Search Results - subject:"Optimal Portfolio Selection"

The maximum diversification investment strategy: A portfolio performance comparison

Theron, Ludan; Van Vuuren, Gary - In: Cogent Economics & Finance 6 (2018) 1, pp. 1-16

The efficacy of four different portfolio allocation strategies is evaluated according to their absolute returns during different economic conditions over a period of 10 years. A comparison is drawn between the Most Diversified portfolio (MD) and three alternatives; a Minimum Variance portfolio,...

Persistent link: https://www.econbiz.de/10011988823

A generalized measure for the optimal portfolio selection problem and its explicit solution

Landsman, Zinoviy; Makov, Udi; Shushi, Tomer - In: Risks 6 (2018) 1, pp. 1-15

In this paper, we offer a novel class of utility functions applied to optimal portfolio selection. This class … provide an explicit solution to the problem of optimal portfolio selection based on this class. Furthermore, we show that each …

Persistent link: https://www.econbiz.de/10011996577

The maximum diversification investment strategy : a portfolio performance comparison

Theron, Ludan; Van Vuuren, Gary - In: Cogent economics & finance 6 (2018) 1, pp. 1-16

Persistent link: https://www.econbiz.de/10011891272

A generalized measure for the optimal portfolio selection problem and its explicit solution

Landsman, Zinoviy; Makov, Udi; Shushi, Tomer - In: Risks : open access journal 6 (2018) 1, pp. 1-15

Persistent link: https://www.econbiz.de/10011811566

Covid-19 and optimal portfolio selection for investment in sustainable development goals

Yoshino, Naoyuki; Taghizadeh-Hesary, Farhad; Otsuka, Miyu - In: Finance research letters 38 (2021), pp. 1-6

Persistent link: https://www.econbiz.de/10012490635

The tail mean-variance optimal portfolio selection under generalized skew-elliptical distribution

Eini, Esmat Jamshidi; Khaloozadeh, Hamid - In: Insurance / Mathematics & economics 98 (2021), pp. 44-50

Persistent link: https://www.econbiz.de/10012545260

Mean-variance efficiency of optimal power and logarithmic utility portfolios

Bodnar, Taras; Ivasiuk, Dmytro; Parolya, Nestor; … - In: Mathematics and financial economics 14 (2020) 4, pp. 675-698

Persistent link: https://www.econbiz.de/10012321865

A numerical solution of optimal portfolio selection problem with general utility functions

Ma, Guiyuan; Zhu, Song-Ping; Kang, Boda - In: Computational economics 55 (2020) 3, pp. 957-981

Persistent link: https://www.econbiz.de/10012223689

Construction of a class of forward performance processes in stochastic factor models, and an extension of Widder's theorem

Avanesyan, Levon; Shkolnikov, Mykhaylo; Sircar, Kaushik … - In: Finance and stochastics 24 (2020) 4, pp. 981-1011

Persistent link: https://www.econbiz.de/10012518139

Analytic solution to the portfolio optimization problem in a mean-variance-skewness model

Landsman, Zinoviy; Makov, Udi; Shushi, Tomer - In: The European journal of finance 26 (2020) 2/3, pp. 165-178

Persistent link: https://www.econbiz.de/10012207192