The optimization of investment portfolios is the most important topic in financial decision making, and many relevant models can be found in the literature.  According to importance of portfolio optimization in this paper, deals with novel solution approaches to solve new developed portfolio optimization model. Contrary to previous work, the uncertainty of future retur...

This paper studies the impact of labor ‡exibility on optimal life-cycle portfolio decisions, particularly the ability to change industries or …rms within industries. The model addresses two frequently observed portfolio behaviors that are seemingly inconsistent with rational portfolio choice. The …rst is the tendency of workers and entrepreneurs to hold their company’s stock. The second is the ...

Portfolio turnpike theorems show that if preferences at large wealth levels are similar to power utility, then the investment strategy converges to the power utility strategy as the horizon increases. We state and prove two simple and general portfolio turnpike theorems. Unlike existing literature, our main result does not assume independence of returns and depends only on discounting of future...

This thesis investigates whether stock picking based on classification and regression trees can be implemented as a successful algorithmic trading system, if only based on technical analysis. To evaluate the performance of this method a fictional portfolio was constructed from the Stockholm Stock Exchange OMX30, traded on a five-year period. By means of implementation, classification of the ass...

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...

We exhibit an algorithm for portfolio selection that asymptotically outperforms the best stock in the market. Let x i = x i 1 ; x i 2 ; : : : ; x im t denote the performance of the stock market on day i ; where x ij is the factor by which the j-th stock increases on day i : Let b i = b i 1 ; b i 2 ; : : : ; b im t ; b ij 0; P j b ij = 1 ; denote the proportion b ij of wealth invested in the j-t...