Search results for "portfolio theory"
showing 4 items of 24 documents
Portfolio optimisation with strictly positive transaction costs and impulse control
1998
One crucial assumption in modern portfolio theory of continuous-time models is the no transaction cost assumption. This assumption normally leads to trading strategies with infinite variation. However, following such a strategy in the presence of transaction costs will lead to immediate ruin. We present an impulse control approach where the investor can change his portfolio only finitely often in finite time intervals. Further, we consider transaction costs including a fixed and a proportional cost component. For the solution of the resulting control problems we present a formal optimal stopping approach and an approach using quasi-variational inequalities. As an application we derive a non…
Fuzzy Investment Portfolio Selection Models Based on Interval Analysis Approach
2012
Published version of an article from the journal: Mathematical Problems in Engineering. Also available from the publisher:http://dx.doi.org/10.1155/2012/628295 This paper employs fuzzy set theory to solve the unintuitive problem of the Markowitz mean-variance (MV) portfolio model and extend it to a fuzzy investment portfolio selection model. Our model establishes intervals for expected returns and risk preference, which can take into account investors' different investment appetite and thus can find the optimal resolution for each interval. In the empirical part, we test this model in Chinese stocks investment and find that this model can fulfill different kinds of investors' objectives. Fi…
Optimal portfolio allocation with real assets : a Finnish perspective
2017
Alternative market assets, i.e. those which are not part of the ''traditional'' financial assets, have become increasingly popular globally during the last decade. The purpose of this study is to examine the potential benefits of including real investment assets, specifically timberland and real estate holdings, for a investor investing to either domestic or international markets. Specifically the questions to be asked are: Do Finnish real investment assets offer diversification benefits in respect of increased risk-adjusted returns? What are the optimal asset allocations? The analyzed time-series for alternative investments represent quarterly total returns of average Finnish timberland an…
An Ethical Investments Evaluation for Portfolio Selection
2004
The Socially Responsible Investing (SRI) is an assets allocation, whose aim is to maximize not only the portfolio expected return but the benefits for a consumer who as a whole operates according to the ethical principles. The wealth of a market economy is to cross the different ethical identities of families, of enterprises, of banks, in order to improve the allocation of the resources for a sustainable development. In this paper, we aim at describing the portfolio selection realized on the basis of the ethical principles - positive /negative, inclusionary/exclusionary - of an investor. The first part of this paper describes Socially Responsible Investing (SRI) and ethical funds market in …