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

Author: Grafiati

Published: 11 December 2022

Last updated: 31 July 2025

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1

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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2

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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9

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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11

Toyin, O. W., and Ad E. Oludayol. "Dynamic Effects of Foreign Portfolio Investment on Economic Growth in Nigeria." Financial Markets, Institutions and Risks 4, no. 3 (2020): 5–12. http://dx.doi.org/10.21272/fmir.4(3).5-12.2020.

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The slow growth rate and the deficit of full-fledged financial security have created the preconditions for studying the relationship between foreign investment and economic growth. In previous literature, key emphases on this issue were studied in the short term and in terms of static functioning of the economy. Thus, this article purposely studied the dynamic nature of the development of the relationship between foreign investment and economic growth in Nigeria from 1980 to 2018. The use of the Augmented-Dickey Fuller test confirmed the precondition for adopting dynamic techniques to test the

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12

Dlamini, Sifundo Ntokozo, Lindokuhle Talent Zungu, and Nomusa Yolanda Nkomo. "The Optimal Level of Financial Growth in View of a Nonlinear Macroprudential Policy Regime Model: A Bayesian Approach." Journal of Risk and Financial Management 16, no. 4 (2023): 234. http://dx.doi.org/10.3390/jrfm16040234.

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A panel data analysis of nonlinear financial growth dynamics in a macroprudential policy regime was conducted on a panel of 10 African emerging countries from 1985–2021, where there had been a non-prudential regime from 1985–1999 and a prudential regime from 2000–2021. The paper explored the validity of the inverted U-shape hypothesis in the prudential policy regime as well as the threshold level at which excessive finance boosts growth using the Bayesian Spatial Lag Panel Smooth Transition Regression (BSPSTR) model. The BSPSTR model was adopted due to its ability to address the problems of en

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13

Ioannidis, Evangelos, Dimitrios Tsoumaris, Dimitrios Ntemkas, and Iordanis Sarikeisoglou. "Correlations of ESG Ratings: A Signed Weighted Network Analysis." AppliedMath 2, no. 4 (2022): 638–58. http://dx.doi.org/10.3390/appliedmath2040037.

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ESG ratings are data-driven indices, focused on three key pillars (Environmental, Social, and Governance), which are used by investors in order to evaluate companies and countries, in terms of Sustainability. A reasonable question which arises is how these ratings are associated to each other. The research purpose of this work is to provide the first analysis of correlation networks, constructed from ESG ratings of selected economies. The networks are constructed based on Pearson correlation and analyzed in terms of some well-known tools from Network Science, namely: degree centrality of the n

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14

Kumar, Amit, and Pankaj Sinha. "Changing dividend payout behavior and predicting dividend policy in emerging markets: Evidence from India." Investment Management and Financial Innovations 21, no. 1 (2024): 259–74. http://dx.doi.org/10.21511/imfi.21(1).2024.20.

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Dividends have become increasingly important for capital market participants to achieve financial goals in the rapidly changing Indian economy. This study aims to simplify the evolving Indian dividend puzzle by analyzing the dividend trends, examining the evolving nature of firm and macroeconomic determinants of dividends, and developing a dividend policy prediction model. Dividend trends of 3,162 non-financial listed Indian firms from 2006–2022 are studied to gain insights about the Indian dividend puzzle. Regularization and logit models are used to explore the nature of impact of important d

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15

Shen, Weiwei, Bin Wang, Jian Pu, and Jun Wang. "The Kelly Growth Optimal Portfolio with Ensemble Learning." Proceedings of the AAAI Conference on Artificial Intelligence 33 (July 17, 2019): 1134–41. http://dx.doi.org/10.1609/aaai.v33i01.33011134.

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As a competitive alternative to the Markowitz mean-variance portfolio, the Kelly growth optimal portfolio has drawn sufficient attention in investment science. While the growth optimal portfolio is theoretically guaranteed to dominate any other portfolio with probability 1 in the long run, it practically tends to be highly risky in the short term. Moreover, empirical analysis and performance enhancement studies under practical settings are surprisingly short. In particular, how to handle the challenging but realistic condition with insufficient training data has barely been investigated. In or

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16

Christensen, Morten Mosegaard, and Kasper Larsen. "No Arbitrage and the Growth Optimal Portfolio." Stochastic Analysis and Applications 25, no. 1 (2007): 255–80. http://dx.doi.org/10.1080/07362990600870488.

