Relevant bibliographies by topics / Growth optimal portfolio (GOP)

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  1. Journal articles
  2. Dissertations / Theses
  3. Books
  4. Book chapters
  5. Conference papers

Academic literature on the topic 'Growth optimal portfolio (GOP)'

Author: Grafiati
Published: 11 December 2022
Last updated: 31 July 2025

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Journal articles on the topic "Growth optimal portfolio (GOP)"

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Baldeaux, Jan, Katja Ignatieva, and Eckhard Platen. "A tractable model for indices approximating the growth optimal portfolio." Studies in Nonlinear Dynamics and Econometrics 18, no. 1 (2014): 1–21. http://dx.doi.org/10.1515/snde-2012-0054.

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AbstractThe growth optimal portfolio (GOP) plays an important role in finance, where it serves as the numéraire portfolio, with respect to which contingent claims can be priced under the real world probability measure. This paper models the GOP using a time dependent constant elasticity of variance (TCEV) model. The TCEV model has high tractability for a range of derivative prices and fits well the dynamics of a global diversified world equity index. This is confirmed when pricing and hedging various derivatives using this index.
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Lee, Jeong Ho, and Yong Woong Lee. "Empirical Analysis of Growth Optimal Portfolio (GOP) Using South Korean KOSPI200 Sector Indices." Korea Business Review 24, no. 1 (2020): 119–44. http://dx.doi.org/10.17287/kbr.2020.24.1.119.

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López de Prado, Marcos, Ralph Vince, and Qiji Jim Zhu. "Optimal Risk Budgeting under a Finite Investment Horizon." Risks 7, no. 3 (2019): 86. http://dx.doi.org/10.3390/risks7030086.

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The Growth-Optimal Portfolio (GOP) theory determines the path of bet sizes that maximize long-term wealth. This multi-horizon goal makes it more appealing among practitioners than myopic approaches, like Markowitz’s mean-variance or risk parity. The GOP literature typically considers risk-neutral investors with an infinite investment horizon. In this paper, we compute the optimal bet sizes in the more realistic setting of risk-averse investors with finite investment horizons. We find that, under this more realistic setting, the optimal bet sizes are considerably smaller than previously suggest
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PLATEN, ECKHARD. "MODELING THE VOLATILITY AND EXPECTED VALUE OF A DIVERSIFIED WORLD INDEX." International Journal of Theoretical and Applied Finance 07, no. 04 (2004): 511–29. http://dx.doi.org/10.1142/s0219024904002499.

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This paper considers a diversified world stock index in a continuous financial market with the growth optimal portfolio (GOP) as reference unit or benchmark. Diversified broadly based indices and portfolios, which include major world stock market indices, are shown to approximate the GOP. It is demonstrated that a key financial quantity is the trend of a world index. It turns out that it can be directly observed since the expected increments of the index equal four times those of the quadratic variation of its square root. Using a world stock index as approximation of the discounted GOP it is
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Lee, JeongHo, and YongWoong Lee. "Empirical Analysis on Growth Optimal Portfolio (GOP) Using ARMA-GARCH-DCC Model." Korean Data Analysis Society 23, no. 1 (2021): 471–89. http://dx.doi.org/10.37727/jkdas.2021.23.1.471.

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MILLER, SHANE M., and ECKHARD PLATEN. "ANALYTIC PRICING OF CONTINGENT CLAIMS UNDER THE REAL-WORLD MEASURE." International Journal of Theoretical and Applied Finance 11, no. 08 (2008): 841–67. http://dx.doi.org/10.1142/s0219024908005056.

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This article derives a series of analytic formulae for various contingent claims under the real-world probability measure using the stylised minimal market model (SMMM). This model provides realistic dynamics for the growth optimal portfolio (GOP) as a well-diversified equity index. It captures both leptokurtic returns with correct tail properties and the leverage effect. Under the SMMM, the discounted GOP takes the form of a time-transformed squared Bessel process of dimension four. From this property, one finds that the SMMM possesses a special and interesting relationship to non-central chi
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Arifin, Nisrina Putri, and Ali Mutasowifin. "Analisis Penerapan Risiko dalam Penyusunan Portofolio Optimal." Jurnal Ilmiah Akuntansi Kesatuan 10, no. 3 (2022): 575–84. http://dx.doi.org/10.37641/jiakes.v10i3.1509.

