Our paper aims to answer the question: Can the macroeconomic condition be used to better allocate investments among different sectors of a market? Motivated by classical Markowitz portfolio theory, and prior work in attempting to incorporate exogenous economic factors in portfolio optimization [1][2][3][4], we explore three approaches to dynamically rebalance a portfolio as market or economic r...

3 We integrate appealing features of Markowitz’s mean-variance portfolio theory (MVT) 4 and Shefrin and Statman’s behavioral portfolio theory (BPT) into a new mental accounting 5 (MA) framework. Features of the MA framework include an MA structure of portfolios, 6 a definition of risk as the probability of failing to reach the threshold level in each mental 7 account, and attitudes toward risk ...

Many construction companies struggle with multi-project optimization and change despite adhering to normative project portfolio management instructions and best practices. One explanation is that managers lack extensive multi-project management experience from which to apply related theory to practical outcomes. This paper proposes a three-dimensional segmentation framework to guide companies w...

THE CURRENT PAPER BY YACINE AIT-SAHALIA and Michael W. Brandt ~henceforth AB! addresses two issues that are of central concern in portfolio choice: How can portfolio advice be made realistic while remaining tractable? How can

The majority of household wealth is held in illiquid forms such as home equity and retirement accounts. This paper presents a theoretical model which derives the optimal portfolio allocation between liquid and illiquid assets. The effect of income uncertainty on portfolio choice behavior is examined in detail. I show that the bulk of household savings can be optimally held in the illiquid form ...

In this paper, we compare the portfolio allocation model of multifractal detrended Fluctuation approach with the modern efficient frontier model and the asset allocation model from Chinese institution fund, the risk-return performance of the multifractal detrended Fluctuation turns out to be more optimal portfolio allocation than that from Chinese institution fund and the conclusions have impli...

The purpose of this paper is to suggest a new theory of portfolio selection which is based on evolutionary reasoning in simple repeated market situations. According to this new point of view the ultimate success of a portfolio strategy is measured by the wealth share the strategy is eventually able to conquer in an evolutionary process of market selection. We identify a simple portfolio strateg...

This paper deals with a portfolio selection problem with independently estimated possibilistic return rates. Under such a circumstance, a distributive investment has been regarded as a good solution in the traditional portfolio theory. However, the conventional possibilistic approach yields a concentrated investment solution. Considering the reason why a distributive investment is advocated, a ...