Strategic asset allocation

Article Abstract:

An evaluation of portfolio management with respect to time variation in expected returns reveals that the portfolios of long-term investors vary with that of short-term investors. Simulation results show that expected returns play an important role in financial management as do the overall goals. The results also show that the model in the study may be extended to include estimation risk.

Portfolio Management, Methods, Management, Usage, Evaluation, Investments, Capital assets, Markov processes

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The stable non-Gaussian asset allocation: a comparison with the classical Gaussian approach

Article Abstract:

An analysis of the asset allocation problem of an investor who can invest in equity and cash when there is time variation in expected returns on the equity is carried out. It is shown that an investor can earn up to eight times as much return on the unit of risk he bears by applying the stable model.

Gaussian processes, Investment management

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Option valuation with co-integrated asset prices

Article Abstract:

The theoretical and practical aspects of options that are based upon two or more assets, which are co-integrated, are examined. A model featuring both the co-integration property as well as stochastic volatilities is developed for this purpose.

Capital funds & cash flow, Options (Finance), Valuation

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