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17

Feng, Yu, Matúš Medo, Liang Zhang, and Yi-Cheng Zhang. "Transaction fees and optimal rebalancing in the growth-optimal portfolio." Physica A: Statistical Mechanics and its Applications 390, no. 9 (2011): 1635–45. http://dx.doi.org/10.1016/j.physa.2010.12.031.

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18

Brunnermeier, Markus K., and Yuliy Sannikov. "On the Optimal Inflation Rate." American Economic Review 106, no. 5 (2016): 484–89. http://dx.doi.org/10.1257/aer.p20161076.

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In our incomplete markets economy households choose portfolios consisting of risky (uninsurable) capital and money. Money is a bubble, it has positive value even though it yields no payoff. The market outcome is constrained Pareto inefficient due to a pecuniary externality. Each individual agent takes the real interest rate as given, while in the aggregate it is driven by the economic growth rate, which in turn depends on individual portfolio decisions. Higher inflation due to higher money growth lowers the real interest rate on money and tilts the portfolio choice towards physical capital inv

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19

Raju, I. Venkat Appal, and N. Selvaraju. "Growth Optimal Portfolio for unobservable Markov-modulated markets." International Journal of Mathematics in Operational Research 4, no. 1 (2012): 31. http://dx.doi.org/10.1504/ijmor.2012.044471.

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20

Maslov, Sergei, and Yi-Cheng Zhang. "Optimal Investment Strategy for Risky Assets." International Journal of Theoretical and Applied Finance 01, no. 03 (1998): 377–87. http://dx.doi.org/10.1142/s0219024998000217.

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We design an optimal strategy for investment in a portfolio of assets subject to a multiplicative Brownian motion. The strategy provides the maximal typical long-term growth rate of investor's capital. We determine the optimal fraction of capital that an investor should keep in risky assets as well as weights of different assets in an optimal portfolio. In this approach both average return and volatility of an asset are relevant indicators determining its optimal weight. Our results are particularly relevant for very risky assets when traditional continuous-time Gaussian portfolio theories are

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21

Hu, Yaozhong, and Bernt Øksendal. "Optimal Smooth Portfolio Selection for an Insider." Journal of Applied Probability 44, no. 3 (2007): 742–52. http://dx.doi.org/10.1239/jap/1189717542.

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We study the optimal portfolio problem for an insider, in the case where the performance is measured in terms of the logarithm of the terminal wealth minus a term measuring the roughness and the growth of the portfolio. We give explicit solutions in some cases. Our method uses stochastic calculus of forward integrals.

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22

Hu, Yaozhong, and Bernt Øksendal. "Optimal Smooth Portfolio Selection for an Insider." Journal of Applied Probability 44, no. 03 (2007): 742–52. http://dx.doi.org/10.1017/s0021900200003405.

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We study the optimal portfolio problem for an insider, in the case where the performance is measured in terms of the logarithm of the terminal wealth minus a term measuring the roughness and the growth of the portfolio. We give explicit solutions in some cases. Our method uses stochastic calculus of forward integrals.

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23

Mursyidah, Himmatul, Syarif Abdullah, Sri Istiyarti Uswatun Chasanah, Miftahul Huda, Fajri Ikhsan, and Sidik Susilo. "PEMBENTUKAN PORTOFOLIO OPTIMAL PADA INDEKS SAHAM SYARIAH TERBARU DI PASAR MODAL INDONESIA - IDX SHARIA GROWTH (IDXSHAGROW)." STATMAT : JURNAL STATISTIKA DAN MATEMATIKA 5, no. 1 (2023): 13–30. http://dx.doi.org/10.32493/sm.v5i1.29733.

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Seeing the needs of capital market industry players, the Indonesia Stock Exchange (IDX) developed an Islamic stock index. The newest type of sharia stock index launched by the IDX is IDX Sharia Growth (IDXSHAGROW). Stock investment requires a strategy to obtain maximum returns with minimal risk, one of which is diversification in portfolio formation. This study aims to form an optimal portfolio on the latest Islamic stock index on the Indonesian capital market, namely IDX Sharia Growth (IDXSHAGROW). The model used is the single index diversification model. The data used is for the period Decem

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24

PLATEN, ECKHARD, and RENATA RENDEK. "APPROXIMATING THE GROWTH OPTIMAL PORTFOLIO AND STOCK PRICE BUBBLES." International Journal of Theoretical and Applied Finance 23, no. 07 (2020): 2050048. http://dx.doi.org/10.1142/s021902492050048x.

