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Risk portofolio management under Zipf analysis based strategies

In: Practical Fruits of Econophysics

Author

Listed:
  • M. Ausloos

    (SUPRATECS, B5)

  • Ph. Bronlet

    (SUPRATECS, B5)

Abstract

Summary A so called Zipf analysis portofolio management technique is introduced in order to comprehend the risk and returns. Two portofoios are built each from a well known financial index. The portofolio management is based on two approaches: one called the “equally weighted portofolio”, the other the “confidence parametrized portofolio”. A discussion of the (yearly) expected return, variance, Sharpe ratio and β follows. Optimization levels of high returns or low risks are found.

Suggested Citation

  • M. Ausloos & Ph. Bronlet, 2006. "Risk portofolio management under Zipf analysis based strategies," Springer Books, in: Hideki Takayasu (ed.), Practical Fruits of Econophysics, pages 257-261, Springer.
    • Handle: RePEc:spr:sprchp:978-4-431-28915-9_47
    DOI: 10.1007/4-431-28915-1_47
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    References listed on IDEAS

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    1. Ph. Bronlet & M. Ausloos, 2003. "GENERALIZED(m, k)-ZipfLAW FOR FRACTIONAL BROWNIAN MOTION-LIKE TIME SERIES WITH OR WITHOUT EFFECT OF AN ADDITIONAL LINEAR TREND," International Journal of Modern Physics C (IJMPC), World Scientific Publishing Co. Pte. Ltd., vol. 14(03), pages 351-365.
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    Cited by:

    1. Gurjeet Dhesi & Marcel Ausloos, 2016. "Modelling and Measuring the Irrational behaviour of Agents in Financial Markets: Discovering the Psychological Soliton," Papers 1601.01553, arXiv.org.
    2. Ausloos, Marcel, 2016. "Modelling and measuring the irrational behaviour of agents in financial markets: Discovering the psychological solitonAuthor-Name: Dhesi, Gurjeet," Chaos, Solitons & Fractals, Elsevier, vol. 88(C), pages 119-125.
    3. Marcel Ausloos, 2012. "Econophysics in Belgium. The first (?) 15 years," Papers 1212.1946, arXiv.org.
    4. Marcel Ausloos, 2013. "Econophysics: Comments on a Few Applications, Successes, Methods and Models," IIM Kozhikode Society & Management Review, , vol. 2(2), pages 101-115, July.

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