1 - 10 of 13 articles
Commercial bankers sell—more often give away—options to their clients like the prepayment facility attached to a mortgage or the right to obtain a credit at a prespecified interest rate which is associated in France with specific term deposits. This paper aims to present the financial...
We present a tracking model for asset allocation that tracks desired investment goals. The model is shown to be optimal with respect to an investor's ‘regret distribution’, the cumulative distribution of the difference between the revenue under perfect foresight and that possible without...
The paper studies the design of optimal (bond) portfolios taking into account various possible utility functions of an investor. The most prominent model for portfolio optimization was introduced by Markowitz. A real solution in this model can be achieved by quadratic programming routines for...
This paper aims to look at the situation of portfolio insurance, both from a theoretical and a practical standpoint, a decade after the methodology was first introduced by Leland and Rubinstein, and a few years after management strategies based on portfolio insurance were hurt by the crash of...
Portfolio optimization is a procedure for generating a portfolio composition which yields the highest return for a given level of risk or a minimum risk for given level of return. The problem can be formulated as a quadratic programming problem. We shall present a new and efficient optimization...
Finding portfolios with given mean return and minimal lower partial mean or variance, two risk criteria of interest in the theory of optimal portfolio selection, is a stochastic linear‐quadratic program that can be converted to a large‐scale linear or quadratic program when the asset returns are...
In this approach, the complexity of the self‐organizing microstructure of the stock exchange is explicitly taken into consideration: the process of offers and trades as well as the adjustment of individual expectations are modelled with help of a (stochastic) jump process. Its abilities are...
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