scholarly journals Computer Construction of Quasi Optimal Portfolio for Stochastic Models with Jumps of Financial Markets

2006 ◽  
pp. 301-307
Author(s):  
Aleksander Janicki
Keyword(s):  
Financial Markets ◽  
Stochastic Models ◽  
Optimal Portfolio

scholarly journals Kelly's Strategy Analysis in Optimizing Investment Portfolios in Foreign Exchange

2019 ◽  
Vol 8 (2S7) ◽  
pp. 245-250
Keyword(s):  
Financial Markets ◽  
Foreign Exchange ◽  
Optimal Portfolio ◽  
Minimal Risk ◽  
Investment Portfolio ◽  
Strategy Analysis ◽  
Average Value ◽  
Portfolio Returns ◽  
Strategy Model ◽  
Investment Portfolios

Investments in financial markets not only pay attention to promising profits, but also need to consider the risks that follow. Risks can be minimized by establishing an investment portfolio. This research was conducted with the aim of analyzing optimal portfolios on foreign exchange investments, so that investments made provide maximum returns at certain risks, or minimal risk on certain returns. The data analyzed in this study are foreign exchange traded at Bank Indonesia. Data analysis is carried out quantitatively using the Kelly Strategy model. The steps: (i) Calculation of individual foreign exchange returns, (ii) Determine the average value of individual foreign exchange returns, (iii) Determine the optimal portfolio using the Kelly strategy approach, and (iv) Determine portfolio returns and risks. Based on the results of the analysis obtained the allocation of weights that provide returns and risks to the optimal portfolio. A 95% USD currency is an optimal portfolio of the five currencies used. So that it can be used as a consideration for investors, in making investment decisions in the foreign exchange being analyzed.

scholarly journals Linking agent-based models and stochastic models of financial markets

2012 ◽  
Vol 109 (22) ◽  
pp. 8388-8393 ◽  
Author(s):  
L. Feng ◽  
B. Li ◽  
B. Podobnik ◽  
T. Preis ◽  
H. E. Stanley
Keyword(s):  
Financial Markets ◽  
Stochastic Models ◽  
Agent Based Models ◽  
Agent Based

Utility Maximization and Optimal Portfolio Selection

2016 ◽  
pp. 246-270
Author(s):  
S. Udayabaskaran
Keyword(s):  
Stochastic Volatility ◽  
Transaction Cost ◽  
Portfolio Selection ◽  
Stochastic Models ◽  
Utility Maximization ◽  
Optimal Portfolio ◽  
Optimal Portfolio Selection

Utility maximization and optimal portfolio selection with or with-out consumption/transaction cost based on stochastic models of prices of securities with stochastic volatility are discussed.

Stochastic Processes for the Risk Management

2015 ◽  
pp. 188-200
Author(s):  
Gamze Özel
Keyword(s):  
Risk Management ◽  
Brownian Motion ◽  
Financial Markets ◽  
Interest Rates ◽  
Stochastic Processes ◽  
Stochastic Models ◽  
Stock Prices ◽  
Financial Risk ◽  
Future Events ◽  
Software Codes

The financial markets use stochastic models to represent the seemingly random behavior of assets such as stocks, commodities, relative currency prices such as the price of one currency compared to that of another, such as the price of US Dollar compared to that of the Euro, and interest rates. These models are then used by quantitative analysts to value options on stock prices, bond prices, and on interest rates. This chapter gives an overview of the stochastic models and methods used in financial risk management. Given the random nature of future events on financial markets, the field of stochastic processes obviously plays an important role in quantitative risk management. Random walk, Brownian motion and geometric Brownian motion processes in risk management are explained. Simulations of these processes are provided with some software codes.

