Studies have examined the number of properties required reduce the risk in a real estate portfolio. In investigating this issue the research has concentrated on examining the impact of portfolio size on the reduction in the standard deviation of returns from ex post time series data. However, the ex post time series standard deviation is not really relevant to long-term institutional investors,...

In this paper, we deal with portfolio selection decisions when the portfolio returns are approximated by stable Paretian distributions. Therefore, we examine some dominance rules to determine the optimal choices of non-satiable risk averse investors. In particular, we first preselect a subclass of assets which are not dominated by the point of view of non-satiable and risk-averse investors. The...

Stock market plays a significant role and has greater influence on basic economic energies of a country. Rapid changes in the stock exchange market with high dimensional uncertain data make the investors to look for effective forecasting using prediction mining techniques. The high dimensional stock data are classified into profitability, stability, cash flow and growth rate but does not deal c...

We consider the optimal selection of portfolios for utility maximizing investors under joint budget and shortfall risk constraints. The shortfall risk is measured in terms of the expected loss. Depending on the parameters of the risk constraint we show existence of an optimal solution and uniqueness of the corresponding Lagrange multipliers. Using Malliavin calculus we also provide the optimal ...

For institutional investors, optimizing the trade-off between risk and reward poses significant modeling and computational challenges. Notably, small errors in the estimated returns of financial assets can lead to optimized portfolios that incur far too much risk for the returns they actually deliver. Given these adverse effects, portfolio construction techniques that are based exclusively on r...

Optimizing portfolio has been a popular topic since it was proposed because can reduce the investment risk. This study selected five active stocks from different industries, including Online E-Commerce, Commercial Banks, Motor Vehicles, Mobile Communication Production, and Telecommunications. Then they were allocated into kinds of portfolios, which are tangency portfolios minimum variance under...

Similarly priced stocks move together. Stocks that undergo splits experience an increase in comovement with low-priced stocks and a decrease in their comovement with highpriced stocks. Price-based comovement is not explained by economic fundamentals, firm size, or changes in liquidity or information diffusion. The shift in comovement following splits is greater for large stocks, high-priced sto...