This study aims at getting a better performance for optimal stock portfolios by modeling stocks prices dynamics through a continuous paths Levy process. To this end, the share prices are simulated using a multi-dimensional geometric Brownian motion model. Then, we use the results to form the optimal portfolio by maximizing the Sharpe ratio and comparing the findings with the outputs of the conv...

In this paper, we document that an application of a moving average timing strategy of technical analysis to portfolios sorted by volatility generates investment timing portfolios that substantially outperform the buy-and-hold strategy. For high-volatility portfolios, the abnormal returns, relative to the capital asset pricing model (CAPM) and the Fama-French 3-factor models, are of great econom...

We describe the design of a knowledge-building environment and examine the roles of knowledge-building portfolios in characterizing and scaffolding collaborative inquiry. Three classes of Grade 9 students in Hong Kong used Knowledge Forum (KF) under several design conditions. Results showed (1) Students working on portfolios guided with knowledge building principles showed more participation, d...

How influential is the president’s advantage in cabinet formation in presidential systems? Do presidents receive more and the most important portfolios? What factors lead to a more or less disproportionate distributions of portfolios? In this study, I suggest answers for these questions through a theory in which the disproportional allocation of portfolios can be explained by the privileged pos...

and Company LLC (GMO) uses mixed-integer-programming (MIP) methods to construct portfolios that are close (in terms of sector and security exposure) to target portfolios, have the same liquidity, turnover, and expected return as the target portfolios, control frictional costs, and do so with fewer distinct stocks and with fewer transactions. It also applies MIP methods to portfolios consisting ...