Portfolio optimization reconsidered: a generalisation
AbstractA general model of one-period portfolio optimization is presented in a new setting: financial leverage (i.e. margin accounts), long-buying/short-selling and a large number of assets are introduced. A multiple equilibrium solution is found, utilizing TAP equations (based on random matrices), a tool from physical spin glass analysis. This solution, however, is difficult to integrate into a strategic asset-allocation framework. In order to bypass these hurdles, an alternative deterministic approach - based on oscillatory behavioral expectations à la Krugman - is proposed in a Montecarlo context.
Download InfoTo our knowledge, this item is not available for download. To find whether it is available, there are three options:
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.
Bibliographic InfoPaper provided by Department of Economics, Parma University (Italy) in its series Economics Department Working Papers with number 2000-EP04.
Length: 18 pages
Date of creation: 2000
Date of revision:
This paper has been announced in the following NEP Reports:
- NEP-ALL-2004-11-30 (All new papers)
You can help add them by filling out this form.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Andrea Lasagni).
If references are entirely missing, you can add them using this form.