FDI. The theory captures unique feature: hands-on management standards, that enable investors to react in real time to ongoing changes in the economic environment, which surrounds investors. Equippe...

Design of investment portfolios is the most important activity in the management of mutual funds, retirement and pension funds, bank and insurance portfolio management. Such problems involve, first, choosing individual firms, industries, or industry groups that are expected to display strong performance in a competitive market, thus, leading to successful investments in the future; second, it a...

I examine portfolio risk management implications of using hypothetical investment returns from a sample of mutual funds in a variety of investment objective classifications to select mutual funds. While early research supported this practice by showing that risk is homogeneous within investment objective groups and heterogeneous between groups, more recent research suggests that earlier finding...

Is Beta Dead?” (Wallace [1980]) and other recent articles have asked whether broad consequences, disastrous to modern investment technology, would result from misspecification of the Capital Asset Pricing Model (CAPM), or worse yet, from falsehood of the model. The criticisms have cited imprecise specification of the market portfolio as a misapplication of the CAPM, and have emphasized the diff...

The paper analyzes the long-run performance of dynamic investment strategies based on fixed-mix portfolio rules. Such rules prescribe rebalancing the portfolio by transferring funds between its positions according to fixed (timeindependent) proportions. The focus is on asset markets where prices fluctuate as stationary stochastic processes. Under very general assumptions, it is shown that any f...