Showing 1 - 10 of 13
The Growth-Optimal Portfolio (GOP) theory determines the path of bet sizes that maximize long-term wealth. This multi-horizon goal makes it more appealing among practitioners than myopic approaches, like Markowitz's mean-variance or risk parity. The GOP literature typically considers...
Persistent link: https://www.econbiz.de/10013200504
Utility and risk are two often competing measurements on the investment success. We show that efficient trade-off between these two measurements for investment portfolios happens, in general, on a convex curve in the two-dimensional space of utility and risk. This is a rather general pattern....
Persistent link: https://www.econbiz.de/10011996611
The aim of this paper is to provide several examples of convex risk measures necessary for the application of the general framework for portfolio theory of Maier-Paape and Zhu (2018), presented in Part I of this series. As an alternative to classical portfolio risk measures such as the standard...
Persistent link: https://www.econbiz.de/10011996634
Banks make profits from the difference between short-term and long-term loan interest rates. To issue loans, banks raise funds from capital markets. Since the long-term loan rate is relatively stable, but short-term interest is usually variable, there is an interest rate risk. Therefore, banks...
Persistent link: https://www.econbiz.de/10013200469
This is Part III of a series of papers which focus on a general framework for portfolio theory. Here, we extend a general framework for portfolio theory in a one-period financial market as introduced in Part I [Maier-Paape and Zhu, Risks 2018, 6(2), 53] to multi-period markets. This extension is...
Persistent link: https://www.econbiz.de/10013200478
In a one price economy, the Fundamental Theorem of Asset Pricing (FTAP) establishes that no-arbitrage is equivalent to the existence of an equivalent martingale measure. Such an equivalent measure can be derived as the normal unit vector of the hyperplane that separates the attainable gain...
Persistent link: https://www.econbiz.de/10013200599
This article develops a detailed epidemiological multi-factor model, the K-susceptible-exposed-infected-removed (K-SEIR) model, and several simpler sub-models as its building blocks. The general model enables us to account for all the relevant COVID-19 features, its disparate impact on different...
Persistent link: https://www.econbiz.de/10014332449
Persistent link: https://www.econbiz.de/10011310598
The Europe's 2020 Strategy clearly outlines the ambition for EU member states to pursue a smart, sustainable and inclusive growth: this means designing a the strategy that aims at achieving a socio-ecological transition by fostering economic growth as well as social development (e.g. with...
Persistent link: https://www.econbiz.de/10011410766
This paper explores the links between open innovation and the emergence of a phoenix industry – the low carbon vehicles sector - in the UK’s traditional automotive heartland, focusing on the West Midlands region. It highlights three major factors in driving the development of this...
Persistent link: https://www.econbiz.de/10011411019