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This article introduces two approaches for modelling the dependency of the optimal portfolio choice on the available amount of investment volume from the perspective of socially responsible investors who seek both financial and ethical benefits. We complement the expected utility framework and...
Starting from a review of 500 firms included in the Sp500 US Equity Index and by running a mixture model we built equity portfolios. In particular, the main objective of the present study is to examine the style drift effect during the 2007–2012 global financial crises, and what fundamental...
Dynamic asset allocation strategies which utilize stop-loss and stop-gain rules may dramatically decrease risk and even increase long-term return relative to other traditional asset allocation strategies. I introduce a dynamic asset allocation strategy which shifts portfolio weights based on...
This article unravels the fundamentally different roles of correlation when building risk-based portfolios by means of either risk control or risk contribution. We focus on the case of a portfolio manager who aligns the riskiness of the portfolio with the risk profile of the investor through a...
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