Get 20M+ Full-Text Papers For Less Than $1.50/day. Start a 14-Day Trial for You or Your Team.

Learn More →

DeepDyve requires Javascript to function. Please enable Javascript on your browser to continue.

Portfolio Choice Problems

Part of the SpringerBriefs in Electrical and Computer Engineering Book Series (volume 3)

Editors: Chapados, Nicolas

DOI: 10.1007/978-1-4614-0577-1

ISBN: 978-1-4614-0576-4

Publisher: Springer New York - Springer Journals

Jun 22, 2011

Available

Introduction

Chapados, Nicolas

Pages: 1 –6

[Portfolio choice is a central problem of economic agents. In plain words, it asks how one should “best” spread one’s wealth across a number of different assets to maximize return and control risk. Of course, each asset is unique and offers its own outcome perspectives. These can be roughly...
Available

Single-Period Problems

Chapados, Nicolas

Pages: 7 –36

[In the single-period portfolio choice problem, the investor is assumed to make allocation decisions once and for all at the beginning of a given period (e.g. one quarter or one year), based on estimated prospects for the risk and return relationships of a universe of N investable assets over the...
Available

Multiperiod Problems

Chapados, Nicolas

Pages: 37 –59

[Multiperiod problems consider the more general case where an investor makes a sequence of decisions, each possibly impacting the following ones. The objective is to find, at each period, the allocation decision that take into consideration a future changing opportunity set (i.e. availability of...
Available

Direct and Alternative Methods for Portfolio Choice

Chapados, Nicolas

Pages: 61 –70

[In the spirit of the original Markowitz methodology, all the portfolio allocation methods covered up to this point follow a functional separation that can be summarized as 1. Estimate the (conditional) distribution (or moments thereof) of asset returns, from historical data and conditioning...

results per page

Prev
1
Next

Browse All eBooks