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Investment is one of the determining variables and has a positive effect on economic growth (GDP). Investing in stocks with large market capitalization will increase JKSE growth. IDX80 is an index consisting of 80 stocks that have high liquidity, large market capitalization, and good company fundamentals. This study aims to find a combination of stocks that meet the criteria in forming an optimal portfolio based on the Markowitz model and the Single Index Model also to find the best portfolio performance using Value at Risk. This study uses reports of monthly stock price, JKSE, and interest ra
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Hunjra, Ahmed Imran, Suha Mahmoud Alawi, Sisira Colombage, Uroosa Sahito, and Mahnoor Hanif. "Portfolio Construction by Using Different Risk Models: A Comparison among Diverse Economic Scenarios." Risks 8, no. 4 (2020): 126. http://dx.doi.org/10.3390/risks8040126.

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We aim to construct portfolios by employing different risk models and compare their performance in order to understand their appropriateness for effective portfolio management for investors. Mean variance (MV), semi variance (SV), mean absolute deviation (MaD) and conditional value at risk (CVaR) are considered as risk measures. The price data were extracted from the Pakistan stock exchange, Bombay stock exchange and Dhaka stock exchange under diverse economic conditions such as crisis, recovery and growth. We take the average of GDP of the selected period of each country as a cut-off point to
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Su, Ziyi, Chenyu Xu, and Yutong Zheng. "Optimal Investment Portfolio under Different Models with Various Constraints Especially Considers COVID-19 Period." BCP Business & Management 16 (December 26, 2021): 214–22. http://dx.doi.org/10.54691/bcpbm.v16i.305.

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The outbreak of COVID-19 at the end of 2019 had a severe impact on global economic markets, with the U.S. stock market experiencing four circuit breakers in one month. As of July 2021, the real GDP of the United States has significantly outpaced the growth rate of the world's advanced economies. In order to study how investors invest in the stock market after the U.S. stock market experience circuit breaker, this paper selects six stocks as the research object using the monthly closing prices from May, 2001 to May, 2021 as sample data, and calculates the optimal portfolio by Markowitz model an
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Galinienė, Birutė, and Justina Stravinskytė. "Constructing an optimal investment portfolio for the Bank of Lithuania." Ekonomika 95, no. 1 (2016): 112–33. http://dx.doi.org/10.15388/ekon.2016.1.9909.

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The main goal of this article is to illustrate the strategy, devised to improve the effectiveness of utilizing the financial assets, or in this case, the official international reserves, belonging to the Bank of Lithuania. In Lithuania, the value of financial assets as a percentage of total state assets has doubled in the span of 10 years. Moreover, a strong correlation between the real GDP growth and the Bank of Lithuania’s financial assets/profitability implies that the effectiveness of financial assets management has a nationally wide impact. Unfortunately, the Bank’s profit/invested value
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Dissertations / Theses on the topic "Growth optimal portfolio (GOP)"

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Ramarimbahoaka, Dimbinirina. "Growth optimal portfolios and real world pricing." Thesis, Stellenbosch : Stellenbosch University, 2008. http://hdl.handle.net/10019.1/2209.

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Thesis (MSc (Mathematics))--Stellenbosch University, 2008.<br>In the Benchmark Approach to Finance, it has been shown that by taking the Growth Optimal Portfolio as numéraire, a candidate for a pricing derivatives formula under the real world probability can be given. This result allows us to price in an incomplete financial market model. The result comes from two different approaches. In the first approach we use the supermartingale property of portfolios in units of the benchmark portfolio which leads to the fact that an equivalent measure is not needed. In the second approach the num
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Camilier, Isabelle. "Etude des taux d'interet long terme Analyse stochastique des processus ponctuels determinantaux." Palaiseau, Ecole polytechnique, 2010. http://pastel.archives-ouvertes.fr/docs/00/57/34/37/PDF/These_Camilier.pdf.

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Dans la premiere partie de cette these, nous donnons un point de vue financier sur l'etude des taux d'interet long terme. En finance, les modeles classiques de taux ne s'appliquent plus pour des maturites longues (15 ans et plus). Nous montrons que les techniques de maximisation d'utilite esperee permettent de retrouver la regle de Ramsey (qui relie la courbe des taux a l'utilite marginale de la consommation optimale). En marche incomplet, il est possible de montrer un analogue de la regle de Ramsey et nous examinons la maniere dont la courbe des taux est modifiee. Ensuite nous considerons le
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Isabelle, Camilier. "Etude des taux d'interet long terme Analyse stochastique des processus ponctuels determinantaux." Phd thesis, Ecole Polytechnique X, 2010. http://pastel.archives-ouvertes.fr/pastel-00573437.

