We derive a closed-form optimal dynamic portfolio policy when trading is costly and security returns are predictable by signals with different mean-reversion speeds. The optimal strategy is characterized by two principles: 1) aim in front of the target and 2) trade partially towards the current aim. Specifically, the optimal updated portfolio is a linear combination of the existing portfolio an...

This paper features an analysis of the effectiveness of a range of portfolio diversification strategies as applied to a set of 17 years of monthly hedge fund index returns on a set of ten market indices representing 13 major hedge fund categories, as compiled by the EDHEC Risk Institute. The 17-year period runs from the beginning of 1997 to the end of August 2014. The sample period, which incor...

Burgen und Schlösser in Deutschland. Hrsg. von Klaus Merten, unter Mitarbeit Uwe Albrecht, Hans-Joachim Giersberg, Irene Markowitz u. Michael Peztet. Aufnahmen Paolo Marton, München (Hirmer) 1995, 574 S., zahlr. Abb.

Following the seminal work by Markowitz, the portfolio selection problem is usually modeled as a bicriteria optimization problem where a reasonable trade-off between expected rate of return and risk is sought. In the classical Markowitz model, the risk is measured with variance. Several other risk measures have been later considered thus creating the entire family of mean-risk (Markowitz type) ...

Portfolio allocation theory has been heavily influenced by a major contribution of Harry Markowitz in the early fifties: the mean-variance approach. While there has been a continuous line of works in on-line learning portfolios over the past decades, very few works have really tried to cope with Markowitz model. A major drawback of the mean-variance approach is that it is approximation-free onl...

Stock portfolio selection is a classic problem in finance, and it involves deciding how to allocate an institution’s or an individual’s wealth to a number of stocks, with certain investment objectives (return and risk). In this paper, we adopt the classical Markowitz mean-variance model and consider an additional common realistic constraint, namely, the cardinality constraint. Thus, stock portf...

The appearance of Markowitz Model significantly improves the way investors optimize their financial portfolio, allowing them to reduce collective risks different assets and further maximize profitability portfolio. This article aims discuss analyze feasibility in practical cases as definition this mean variance model leans theoretical aspect finance like efficient market rational investors. dat...