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In practice, optimal portfolio construction for large stock markets has never been conclusively resolved because estimating the required means of returns with sufficient accuracy is a highly intractable task. By avoiding estimation, this paper approximates closely the growth optimal portfolio (GP) for the stocks of developed markets with a well-diversified, hierarchically weighted index (HWI). For stocks denominated in units of the HWI, their current value turns out to be strictly greater than their future expected values, which indicates the existence of stock price bubbles that could be syst

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25

SERVA, MAURIZIO. "OPTIMAL LAG IN DYNAMICAL INVESTMENTS." International Journal of Theoretical and Applied Finance 02, no. 04 (1999): 471–81. http://dx.doi.org/10.1142/s0219024999000236.

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A portfolio of different stocks and a risk-less security whose composition is dynamically maintained stable by trading shares at any time step leads to a growth of the capital with a nonrandom rate. This is the key for the theory of optimal-growth investment formulated by Kelly. In presence of transaction costs, the optimal composition changes and, more important, it turns out that the frequency of transactions must be reduced. This simple observation leads to the definition of an optimal lag between two rearrangement of the portfolio. This idea is tested against an investment in a risky asset

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26

Christensen, Sören, Albrecht Irle, and Andreas Ludwig. "Optimal portfolio selection under vanishing fixed transaction costs." Advances in Applied Probability 49, no. 4 (2017): 1116–43. http://dx.doi.org/10.1017/apr.2017.36.

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Abstract In this paper asymptotic results in a long-term growth rate portfolio optimization model under both fixed and proportional transaction costs are obtained. More precisely, the convergence of the model when the fixed costs tend to 0 is investigated. A suitable limit model with purely proportional costs is introduced and the convergence of optimal boundaries, asymptotic growth rates, and optimal risky fraction processes is rigorously proved. The results are based on an in-depth analysis of the convergence of the solutions to the corresponding Hamilton–Jacobi–Bellman equations.

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27

Avianti, Jihan, and Martdian Ratnasari. "Analisis Pembentukan Portofolio Optimal dengan Single Index Model dan Z-Score pada Emiten IDX BUMN 2O." Journal of Emerging Business Management and Entrepreneurship Studies 1, no. 1 (2021): 21–38. http://dx.doi.org/10.34149/jebmes.v1i1.4.

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This study aims to form an optimal portfolio and compare portfolio performance using a single index model and z-score. The z-score method is divided into 2 (two) according to the investment strategy, namely growth and value as investors' preferences in choosing a portfolio. The study population uses the IDX BUMN 20 for the period May 2018 - December 2020. The analysis results from the single index method have a portfolio return of 0.001339 with a risk to be faced of 0.0037724. The z-score growth investing method obtains a portfolio return value of 0.000989 and has a risk of 0.023369. Meanwhile

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28

AURELL, ERIK, and PAOLO MURATORE-GINANNESCHI. "OPTIMAL HEDGING OF DERIVATIVES WITH TRANSACTION COSTS." International Journal of Theoretical and Applied Finance 09, no. 07 (2006): 1051–69. http://dx.doi.org/10.1142/s0219024906003901.

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We investigate the optimal strategy over a finite time horizon for a portfolio of stock and bond and a derivative in an multiplicative Markovian market model with transaction costs (friction). The optimization problem is solved by a Hamilton–Jacobi–Bellman equation, which by the verification theorem has well-behaved solutions if certain conditions on a potential are satisfied. In the case at hand, these conditions simply imply arbitrage-free ("Black–Scholes") pricing of the derivative. While pricing is hence not changed by friction allow a portfolio to fluctuate around a delta hedge. In the li

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29

Platen, Eckhard. "Arbitrage in continuous complete markets." Advances in Applied Probability 34, no. 3 (2002): 540–58. http://dx.doi.org/10.1239/aap/1033662165.

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This paper introduces a benchmark approach for the modelling of continuous, complete financial markets, when an equivalent risk-neutral measure does not exist. This approach is based on the unique characterization of a benchmark portfolio, the growth optimal portfolio, which is obtained via a generalization of the mutual fund theorem. The discounted growth optimal portfolio with minimum variance drift is shown to follow a Bessel process of dimension four. Some form of arbitrage can be explicitly modelled by arbitrage amounts. Fair contingent claim prices are derived as conditional expectations

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Platen, Eckhard. "Arbitrage in continuous complete markets." Advances in Applied Probability 34, no. 03 (2002): 540–58. http://dx.doi.org/10.1017/s0001867800011757.

