optimal portfolio การใช้

• Robert Merton used stochastic control to study optimal portfolios of safe and risky assets.
• The study should also have the effect of shifting the optimal portfolio allocations among various foreign markets.
• The investor's optimal portfolio is found at the point of tangency of the efficient frontier with the indifference curve.
• Another investor having other sets of indifference curves might have some different portfolio as his best / optimal portfolio.
• Shoven and Sialm provided an analysis of the decision point when income producing equities should be sheltered and optimal portfolio choice for each type of account.
• Any other portfolio, say X, isn't the optimal portfolio even though it lies on the same indifference curve as it is outside the feasible portfolio available in the market.
• This portfolio shows the relative value of all assets according to the market crowd, which one could interpret as a benchmark or the optimal portfolio for the average investor.
• Thus the optimal portfolio for any period will depend on the probability distribution of returns for the various assets contingent on their previous-period realizations, and so cannot be determined in advance.
• In the second paper entitled " A Model of Multi-Period Investment under Uncertainty " which appeared in " Management Science " he used nonlinear optimization methods to determine optimal portfolios over time.
• If a portfolio A is marginally conditionally stochastically dominated by some incrementally different portfolio B, then it is said to be "'inefficient "'in the sense that it is not the optimal portfolio for anyone.
• If the investor's optimal portfolio has an expected return that is between the expected returns on two efficient benchmark portfolios, then that investor's portfolio can be characterized as consisting of positive quantities of the two benchmark portfolios.
• In essence the optimal portfolio consists of two parts : a passively invested index fund containing all securities in proportion to their market value and an'active portfolio'containing the securities for which the investor has made a prediction about alpha.
• But while the patent appears to be the first in its niche _ identifying optimal portfolio allocation strategy _ the Patent and Trademark Office issued nearly 600 patents last year alone for computer-related business methods, some of them involving investments.
• Robert C . Merton showed that in independently and identically distributed through time, and with a risk-free asset, one can obtain an explicit solution for the demand for the unique optimal portfolio, and that demand is linear in initial wealth.
• In 2006, the Office of the Auditor General in a report criticized Oslo Package 2 for not being able to focus on increased public transport efficiency and sustainability, and also criticized lack of cooperation between the many participants, who failed to find an optimal portfolio of investments.
• The amount of information ( the covariance matrix, specifically, or a complete joint probability distribution among assets in the market portfolio ) needed to compute a mean-variance optimal portfolio is often intractable and certainly has no room for subjective measurements ('views'about the returns of portfolios of subsets of investable assets ).
• Mossin showed that under HARA utility, optimal portfolio choice involves partial time-independence of decisions if there is a risk-free asset and there is serial independence of asset returns : to find the optimal current-period portfolio, one needs to know no future distributional information about the asset returns except the future risk-free returns.
• In a discrete time dynamic portfolio optimization context, under HARA utility optimal portfolio choice involves partial myopia if there is a risk-free asset and there is serial independence of asset returns : to find the optimal current-period portfolio, one needs to know no future distributional information about the asset returns except the future risk-free returns.