Results 1 - 10 of 3,639

Optimal portfolio:

by Jose Da Fonseca, Martino Grasselli, Florian Ielpo
"... Objectives: • How to extend the Heston model to a multi asset framework? • How to extend Merton optimal portfolio choice to a stochastic (co)variance framework? • How to quantify Variance and Covariance risks in the market? Variance Risk • The usual framework: the Heston (1993) model dSt ..."
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Objectives: • How to extend the Heston model to a multi asset framework? • How to extend Merton optimal portfolio choice to a stochastic (co)variance framework? • How to quantify Variance and Covariance risks in the market? Variance Risk • The usual framework: the Heston (1993) model dSt

Analysis of Kelly-optimal portfolios

by Paolo Laureti, Yi-cheng Zhang , 712
"... We investigate the use of Kelly’s strategy in the construction of an optimal portfolio of assets. With asset prices undergoing a multiplicative random process, we derive approximate analytical results for the optimal investment fractions under various constraints. We show that, when returns and vola ..."
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We investigate the use of Kelly’s strategy in the construction of an optimal portfolio of assets. With asset prices undergoing a multiplicative random process, we derive approximate analytical results for the optimal investment fractions under various constraints. We show that, when returns

Robust Growth-Optimal Portfolios

by Napat Rujeerapaiboon , Daniel Kuhn , Wolfram Wiesemann
"... The growth-optimal portfolio is designed to have maximum expected log-return over the next rebalancing period. Thus, it can be computed with relative ease by solving a static optimization problem. The growthoptimal portfolio has sparked fascination among finance professionals and researchers becaus ..."
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The growth-optimal portfolio is designed to have maximum expected log-return over the next rebalancing period. Thus, it can be computed with relative ease by solving a static optimization problem. The growthoptimal portfolio has sparked fascination among finance professionals and researchers

Optimal portfolios from . . .

by Robert Almgren, Neil Chriss , 2004
"... Modern portfolio theory produces an optimal portfolio from estimates of expected returns and a covariance matrix. We present a method for portfolio optimization based on replacing expected returns with sorting criteria, that is, with information about the order of the expected returns but not their ..."
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Modern portfolio theory produces an optimal portfolio from estimates of expected returns and a covariance matrix. We present a method for portfolio optimization based on replacing expected returns with sorting criteria, that is, with information about the order of the expected returns

the Growth Optimal Portfolio

by Jan Baldeaux, Katja Ignatieva, Eckhard Platen , 2012
"... The growth optimal portfolio (GOP) plays an important role in finance, where it serves as the numéraire portfolio, with respect to which contingent claims can be priced under the real world probability measure. This paper models the GOP using a time dependent constant elasticity of variance (TCEV) ..."
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The growth optimal portfolio (GOP) plays an important role in finance, where it serves as the numéraire portfolio, with respect to which contingent claims can be priced under the real world probability measure. This paper models the GOP using a time dependent constant elasticity of variance (TCEV

Optimal Portfolios with Parametric Weights

by Michael W. Brandt, Pedro Santa-clara, Rossen Valkanov , 2004
"... We propose a novel approach to optimizing portfolios with large numbers of assets. We model directly the portfolio weight in each asset as a function of the asset’s characteristics. The coefficients of this function are found by optimizing the investor’s average utility of the portfolio’s return ove ..."
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We propose a novel approach to optimizing portfolios with large numbers of assets. We model directly the portfolio weight in each asset as a function of the asset’s characteristics. The coefficients of this function are found by optimizing the investor’s average utility of the portfolio’s return

Phi-alpha Optimal Portfolios

by Wilmott Magazine, Extreme Risk Management
"... becomes a much more reliable measure of downside risk. More importantly Stable Expected Tail Loss (SETL) can be accurately calculated and used as a more informa-tive risk measure for both market and credit portfolios. Along with being a superi-or risk measure, SETL enables an elegant approach to por ..."
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to portfolio optimization via convex optimization that can be solved using standard scalable linear program-ming software. We show that this approach, called φα portfolio optimization, yields superior risk adjusted returns relative to Markowitz portfolios. We introduce a new indicator of investment performance

On the history of the Growth Optimal Portfolio

by Morten Mosegaard Christensen , 2005
"... The growth optimal portfolio (GOP) is a portfolio which has a maximal expected growth rate over any time horizon. As a consequence, this portfolio is sure to outperform any other significantly different strategy as the time horizon increases. This property in particular has fascinated many researche ..."
Abstract - Cited by 6 (0 self) - Add to MetaCart
The growth optimal portfolio (GOP) is a portfolio which has a maximal expected growth rate over any time horizon. As a consequence, this portfolio is sure to outperform any other significantly different strategy as the time horizon increases. This property in particular has fascinated many

Optimal Portfolios for Logarithmic Utility

by Thomas Goll, Jan Kallsen - STOCHASTIC PROCESSES AND THEIR APPLICATIONS 89 , 1999
"... We consider the problem of maximizing the expected logarithmic utility from consumption or terminal wealth in a general semimartingale market model. The solution is given explicitly in terms of the semimartingale characteristics of the securities price process. ..."
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We consider the problem of maximizing the expected logarithmic utility from consumption or terminal wealth in a general semimartingale market model. The solution is given explicitly in terms of the semimartingale characteristics of the securities price process.

Growth Optimal Portfolios: their structure and nature

by unknown authors , 2000
"... Keywords:growth optimal portfolios, mean-variance frontier, Weiner process, growth beta, portfolio characteristics. Any investment strategy that maximises portfolio growth has an intuitive appeal for both the professional and non-professional investor. This paper investigates the structure and prope ..."
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Keywords:growth optimal portfolios, mean-variance frontier, Weiner process, growth beta, portfolio characteristics. Any investment strategy that maximises portfolio growth has an intuitive appeal for both the professional and non-professional investor. This paper investigates the structure
Results 1 - 10 of 3,639