Portfolio analysis and optimization, together with the associated risk assessment and
management, require knowledge of the likely distributions of returns at different time scales …

In answer to the intense development of new financial products and the increasing
complexity of portfolio management theory, Portfolio Optimization and Performance Analysis …

Abstract In 1952, Harry M. Markowitz published a seminal paper about analyzing portfolios.
In 1990, he was awarded the Nobel Prize for his portfolio theory. Markowitz portfolio analysis …

Popular guide to options pricing and position sizing for quant traders In this second edition
of this bestselling book, Sinclair offers a quantitative model for measuring volatility in order to …

En este artículo se presenta una revisión crítica de las principales teorías para la selección
de portafolios desarrolladas a la luz de las Finanzas del Comportamiento, las cuales …

This paper aims to offer an alternative formulation of the Behavioural Portfolio Theory as
formulated by Hersh Shefrin and Meir Statman (2000) via the Theory of Needs from …

Portfolio theory may be the most fecund intellectual export from quantitative finance to other
sciences. Social sciences outside the strictly financial domain have applied portfolio theory …

We investigate how macroeconomic and financial uncertainty impacts the behavior of hedge
fund strategy higher moments—ie, co-skewness and co-kurtosis—and their respective cross …

In this paper, we extend Markowitz Portfolio Theory by incorporating the mean, variance,
skewness, and kurtosis of both return and liquidity into an investor's objective function …

The article focuses on the relatively new group of methods supporting investment decisions.
Behavioral portfolio theory was founded by Shefrin and Statman in 2002 and it relates to the …