scholarly journals Portfolio Optimalization on Digital Currency Market

2021 ◽  
Vol 14 (4) ◽  
pp. 160
Author(s):  
Jaroslav Mazanec
Keyword(s):  
Financial Markets ◽  
Historical Data ◽  
Total Sample ◽  
Optimal Portfolio ◽  
Portfolio Diversification ◽  
Modern Theory ◽  
Virtual Currency ◽  
Bibliographic Analysis ◽  
Digital Currency ◽  
Research Gap

Virtual currency represents a specific technological innovation on financial markets. Bitcoin and other cryptocurrencies are popular alternatives to traditional cash and investment. We indicate a research gap in the literature review. We find out that current research focused rarely on portfolio diversification using bibliographic analysis in VOSviewer. We think that portfolio diversification is extremely important on the crypto market for most investors because virtual currencies are very risky compared to traditional assets. The primary aim is to construct an optimal portfolio consisting of several cryptocurrencies without traditional assets using a modern theory portfolio. The total sample consists of 16 virtual currencies from 1 October 2017 to 13 January 2020. We mainly obtain historical data on the daily close price of cryptocurrencies from Yahoo Finance. The results show that the optimal portfolio using Markowitz approach consists of Cardano, Binance Coin, and Bitcoin. In addition, virtual currencies are moderately Correlated, with the exception of Tether based on correlation analysis. The high correlation is dangerous for cryptocurrency in portfolio diversification. However, Tether is an atypical virtual currency compared to other cryptocurrencies.

scholarly journals Optimal Portfolio Allocation among REITs, Stocks, and Long-Term Bonds: An Empirical Analysis of US Financial Markets

2014 ◽  
Vol 04 (02) ◽  
pp. 104-112 ◽  
Author(s):  
Rafiqul Bhuyan ◽  
James Kuhle ◽  
Nuriddin Ikromov ◽  
Charles Chiemeke
Keyword(s):  
Financial Markets ◽  
Empirical Analysis ◽  
Portfolio Allocation ◽  
Optimal Portfolio

Stochastic Processes for the Risk Management

2018 ◽  
pp. 473-488
Author(s):  
Gamze Özel
Keyword(s):  
Risk Management ◽  
Brownian Motion ◽  
Financial Markets ◽  
Interest Rates ◽  
Stochastic Processes ◽  
Stochastic Models ◽  
Stock Prices ◽  
Financial Risk ◽  
Future Events ◽  
Software Codes

The financial markets use stochastic models to represent the seemingly random behavior of assets such as stocks, commodities, relative currency prices such as the price of one currency compared to that of another, such as the price of US Dollar compared to that of the Euro, and interest rates. These models are then used by quantitative analysts to value options on stock prices, bond prices, and on interest rates. This chapter gives an overview of the stochastic models and methods used in financial risk management. Given the random nature of future events on financial markets, the field of stochastic processes obviously plays an important role in quantitative risk management. Random walk, Brownian motion and geometric Brownian motion processes in risk management are explained. Simulations of these processes are provided with some software codes.

Stochastic Processes for the Risk Management

2018 ◽  
pp. 174-189
Author(s):  
Gamze Özel
Keyword(s):  
Risk Management ◽  
Brownian Motion ◽  
Financial Markets ◽  
Interest Rates ◽  
Stochastic Processes ◽  
Stochastic Models ◽  
Stock Prices ◽  
Financial Risk ◽  
Future Events ◽  
Software Codes

The financial markets use stochastic models to represent the seemingly random behavior of assets such as stocks, commodities, relative currency prices such as the price of one currency compared to that of another, such as the price of US Dollar compared to that of the Euro, and interest rates. These models are then used by quantitative analysts to value options on stock prices, bond prices, and on interest rates. This chapter gives an overview of the stochastic models and methods used in financial risk management. Given the random nature of future events on financial markets, the field of stochastic processes obviously plays an important role in quantitative risk management. Random walk, Brownian motion and geometric Brownian motion processes in risk management are explained. Simulations of these processes are provided with some software codes.

Sign in / Sign up

Export Citation Format

Share Document