We consider a simple single period economy in which agents invest so as to maximize
expected utility of terminal wealth. We assume the existence of three asset classes, namely …

The fact that derivative securities are equivalent to specific dynamic trading strategies in
complete markets suggests the possibility of constructing buy-and-hold portfolios of options …

Asset allocation models are designed to improve investment results by varying the allocation
of a portfolio between broad asset classes over time¹, in response to changing assessments …

Tactical asset allocation (TAA) is the practice of altering asset class exposures in
accordance with model-based risk-reward expectations. An analysis of 17 US managers …

O BJECTIVE MEASURES of prospective market" returns" can provide valuable guidance for
asset allocation by revealing the relative market outlook for various asset classes. Much of …

Prior studies have shown how hard it is to measure a manager's tock selection skills when
value added by the manager is in a moderate range of 1.5 to 2 per cent a year. Simulation …

The purpose of this study is to investigate the effects of different mechanisms that used to
solve the problems of financial. The problems of financial and new financial market …

This paper presents a method for solving multiperiod investment models with downside risk
control characterized by the portfolio's worst outcome. The stochastic programming problem …

Abstract The Derivatives Sourcebook is a citation study and classification system that
organizes the many strands of the derivatives literature and assigns each citation to a …

This paper aims at giving an overview of option pricing methods. Its stress is on intuition
rather than on replicating formulas; furthermore it does not presume pre-knowledge of option …