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This paper introduces a benchmark approach for the modelling of continuous, complete financial markets, when an equivalent risk-neutral measure does not exist. This approach is based on the unique characterization of a benchmark portfolio, the growth optimal portfolio, which is obtained via a generalization of the mutual fund theorem. The discounted growth optimal portfolio with minimum variance drift is shown to follow a Bessel process of dimension four. Some form of arbitrage can be explicitly modelled by arbitrage amounts. Fair contingent claim prices are derived as conditional expectations

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31

GYÖRFI, LÁSZLÓ, ANDRÁS URBÁN, and ISTVÁN VAJDA. "KERNEL-BASED SEMI-LOG-OPTIMAL EMPIRICAL PORTFOLIO SELECTION STRATEGIES." International Journal of Theoretical and Applied Finance 10, no. 03 (2007): 505–16. http://dx.doi.org/10.1142/s0219024907004251.

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The purpose of this paper is to introduce an approximation of the kernel-based log-optimal investment strategy that guarantees an almost optimal rate of growth of the capital under minimal assumptions on the behavior of the market. The new strategy uses much less knowledge on the distribution of the market process. It is analyzed both theoretically and empirically. The theoretical results show that the asymptotic rate of growth well approximates the optimal one that one could achieve with a full knowledge of the statistical properties of the underlying process generating the market, under the

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32

A, Avetha Angeline. "Optimizing Portfolio Allocation in the Indian Defense Sector: A Python-Based Approach." INTERANTIONAL JOURNAL OF SCIENTIFIC RESEARCH IN ENGINEERING AND MANAGEMENT 08, no. 04 (2024): 1–5. http://dx.doi.org/10.55041/ijsrem30807.

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This paper presents a detailed analysis of portfolio construction strategies aimed at maximizing risk-adjusted returns for investors, utilizing Python-based methodologies. By leveraging historical data on stock returns and risks, a meticulous selection process identified 5 stocks with superior risk-return profiles, outperforming the dataset's average measures with higher returns and lower risks. The selected stocks from the defense industry formed the foundation of an optimal portfolio designed to minimize sector-specific risks while maximizing growth potential. Through rigorous portfolio opti

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Irle, Albrecht, and Jörn Sass. "Optimal portfolio policies under fixed and proportional transaction costs." Advances in Applied Probability 38, no. 4 (2006): 916–42. http://dx.doi.org/10.1017/s0001867800001397.

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We consider the portfolio optimization problem of maximizing the asymptotic growth rate under a combination of fixed and proportional costs. Expressing the asymptotic growth rate in terms of the risky fraction process, the problem can be transformed to that of controlling a diffusion in one dimension. Then we use the corresponding quasivariational inequalities to obtain the explicit shape together with the existence of an optimal impulse control strategy. This optimal strategy is given by only four parameters: two for the stopping boundaries and two for the new risky fractions the investor cho

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34

Corsetti, Giancarlo. "A portfolio approach to endogenous growth: equilibrium and optimal policy." Journal of Economic Dynamics and Control 21, no. 10 (1997): 1627–44. http://dx.doi.org/10.1016/s0165-1889(97)00023-7.

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PLATEN, ECKHARD. "ON THE ROLE OF THE GROWTH OPTIMAL PORTFOLIO IN FINANCE." Australian Economic Papers 44, no. 4 (2005): 365–88. http://dx.doi.org/10.1111/j.1467-8454.2005.00271.x.

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Yang, Kunyu. "The Optimal Analysis of the Markowitz Portfolio Model: A Case Study of the New Energy Vehicle and Automotive Industry." SHS Web of Conferences 208 (2024): 04011. https://doi.org/10.1051/shsconf/202420804011.

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In the context of global environmental protection and the transition to a low-carbon economy, the new energy vehicle (NEV) industry has experienced rapid growth, with the Chinese market emerging as a key player. This paper selects five domestic NEV stock assets and applies the Markowitz portfolio model to optimize the portfolio weights. By analyzing historical data from August 2020 to August 2023, the optimal portfolio is calculated, and its effectiveness is validated using subsequent data from 257 trading days. The mean-variance model is employed for the calculations, and the optimal portfoli

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37

Bühlmann, Hans, and Eckhard Platen. "A Discrete Time Benchmark Approach for Insurance and Finance." ASTIN Bulletin 33, no. 02 (2003): 153–72. http://dx.doi.org/10.2143/ast.33.2.503688.

