An algorithm for managing a portfolio of stocks using a trading agent is presented. A simulation game inspired by history-based Parrondo games is described. A performance measure is defined, with which various strategy mixes can be judged. Even when transaction costs are taken into account, active portfolio management (as opposed to Buy and Hold) is shown to be profitable.

A portfolio management is concerned with objectives related to the outperformance of the return of a target benchmark portfolio. In this paper, we consider a dynamic active portfolio management problem where the objective is related to the tradeoff between the achievement of performance goals and the risk of a shortfall. Specifically, we consider an objective that relates the probability of ach...

In this paper, we develop a dynamic investment model maximizing the expected “utility” of excess return relative to a benchmark portfolio. Following the standard setting of continuous time framework for the securities market developed by Merton (1971) and others, we obtain an explicit formula for the optimal portfolio policy for a utility function ofHyperbolic Absolute Risk Aversion (HARA). Unl...

abstract portfolio definition is the most important decision for individuals and legal persons that invest in stock. the main objective of this paper is study and determination of optimal portfolio for stock of active food industrial company in tehran stock based on value at risk (var) index. for this purpose, we used weekly static of stock of active food industrial company in tehran from bahma...

this study is an attempt to apply the market timing andsecurity selection models to evaluate the performance of iranianmutual funds. the research shed light on the questions of ‘howsuccessful are mutual funds in earning excess returns over those of themarket?’ ‘do the excess returns during research period have anymeaningful trend for these financial intermediaries or is it the result ofthe abil...

In this paper, I obtain new measures of the value of active portfolio management by forming replicating portfolios. These measures allow for a separate evaluation of fund managers' strategic and tactical decisions. I also obtain new evidence on the value of trading by decomposing it into long-term trading decisions, short-term trading decisions, and trading that is the result of regulatory rest...