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华中科技大学投资学课件Chapter7 Optimal Risky Portfolios
华中科技大学 投资学 课件 Chapter7 Optimal Risky Portfolios
2015/5/19
华中科技大学投资学课件Chapter7 Optimal Risky Portfolios。
Optimal portfolios in commodity futures markets
futures contract commodity markets portfolio optimization stochastic partial differential equations
2012/4/28
We consider portfolio optimization in futures markets. We model the entire futures price curve at once as a solution of a stochastic partial differential equation. The agents objective is to maximize ...
Building portfolios of stocks in the Sao Paulo Stock Exchange using Random Matrix Theory
Building portfolios stocks the Sao Paulo Stock Exchange Random Matrix Theory
2012/3/2
Using Random Matrix Theory, we build a covariance matrix between stocks of the BM&F-Bovespa (Bolsa de Valores, Mercadorias e Futuros de S\~ao Paulo) which is cleaned of some of the noise due to the co...
Notional portfolios and normalized linear returns
Notional portfolios normalized linear Portfolio Management
2011/7/25
Abstract: The vector of periodic, compound returns of a typical investment portfolio is almost never a convex combination of the return vectors of the securities in the portfolio. As a result the ex p...
Default Clustering in Large Portfolios: Typical and Atypical Events
Large Portfolios Default Clustering Typical Atypical Events
2011/7/22
Abstract: We develop a dynamic point process model of correlated default timing in a portfolio of firms, and analyze typical and atypical default profiles in the limit as the size of the pool grows. I...
Capital allocation for credit portfolios under normal and stressed market conditions
Capital allocation credit portfolios normal stressed market conditions
2010/10/21
If the probability of default parameters (PDs) fed as input into a credit portfolio model are estimated as through-the-cycle (TTC) PDs stressed market conditions have little impact on the results of ...
On the significance of REITs in international portfolios –A U.S. perspective
portfolio investments allocation strategy optimization
2010/10/18
Taking a U.S. investor’s perspective, this paper applies a bi-level asset allocation strategy
and an all-inclusive optimization technique for assessing the benefits from including real estate investm...
Minimal $f$-divergence martingale measures and optimal portfolios for exponential Levy models with a change-point
f-divergence exponential Levy models
2010/10/19
We consider the exponential Levy models and we study the conditions under which f-minimal equivalent martingale measure preserves Levy property. Then we give a general formula for optimal strategy in...
Monte Carlo Portfolio Optimization for General Investor Risk-Return Objectives and Arbitrary Return Distributions: a Solution for Long-only Portfolios
Portfolio Optimization Optimisation Random Portfolio Monte Carlo Simplex
2010/10/21
We develop the idea of using Monte Carlo sampling of random portfolios to solve portfolio investment problems. In this first paper we explore the need for more general optimization tools, and conside...
Quantum Portfolios of Observables and the Risk Neutral Valuation Model
Quantum Portfolios Observables Neutral Valuation Model
2010/10/19
Quantum Portfolios of quantum algorithms encoded on qbits have recently been reported. In this paper a discussion of the continuous variables version of quantum portfolios is presented. A risk neutral...
Accounting for risk of non linear portfolios: a novel Fourier approach
Accounting non linear portfolios a novel Fourier approach
2010/10/18
The presence of non linear instruments is responsible for the emergence of non Gaussian features in the price changes distribution of realistic portfolios, even for Normally distributed risk factors....
Minimal $f$-divergence martingale measures and optimal portfolios for exponential Levy models with a change-point
f-divergence exponential Levy models change-point optimal portfolio
2010/4/28
We consider the exponential Levy models and we study the conditions under which f-minimal equivalent martingale measure preserves Levy property. Then we give a general formula for optimal strategy in ...
Quantum Portfolios of Observables and the Risk Neutral Valuation Model
Quantum Portfolios Observables Risk Neutral Valuation Model
2010/4/27
Quantum Portfolios of quantum algorithms encoded on qbits have recently been reported. In this paper a discussion of the continuous variables version of quantum portfolios is presented. A risk neutral...
Maximum Entropy Distributions Inferred from Option Portfolios on an Asset
Entropy Information Theory I-Divergence Asset Distribution Option Pricing Volatility Smile
2010/10/29
We obtain the Maximum Entropy distribution for an asset from call and digital option prices. A
rigorous mathematical proof of its existence and exponential form is given, which can also be applied to...
Analytical Framework for Credit Portfolios. Part I: Systematic Risk
Analytical Framework Credit Portfolios Systematic Risk
2010/11/2
Analytical, free of time consuming Monte Carlo simulations, framework for credit portfolio systematic risk metrics calculations is presented. Techniques are described that allow calculation of portfol...