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Dans la premiere partie de cette these, nous donnons un point de vue financier sur l'etude des taux d'interet long terme. En finance, les modeles classiques de taux ne s'appliquent plus pour des maturites longues (15 ans et plus). Nous montrons que les techniques de maximisation d'utilite esperee permettent de retrouver la regle de Ramsey (qui relie la courbe des taux a l'utilite marginale de la consommation optimale). En marche incomplet, il est possible de montrer un analogue de la regle de Ramsey et nous examinons la maniere dont la courbe des taux est modifiee. Ensuite nous considerons le
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Miller, SM. "Pricing of contingent claims under the real-world measure." Thesis, 2007. http://hdl.handle.net/10453/37576.

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University of Technology, Sydney. Faculty of Science.<br>The aim of this thesis is to price contingent claims under the real-world probability measure. Real-world pricing results naturally by selecting the numeraire as the growth optimal portfolio (GOP). Under this approach, the existence of an equivalent risk-neutral probability measure is not required. Furthermore, the GOP can be used to define other basic contingent claims, such as exchange prices, primary security accounts, and even zero-coupon bonds. We begin with application of the real-world pricing formula to derive forward prices for
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Books on the topic "Growth optimal portfolio (GOP)"

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Jurek, Jakub W. Optimal value and growth tilts in long-horizon portfolios. National Bureau of Economic Research, 2006.

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Back, Kerry E. Continuous-Time Portfolio Choice and Pricing. Oxford University Press, 2017. http://dx.doi.org/10.1093/acprof:oso/9780190241148.003.0014.

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The Euler equation is defined. The static approach can be used to derive an optimal portfolio in a complete market and when the investment opportunity set is constant. In the latter case, the optimal portfolio is proportional to the growth‐optimal portfolio and two‐fund separation holds. Dynamic programming and the Hamilton‐Jacobi‐Bellman equation are explained. An optimal portfolio consists of myopic and hedging demands. The envelope condition is explained. CRRA utility implies a CRRA value function. The CCAPM and ICAPM are derived.
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Book chapters on the topic "Growth optimal portfolio (GOP)"

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Stettner, Lukasz. "Long Time Growth Optimal Portfolio with Transaction Costs." In Optimality and Risk - Modern Trends in Mathematical Finance. Springer Berlin Heidelberg, 2009. http://dx.doi.org/10.1007/978-3-642-02608-9_13.

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Sosnovskiy, Sergey. "Growth Optimal Portfolio Insurance in Continuous and Discrete Time." In Operations Research Proceedings. Springer Berlin Heidelberg, 2012. http://dx.doi.org/10.1007/978-3-642-29210-1_27.

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Ozenbas, Deniz, Michael S. Pagano, Robert A. Schwartz, and Bruce W. Weber. "Economics and the Equity Market: A Microeconomics Course Application." In Classroom Companion: Business. Springer International Publishing, 2021. http://dx.doi.org/10.1007/978-3-030-74817-3_1.

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AbstractEconomics encompasses two broad subjects: macroeconomics and microeconomics. Macroeconomics deals with an economy in aggregate and addresses issues such as inflation, unemployment, interest rates, and economic growth. We present a macroeconomic perspective in Chap. 10.1007/978-3-030-74817-3_3. Microeconomics, the focus of this chapter, operates, as its name indicates, on the micro level, addressing household consumption decisions and the production decisions of firms. In this chapter, we focus on the parallels (and a few differences) between a standard microeconomics formulation (a hou
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Chen, Hong-Yi, Manak C. Gupta, Alice C. Lee, and Cheng Few Lee. "Sustainable Growth Rate, Optimal Growth Rate, and Optimal Payout Ratio: A Joint Optimization Approach." In Handbook of Investment Analysis, Portfolio Management, and Financial Derivatives. WORLD SCIENTIFIC, 2024. http://dx.doi.org/10.1142/9789811269943_0112.

