Search Results - subject:"Terminal wealth"

Portfolio optimization: not necessarily concave utility and constraints on wealth and allocation

Escobar-Anel, Marcos; Kschonnek, Michel; Zagst, Rudi - In: Mathematical Methods of Operations Research 95 (2022) 1, pp. 101-140

convex constraints on portfolio allocation and upper and lower bounds on terminal wealth. After introducing a capped version … allocation constraints to derive equivalent optimality conditions for our setting with additional bounds on terminal wealth. The …

Persistent link: https://www.econbiz.de/10015328812

Portfolio optimization : not necessarily concave utility and constraints on wealth and allocation

Escobar, Marcos; Kschonnek, Michel; Zagst, Rudi - In: Mathematical methods of operations research : ZOR 95 (2022) 1, pp. 101-140

Persistent link: https://www.econbiz.de/10013184223

Equity Portfolio Diversification: How Many Stocks are Enough? Evidence from Five Developed Markets

Alexeev, Vitali; Tapon, Francis - School of Economics and Finance, Tasmanian School of … - 2013

In this study of five developed markets we analyse the sizes of portfolios required for achieving most diversication benefits. Using daily data, we trace the year-to-year dynamic of these sizes between 1975 and 2011. We compute several widely-accepted measures of risk and use an extreme risk...

Persistent link: https://www.econbiz.de/10010717678

Optimal portfolio selection for general provisioning and terminal wealth problems

Van Weert, Koen; Dhaene, Jan; Goovaerts, Marc J. - 2009

Persistent link: https://www.econbiz.de/10009126893

Essays on asset allocation strategies for defined contribution plans

Basu, Anup K. - 2008

Asset allocation is the most influential factor driving investment performance. While researchers have made substantial progress in the field of asset allocation since the introduction of mean-variance framework by Markowitz, there is little agreement about appropriate portfolio choice for...

Persistent link: https://www.econbiz.de/10009437693

Modeling liquidity effects in discrete time

Cetin, Umut; Rogers, L.C.G. - London School of Economics (LSE) - 2007

We study optimal portfolio choices for an agent with the aim of maximising utility from terminal wealth within a market … of the optimal terminal wealth serves as a change of measure to turn the marginal price process of the optimal strategy …

Persistent link: https://www.econbiz.de/10010746632

The Impact of Real Estate on the Terminal Wealth of the UK Mixed-Asset Portfolio

Byrne, Peter; Lee, Stephen - Henley Business School, University of Reading - 2003

funds, who are more concerned the terminal wealth (TW) of their investments and the variability of this wealth, the terminal … wealth standard deviation (TWSD), since it is from the TW of their investment portfolio that policyholders and pensioners …

Persistent link: https://www.econbiz.de/10008546778