An integrated stock-bond portfolio optimization model

Article Abstract:

Stock-bond portfolio management may be optimized by applying an integrated approach that determines the fund allocation to individual assets in one stage by solving a mean-absolute deviation model using quadratic programming. The approach is an alternative to the popular asset allocation strategy and test results show that the new approach outperforms the asset allocation strategy significantly in ex-ante risk, ex-post performance and transaction costs.

Economic aspects, Investments, Financial management

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Optimal delta-hedging under transaction costs

Article Abstract:

An analysis of transaction accounting with regards to delta-hedging portfolios of options reveals that using the stochastic optimal control approach produces optimal hedging strategy with maximized expected utility. The approach is applicable for mixed portfolios with long and short positions and varying maturities. The resulting approach is by far the best for use in transactional accounting.

Cost Accounting, Usage, Hedging (Finance), Computer simulation

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Occupational choice and the private equity premium puzzle

Article Abstract:

A private equity premium puzzle resolution is suggested for the occupational choice portfolio problem of a life-cycle investor facing stock market participation cost, borrowing constraint and improper information about the profitability of potential business.

Commercial Banks, Investment Banking and Securities Dealing, Management dynamics, Portfolio & Funds Management, Management, Company business management, Private equity

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