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This paper proposes a consistent approach to discrete time valuation in insurance and finance. This approach uses the growth optimal portfolio as reference unit or benchmark. When used as benchmark, it is shown that all benchmarked price processes are supermartingales. Benchmarked fair price processes are characterized as martingales. No measure transformation is needed for the fair pricing of insurance policies and derivatives. The standard actuarial pricing rule is obtained as a particular case of fair pricing when the contingent claim is independent from the growth optimal portfolio. 1991 M

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Bühlmann, Hans, and Eckhard Platen. "A Discrete Time Benchmark Approach for Insurance and Finance." ASTIN Bulletin 33, no. 2 (2003): 153–72. http://dx.doi.org/10.1017/s0515036100013416.

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This paper proposes a consistent approach to discrete time valuation in insurance and finance. This approach uses the growth optimal portfolio as reference unit or benchmark. When used as benchmark, it is shown that all benchmarked price processes are supermartingales. Benchmarked fair price processes are characterized as martingales. No measure transformation is needed for the fair pricing of insurance policies and derivatives. The standard actuarial pricing rule is obtained as a particular case of fair pricing when the contingent claim is independent from the growth optimal portfolio.1991 Ma

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39

Samuelson, Larry, and Jakub Steiner. "Growth and Redistribution: The Hedging Perspective." American Economic Review: Insights 7, no. 2 (2025): 250–67. https://doi.org/10.1257/aeri.20240456.

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We investigate the impact of wealth redistribution on economic growth, building on Kelly’s (1956) optimal investment portfolio theory. A growth-optimal policy redistributes wealth from “lucky” overperforming individuals to underperforming ones, minimizing the systematic component of this redistribution in a myopic fashion. That is, the optimal policy minimizes the discrepancy between endowments and outcomes, counterfactually taking outcomes as independent of endowments. The myopia in this result follows from a decoupling argument that allows us to model the planner as independently choosing a

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40

Nugraha, Edwin Setiawan, Carlina Juliany Lantang, and Mokhammad Ridwan Yudhanegara. "Portfolio Optimization Analysis Using Markowitz Model on Idx30 Stock Index in 2022 and 2023." FIRM Journal of Management Studies 9, no. 1 (2024): 97. http://dx.doi.org/10.33021/firm.v9i1.4990.

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Economic growth today has an impact on the lives of residents of a country. Investing in the stock market involves a relatively high degree of risk, as stock prices can fluctuate very quickly. However, a proper analysis in forming a portfolio is very important before making any investment decision to get maximal return. This research will use Markowitz Model to get optimal. This model explains the importance of diversification and how it can reduce overall risk while increasing returns. Data to be use are from IDX30 Index Companies in 2022 and 2023 because this index includes stocks from vario

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Rentsen, Enkhbat, and Gantigmaa Ganlkhagva. "Connection Between Pareto Optimality and Portfolio Growth Rate." Journal of Institute of Mathematics and Digital Technology 4, no. 1 (2022): 1–8. http://dx.doi.org/10.5564/jimdt.v4i1.2655.

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Portfolio optimization plays an important role in investment sciences. We examine the classical Markowitz model from a viewpoint of Pareto optimality. We consider a multi-objective optimization problem by maximizing the return of a portfolio and minimizing risk. We show that for appropriate weights, the Pareto optimal solution of the multi-objective optimization is a solution to the problem of maximizing a portfolio growth rate. Numerical results were provided using Mathlab. Багцын Өгөөжийн Өсөлт ба Парето Оновчлол Хураангуй: Хөрөнгө оруулалтын шинжлэх ухаанд багцын оновчлол чухал

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Browne, Sid. "The return on investment from proportional portfolio strategies." Advances in Applied Probability 30, no. 1 (1998): 216–38. http://dx.doi.org/10.1239/aap/1035228001.

