theory. Research implications/limitations - The research emphasized that in order to get a more diversified investment … volatility that, in consequence, pertains to knowledgeable attributing of investment portfolio proportions of either individual …Aim/purpose - In this paper, a market volatility-robust portfolio composition framework under the modified Markowitz …

We determine the optimal investment strategy in a Black-Scholes financial market to minimize the so-called probability … of drawdown, namely, the probability that the value of an investment portfolio reaches some fixed proportion of its …

volatility for estimating conditional variances and covariances; (2) alternative currencies; and (3) alternative maturities of … Chang et al. [17], we estimate four multivariate volatility models (namely CCC, VARMA-AGARCH, DCC and BEKK), and calculate …

The paper examines the performance of four multivariate volatility models, namely CCC, VARMA-GARCH, DCC and BEKK, for … the optimal portfolio weights of all multivariate volatility models for Brent suggest holding futures in larger … volatility model give the time-varying hedge ratios, and recommend to short in crude oil futures with a high proportion of one …

assets only, the constrained one, and the presence of a risk-free asset. The use of a generalized form for the budget … - and infer the price of pure risk. Some properties of the several solutions are highlighted. The rationale for a linear …

We implement a long-horizon static and dynamic portfolio allocation involving a risk-free and a risky asset. This model …

In a market with stochastic investment opportunities, we study an optimal consumption investment problem for an agent … with recursive utility of Epstein-Zin type. Focusing on the empirically relevant specification where both risk aversion and … elasticity of intertemporal substitution are in excess of one, we characterize optimal consumption and investment strategies via …

The purpose of this article is to evaluate optimal expected utility risk measures (OEU) in a risk- constrained … constraint to a portfolio selection model using value at risk as constraint. The former is a coherent risk measure for utility … functions with constant relative risk aversion and allows individual specifications to the investor's risk attitude and time …

Algorithm” is the most robust framework to implement risk-budgeting portfolios for any type of investment universe …In this paper we reviewed some numerical algorithms, implemented in R language which solve the Risk Budgeting (RB … Cyclical Coordinate Descent (CCD) algorithm proposed by Griveau et.al. (2013) which suits well for risk budgeting on a large …

An optimization method is developed for constructing investment portfolios which stochastically dominate a given … benchmark for all decreasing absolute risk-averse investors, using Quadratic Programming. The method is applied to standard data … the performance of Mean-Variance optimization by tens to hundreds of basis points per annum, for low to medium risk levels …