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We show how to compute in a numerically efficient way the maximum risk of a portfolio, given uncertainty in the means and covariances of asset returns. This is a semidefinite programming problem, and ...
Portfolio Optimization with Linear and Fixed Transaction Costs
Portfolio Optimization Linear Fixed Transaction Costs
2015/7/10
We consider the problem of portfolio selection, with transaction costs and constraints on exposure to risk. Linear transaction costs, bounds on the variance of the return, and bounds on different shor...
Multi-Period Portfolio Optimization with Constraints and Transaction Costs
Multi-Period Portfolio Optimization Constraints Transaction Costs
2015/7/9
We consider the problem of multi-period portfolio optimization over a finite horizon, with a self-financing budget constraint and arbitrary distribution of asset returns, with objective to minimize th...
Labor Supply Flexibility and Portfolio Choice in a Life-Cycle Model
Labor Supply and Industry Investment Decision Choices and Conditions
2015/5/14
Labor Supply Flexibility and Portfolio Choice in a Life-Cycle Model.
An analysis of portfolio management in new product development: a case study in a truck company
portfolio management new product development automotive industry
2009/12/1
The purpose of this paper is to describe a case study in portfolio management and new product development in an automotive company in Brazil. Empirical data was obtained by a number of sources mostly ...
Current project portfolio management practices: A case study
portfolio management decision support making portfolio selection
2009/12/1
The current portfolio literature describes diverse approaches concerning the techniques of classification, selection, prioritization, and project management. The main objective of this article is to i...
Looking for the right criteria to define projects portfolio: Multiple case study analysis
portfolio management decision making support project selection
2009/12/1
This study aims to analyze the main criteria involved in the process of selection and prioritization of projects portfolio in Brazilian companies and compare them to those found in the project managem...
PORTFOLIO REBALANCING TO OVERCOME BEHAVIORAL MISTAKES IN INVESTING
Investment performance portfolio rebalancing behavioral finance
2009/11/30
The negative impact of emotion-driven investing upon long-term wealth
can be devastating. This article examines the benefits of portfolio rebalancing to
help investors achieve their investment go...