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

components used in asset pricing, namely the risk physical and neutral measures and the relative pricing kernel.The analysis is … utility of terminal wealth, we prove the existence of an information premium between what is required by the theory, a … interconnection between the pricing kernel and its densities, the extension to the risk-neutral measure follows naturally …

QP application. The advantage of Monte Carlo methods is that they may be extended to risk functions that are more … classical Gaussian limitations. The optimization of quadratic risk-return functions, VaR, CVaR, may be handled in a similar … risk preferences are optimized with differing multivariate distributions. Good comparisons with established results in Mean …

. CAPM, Mean-Variance Portfolio Optimization, Constrained Optimization, Fama-French, Value-Size Portfolios, Dynamical …

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 …

Hedge funds offer desirable risk-return profiles; but we also find high management fees, lack of transparency and worse …

Modern Portfolio Theory (MPT) provides an elegant mathematical framework for the efficient portfolio allocation problem …-of-sample volatility if a jump in systematic risk occurs. Chapter 2 introduces a covariance estimation approach which is based solely on …Die Moderne Portfolio Theorie (MPT) bietet einen eleganten mathematischen Rahmen für das Problem der effizienten …