Choosing and using utility functions in forming portfolios
GJ Warren - Financial Analysts Journal, 2019 - Taylor & Francis
Utility functions offer a means to encode objectives and preferences in investor portfolios.
The functions allow one to place a score on outcomes and then identify optimal portfolios by …
The functions allow one to place a score on outcomes and then identify optimal portfolios by …
The role of Islamic asset classes in the diversified portfolios: Mean variance spanning test
This study investigates both conventional and Islamic investors' problems as to whether the
inclusion of Islamic and conventional asset classes may expand the frontier of their …
inclusion of Islamic and conventional asset classes may expand the frontier of their …
[PDF][PDF] An Application of the Smart Beta Portfolio Model: An Empirical Study in Indonesia Stock Exchange
Stock price fluctuations affect investor returns, particularly, in this pandemic situation that has
triggered stock market shocks. As a result of this situation, investors prefer to move their …
triggered stock market shocks. As a result of this situation, investors prefer to move their …
Scenario-Driven Adaptation to Emergent Risks.
JN Abdey, JS Franz, WK Phoa - Journal of Portfolio …, 2022 - search.ebscohost.com
In order to be resilient to unmodeled risks, an investment management process needs to
incorporate a discipline of continuous scenario analysis. The authors describe the essential …
incorporate a discipline of continuous scenario analysis. The authors describe the essential …
[HTML][HTML] A safer safe withdrawal rate using various return distributions
M Athavale, JM Goebel - Journal of …, 2011 - financialplanningassociation.org
A common conundrum faced by most people approaching retirement is the amount of
money they can safely withdraw from their retirement portfolio without the risk of depleting …
money they can safely withdraw from their retirement portfolio without the risk of depleting …
Investment Risk for Long-Term Investors
G Warren - Available at SSRN 3820435, 2021 - papers.ssrn.com
Investment risk is addressed from the perspective of long-term investors, with key concepts
being discussed and methods outlined for evaluating risk over long horizons. The main …
being discussed and methods outlined for evaluating risk over long horizons. The main …
How to Get Rich by Fund of Funds Investment-An Optimization Method for Decision Making
S Colakovic - 2022 - diva-portal.org
Optimal portfolios have historically been computed using standard deviation as a risk
measure. However, extreme market events have become the rule rather than the exception …
measure. However, extreme market events have become the rule rather than the exception …
The Mathematical Formulation and Practical Implementation of Markowitz 2.0
E Momanyi - 2017 - diva-portal.org
Standard Deviation is a commonly used risk measures in risk management and portfolio
optimization. Optimal portfolios have normally been computed using standard deviation as …
optimization. Optimal portfolios have normally been computed using standard deviation as …
A Scenario Based Allocation Model Using Entropy Pooling for Computing the cenarioProbabilities
N Georgelis, M Nyberg - 2013 - diva-portal.org
We introduce a scenario based allocation model (SBAM) that uses entropy pooling for
computing scenario probabilities. Compared to most other models that allow the investor to …
computing scenario probabilities. Compared to most other models that allow the investor to …
[PDF][PDF] Hoe om te gaan met politiek risico in de asset allocatie?
P Lausberg - cfasociety.nl
Het opkomende populisme in Europa en de beleidsagenda van de nieuwe Amerikaanse
regering geven beleggers kopzorgen. Deze beleggingsrisico's zijn voornamelijk politiek van …
regering geven beleggers kopzorgen. Deze beleggingsrisico's zijn voornamelijk politiek van …