The seminal work by Markowitz in 1959 introduced portfolio theory to the world. The prevailing notion since then has been that portfolio risk is non linear i.e. you cannot use Linear Programming (LP) to optimize your portfolio. We will in this paper show that simple portfolio drawdown...

Portfolio Theory has during many decades been considered as the holy grail of investment despite the fact that very few empirical studies in the public domain have shown that portfolio theory outperforms a random equal weighted portfolio. We will in this paper empirically investigate how...

This paper will discuss portfolio optimization, Quadratic Programming (QP) and Second Order Cone Programming (SOCP). We will use simulated and empirical data to compare the two optimization routines. Daily data for SP500 stocks from 2005 to 2010 was used to show that a 20-days rebalanced...

We will in this paper discuss Quadratic Programming (QP) and portfolio optimization. Long-short portfolio has traditionally been hard to optimize because of the non-binding equality constraint i.e. the long posit ions are cancel out by the short positions. We have shown in this paper that such a...

This paper will create a dynamic economic model where the objective for the government is to maximize economic growth with respect to the available capital in the economy. The amount of capital in the economy is determined by the capitalists in the model which represent the micro foundation in...

In this paper we will discuss the strength (austerity does not work) and the weakness (Quantitative Easing) of Keynesian economics. We will describe the ergodic hypothesis which plays a critical role in Keynesian economics. We will also try to provide an answer to the question: What role does...

Portfolio Theory has during many decades been considered as the holy grail of investment despite the fact that very few empirical studies in the public domain have shown that portfolio theory outperforms a random equal weighted portfolio. We will in this paper empirically investigate how...

Previous studies in dynamic programming have looked at the capital-consumption relationship. In this paper we will expand on such a basic model to include stochastic investment returns and government taxation. The conclusion is that taxation has a stabilizing effect on the optimal consumption...