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Christensen, Morten Mosegaard. "On the History of the Growth-Optimal Portfolio." In Advances in Computer Science and Engineering: Texts. IMPERIAL COLLEGE PRESS, 2012. http://dx.doi.org/10.1142/9781848168145_0001.

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Horváth, Márk, and András Urbán. "Growth-Optimal Portfolio Selection with Short Selling and Leverage." In Advances in Computer Science and Engineering: Texts. IMPERIAL COLLEGE PRESS, 2012. http://dx.doi.org/10.1142/9781848168145_0004.

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HAKANSSON, NILS H. "ON OPTIMAL MYOPIC PORTFOLIO POLICIES, WITH AND WITHOUT SERIAL CORRELATION OF YIELDS." In The Kelly Capital Growth Investment Criterion. WORLD SCIENTIFIC, 2011. http://dx.doi.org/10.1142/9789814293501_0009.

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BROWNE, SID. "SURVIVAL AND GROWTH WITH A LIABILITY: OPTIMAL PORTFOLIO STRATEGIES IN CONTINUOUS TIME." In The Kelly Capital Growth Investment Criterion. WORLD SCIENTIFIC, 2011. http://dx.doi.org/10.1142/9789814293501_0023.

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Chopra, Vijay K., and William T. Ziemba. "The Effect of Errors in Means, Variances, and Covariances on Optimal Portfolio Choice." In The Kelly Capital Growth Investment Criterion. WORLD SCIENTIFIC, 2011. http://dx.doi.org/10.1142/9789814293501_0018.

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Ziemba, William T., and Raymond G. Vickson. "Models of Optimal Capital Accumulation and Portfolio Selection and the Capital Growth Criterion." In The Kelly Capital Growth Investment Criterion. WORLD SCIENTIFIC, 2011. http://dx.doi.org/10.1142/9789814293501_0032.

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Conference papers on the topic "Growth optimal portfolio (GOP)"

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Duncan, T. E., B. Pasik-Duncan, and L. Stettner. "Growth optimal portfolio under proportional transaction costs with obligatory diversification." In 2008 47th IEEE Conference on Decision and Control. IEEE, 2008. http://dx.doi.org/10.1109/cdc.2008.4739164.

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Zhong, Meiying, and Zhixin Liu. "The futures pricing model based on optimal growth portfolio method." In 2012 IEEE Symposium on Robotics and Applications (ISRA). IEEE, 2012. http://dx.doi.org/10.1109/isra.2012.6219166.

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Duncan, T. E., B. Pasik-Duncan, and L. Stettner. "Parameter continuity of the ergodic cost for a growth optimal portfolio with proportional transaction costs." In 2008 47th IEEE Conference on Decision and Control. IEEE, 2008. http://dx.doi.org/10.1109/cdc.2008.4739165.

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Nastase, Adriana. "Calculation models of net risk premiums for RCA insurance contracts." In International Scientific-Practical Conference "Economic growth in the conditions of globalization". National Institute for Economic Research, 2023. http://dx.doi.org/10.36004/nier.cecg.iii.2023.17.34.

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Starting from the fundamental role of insurance, that of providing protection by the insurer to the person interested in concluding an insurance contract (the insured) in exchange for the insurance premium (insurance price), advanced mathematical models have been developed for the appropriate determination of the insurance price. In Romania, RCA insurance is one of the most regulated insurances due to the importance it occupies from the point of view of the volume of gross premiums subscribed. In the total of gross premiums written in Romania, both general and life insurance, RCA insurance hol
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Aamri, M., A. Abri, M. Abry, et al. "Maximizing Production Efficiency: Geomechanical Assessment for Infill Well Optimization in Waterflood Developments in Crescent-Shaped Rim Structure Field, South of Oman." In International Geomechanics Conference. ARMA, 2024. https://doi.org/10.56952/igs-2024-0405.

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ABSTRACT: PDO's project portfolio includes numerous active waterflood developments, including a crescent-shaped rim structure field operating under Peripheral Waterflood with Flank Injection (PWRI). To enhance production rates, the proposed development plan involves infill drilling with reduced spacing between injectors and producers. However, this closer spacing could lead to potential risks associated with waterflood-induced fracturing, resulting in reduced sweep efficiency. In order to optimize the infill well spacing and minimize the risk of injector-producer short-circuiting and out-of-zo
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