Numerous institutions are now engaged in Socially Responsible Investment or have signed the ”UN Principles for Responsible Investment”. Retail investors, however, are still lacking behind. This is peculiar since the sector constitutes key stakeholders in environmental, social and governmental standards. This paper considers optimal responsible investment for a small retail investor. It extends ...

Abstract—Modern Portfolio Theory (MPT) according to Markowitz states that investors form mean-variance efficient portfolios which maximizes their utility. Markowitz proposed the standard deviation as a simple measure for portfolio risk and the lower semi-variance as the only risk measure of interest to rational investors. This paper uses a third volatility estimator based on intraday data and c...

The theory of functionally generated portfolios (FGPs) is an aspect of the continuous-time, continuouspath Stochastic Portfolio Theory of Robert Fernholz. FGPs have been formulated to yield a master equation a description of their return relative to a passive (buy-and-hold) benchmark portfolio serving as the numéraire. This description has proven to be analytically very useful, as it is both pa...

I multiattribute portfolio optimization, a decision maker must evaluate a number of projects on multiple dimensions and then select the set of projects that optimizes the portfolio’s overall value. In this note, we discuss the importance of establishing an appropriate baseline score for not doing a project in multiattribute portfolio analysis. We believe that practitioners often implicitly assu...

The relationship between trading volume and securities prices is a complex one which, when understood properly, can lead to many insights in portfolio theory. Over the past forty years, much work has been done trying to understand this relationship. In this document, we will attempt to introduce and discuss some of these papers. First, we introduce basic topics of finance theory, such as the Ca...

The underconfidence with practice effect (UWP) refers to the finding that people’s judgments of learning shift from overconfidence to underconfidence on and after a first study-test trial (Koriat, Ma’ayan, & Sheffer, 2002). Finn and Metcalfe (2007, 2008) proposed that people show UWP because they use their memory of prior test performance as a cue to make subsequent judgments of learning and in...

We develop a new theory for pricing call type American options in complete markets which do not necessarily admit an equivalent local martingale measure. This resolve an open question proposed by Fernholz and Karatzas [Stochastic Portfolio Theory: A Survey, Handbook of Numerical Analysis, 15:89168, 2009].

The tradition of just price theory is generally regarded in contemporary economic literature, and certainly in media editorials and commentary, as an outmoded and naïve approach to commercial life. Price is determined by supply and demand in an adequate market; the rest is sentiment. Yet even so, various intuitions which involve some implicit account of unjust price survive. We suggest that our...

Abstract The optimum portfolio selection for an investor with particular preferences was proven to lie on the normalized efficient frontier between two bounds defined by the Ballestero (1998) bounding theorem. A deeper understanding is possible if the decision-maker is provided with visual and quantitative techniques. Here, we derive useful insights as a way to support investor?s decision-makin...

Upgradeability problems are a critical issue in modern operating systems. The problem consists in finding the “best” solution according to some criteria, to install, remove or upgrade packages in a given installation. This is a difficult problem: the complexity of the upgradeability problem is NP complete and modern OS contain a huge number of packages (often more than 20 000 packages in a Linu...