2008. Optimal Portfolio Allocation Under Asset and Surplus VaR Constraints. Journal of Asset Management.moNtfoRt a. [2008], « optimal Portfolio Allocation under Asset and Surplus vaR constraints », Journal of Asset Management, 9 (3), p. 178-192....
The Handbook of Portfolio Mathematics "For the serious investor, trader, or money manager, this book takes a rewarding look into modern portfolio theory. Vince introduces a leverage-space portfolio model, tweaks it for the drawdown probability, and delivers a superior model. He even provides equati...
To answer this, we introduce the concept ofmean-variance criterion, which states that Portfolio A dominates Portfolio B if E(RA) ≥ E(RB) and σA≤ σB(i.e. portfolio A offers a higher expected return and lower risk than portfolio B). If such is the case, then investors would prefer...
These risk-indifference curves were calculated with the utility formula, setting the risk aversion coefficient = 2. Note that there is a point where 1 utility curve intersects the efficient frontier at a single point — this is the optimum portfolio for someone with a moderate amount of risk av...
Second, when the asset return follows diffusion processes, the problem of optimal consumption and portfolio has been studied. Last, in the cases of power and logarithmic felicity functions, the formulae of Acknowledgements The author is grateful to the referees and Editor-in-Chief, Professor Witold...
The similar asset model is widely used in various asset allocation problems. For example, Merton [21] considers Poisson jumps in an optimal dynamic portfolio decision problem. In a DC pension funding framework, Sun et al. [22] deal with the pre-commitment and equilibrium investment strategies ...
Investment Model for Cost-effective Integration of Solar PV Capacity under Uncertainty using a Portfolio of Energy Storage and Soft Open Points. In Proceedings of the 2019 IEEE Milan PowerTech, Milan, Italy, 23–27 June 2019; pp. 1–6. [Google Scholar] Konstantelos, I.; Giannelos, S.; ...
Kelly Criterion Position Sizing:The Kelly Criterion is a math formula used to determine the optimal position size to maximize portfolio growth. By analyzing probabilities of winning and expected returns, this model provides a theoretically ideal allocation size. We'll talk more about this method in ...
The optimal planning problem of consumption and savings allocation has been pioneered by Ramsey (1928) and completed by Uzawa (1964, 1965), Cass (1965), and Koopmans (1963). The optimal growth model essentially leads to a unique macroeconomic growth path when there is no change in the level...
Abdelkader MA, Elshahed MA, Osman ZH (2019) An analytical formula for multiple DGs allocations to reduce distribution system losses. Alexandria Eng J 58:1265–1280 Article Google Scholar Home-Ortiz JM, Pourakbari-Kasmaei M, Lehtonen M, Sanches Mantovani JR (2019) Optimal location-allocation of...