Utility Maximization and Optimal Portfolio Selection

2016 ◽  
pp. 246-270
Author(s):  
S. Udayabaskaran
Keyword(s):  
Stochastic Volatility ◽  
Transaction Cost ◽  
Portfolio Selection ◽  
Stochastic Models ◽  
Utility Maximization ◽  
Optimal Portfolio ◽  
Optimal Portfolio Selection

Utility maximization and optimal portfolio selection with or with-out consumption/transaction cost based on stochastic models of prices of securities with stochastic volatility are discussed.

Optimal Portfolio Construction of Islamic Financing Instrument in Malaysia

2021 ◽  
pp. 121-132
Author(s):  
Muhammad Firdaus Hussin ◽  
Siti Aida Sheikh Hussin ◽  
Zalina Zahid
Keyword(s):  
Optimal Portfolio ◽  
Portfolio Construction

scholarly journals Climate Change Investment Risk: Optimal Portfolio Construction Ahead of the Transition to a Lower-Carbon Economy

2018 ◽  
Author(s):  
Ian Simm ◽  
Enrico Biffis ◽  
Davide Benedetti ◽  
Fotis Chatzimichalakis ◽  
Luciano Ruben Lilloy Fedele
Keyword(s):  
Climate Change ◽  
Optimal Portfolio ◽  
Portfolio Construction ◽  
Investment Risk ◽  
Carbon Economy ◽  
Lower Carbon

scholarly journals Comparative analysis of two portfolio construction methods

2021 ◽  
pp. 48-58
Author(s):  
Оксана Игоревна Сидорова ◽  
Любовь Григорьевна Перевалова ◽  
Мария Сергеевна Воеводина
Keyword(s):  
Comparative Analysis ◽  
Stability Analysis ◽  
Stock Market ◽  
Comparative Study ◽  
Statistical Modeling ◽  
Optimal Portfolio ◽  
Market Model ◽  
Portfolio Construction ◽  
Construction Methods ◽  
Russian Stock Market

В данной статье сравниваются два подхода к формированию рискового портфеля ценных бумаг: модель Марковица и рыночная модель. На примере ценных бумаг российского фондового рынка за период 03.01.2019-24.03.2021 гг. производится формирование оптимальных портфелей в зависимости от отношения инвестора к риску. Сравнительный анализ характеристик портфелей, включая доходность, риск и VaR и проверка результатов на устойчивость осуществляется с помощью методов статистического моделирования. In this article we compare two different approaches to the optimal portfolio construction: the Markowitz model and the market model. We analyse the Russian stock market for the period 03.01.2019-24.03.2021 and choosing among the securities depending on the investor’s risk preferences. Comparative study of the portfolios are based on their profitability, risk, and VaR. Stability analysis is carried out by statistical modeling.

Optimal Portfolio Construction Using Qualitative and Quantitative Signals

2014 ◽  
pp. 140-161
Author(s):  
Ronen Feldman ◽  
Suresh Govindaraj ◽  
Sangsang Liu ◽  
Joshua Livnat
Keyword(s):  
Information Content ◽  
Qualitative Data ◽  
Abnormal Returns ◽  
Optimization Techniques ◽  
Optimal Portfolio ◽  
Portfolio Construction ◽  
Cover Story ◽  
Optimal Portfolios ◽  
Qualitative And Quantitative ◽  
A Company

Finance and accounting research has recently focused on extracting the tone or sentiment of a document (such as an earnings press release, cover story about a company, or management’s presentations to analysts) by using positive or negative words/phrases in the document. This chapter shows that signals based on tone or sentiment (extracted from qualitative data) can achieve abnormal returns, and in some studies, incremental abnormal returns beyond quantitative signals. In this chapter, the authors exploit the information content of qualitative data in addition to quantitative signals in selecting optimal portfolios. Using optimization techniques developed by Brandt, Santa-Clara, and Valkonov (2009), and later extended by Hand and Green (2011), the authors show that significantly higher returns can be obtained by combining quantitative and qualitative data obtained from firms’ Management Discussion and Analysis (MD&A) sections of their Form 10-Q (10-K) SEC filings than using quantitative signals.

Clash of the Titans: Factor Portfolios versus Alternative Weighting Schemes

2019 ◽  
Keyword(s):  
Transaction Cost ◽  
Portfolio Construction ◽  
Information Ratio ◽  
Weighting Schemes ◽  
Mean Variance Portfolio ◽  
Mean Variance ◽  
Theoretical Foundations ◽  
Variance Factor

In this article, the authors (re) introduce mean–variance portfolio construction for factor portfolios. These models, first popular with quants in the 1990s, are being resurrected today in a different context for transparent factor portfolios. The authors then evaluate the merits of these mean–variance factor portfolios against alternative weighting schemes. They point out that alternative weighting schemes have arguably weak theoretical foundations, and their supporters rationalize them with a range of (very different) reasons, most of them dissatisfying in the view of the authors. They then show that alternative weighting schemes derive a large part of their outperformance from a handful of well-known factors. The authors argue that sensibly built factor portfolios deliver a similar or higher information ratio by explicitly harnessing the factors and doing so in an efficient risk- and transaction cost-aware way.

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