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Dynamic asset allocation strategies that are continuously rebalanced so as to always keep a fixed constant proportion of wealth invested in the various assets at each point in time play a fundamental role in the theory of optimal portfolio strategies. In this paper we study the rate of return on investment, defined here as the net gain in wealth divided by the cumulative investment, for such investment strategies in continuous time. Among other results, we prove that the limiting distribution of this measure of return is a gamma distribution. This limit theorem allows for comparisons of differ

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43

Browne, Sid. "The return on investment from proportional portfolio strategies." Advances in Applied Probability 30, no. 01 (1998): 216–38. http://dx.doi.org/10.1017/s000186780000817x.

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Abstract:

Dynamic asset allocation strategies that are continuously rebalanced so as to always keep a fixed constant proportion of wealth invested in the various assets at each point in time play a fundamental role in the theory of optimal portfolio strategies. In this paper we study the rate of return on investment, defined here as the net gain in wealth divided by the cumulative investment, for such investment strategies in continuous time. Among other results, we prove that the limiting distribution of this measure of return is a gamma distribution. This limit theorem allows for comparisons of differ

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44

R, Dharshan. "Optimizing Portfolio Construction Using Nifty India Manufacturing Index: A Risk-Return Analysis with Python." INTERANTIONAL JOURNAL OF SCIENTIFIC RESEARCH IN ENGINEERING AND MANAGEMENT 08, no. 04 (2024): 1–5. http://dx.doi.org/10.55041/ijsrem31211.

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This paper presents a comprehensive analysis of portfolio construction strategies aimed at maximizing risk-adjusted returns for investors. Utilizing historical data on stock returns and risks, a meticulous selection process was employed to identify 15 stocks with superior risk-return profiles. These stocks were chosen based on their outperformance relative to the dataset's average measures, prioritizing returns higher than the dataset average and risks lower than average risk levels. The selected stocks, representing a diverse range of manufacturing-related businesses, formed the cornerstone o

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AURELL, ERIK, and PAOLO MURATORE-GINANNESCHI. "GROWTH-OPTIMAL STRATEGIES WITH QUADRATIC FRICTION OVER FINITE-TIME INVESTMENT HORIZONS." International Journal of Theoretical and Applied Finance 07, no. 05 (2004): 645–57. http://dx.doi.org/10.1142/s0219024904002578.

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We investigate the growth optimal strategy over a finite time horizon for a stock and bond portfolio in an analytically solvable multiplicative Markovian market model. We show that the optimal strategy consists in holding the amount of capital invested in stocks within an interval around an ideal optimal investment. The size of the holding interval is determined by the intensity of the transaction costs and the time horizon.

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46

Islakaeva, G. R. "USING THE BOSTON CONSULTING GROUP MATRIX IN DEVELOPING CORPORATE AND GOVERNMENT DEVELOPMENT STRATEGIES." Bulletin USPTU Science education economy Series economy 3, no. 33 (2020): 116–22. http://dx.doi.org/10.17122/2541-8904-2020-3-33-116-122.

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The article substantiates the possibility of using the method of strategic analysis and planning - the matrix of the Boston Consulting Group (BCG) - in the system of state and municipal administration. This tool was developed for the corporate sector of the economy with the aim of compiling an optimal portfolio of goods / services by companies to ensure a balanced cash flow in it. The use of the BCG matrix methodology allows us to classify the company's product portfolio into four groups of goods in terms of two parameters: growth rates and occupied market share. The presence of all groups in

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Meister, Bernhard K., and Henry C. W. Price. "A Quantum Double-or-Nothing Game: An Application of the Kelly Criterion to Spins." Entropy 26, no. 1 (2024): 66. http://dx.doi.org/10.3390/e26010066.

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A quantum game is constructed from a sequence of independent and identically polarised spin-1/2 particles. Information about their possible polarisation is provided to a bettor, who can wager in successive double-or-nothing games on measurement outcomes. The choice at each stage is how much to bet and in which direction to measure the individual particles. The portfolio’s growth rate rises as the measurements are progressively adjusted in response to the accumulated information. Wealth is amassed through astute betting. The optimal classical strategy is called the Kelly criterion and plays a f

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Mercurio, Peter Joseph, Yuehua Wu, and Hong Xie. "Portfolio Optimization for Binary Options Based on Relative Entropy." Entropy 22, no. 7 (2020): 752. http://dx.doi.org/10.3390/e22070752.

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The portfolio optimization problem generally refers to creating an investment portfolio or asset allocation that achieves an optimal balance of expected risk and return. These portfolio returns are traditionally assumed to be continuous random variables. In An Entropy-Based Approach to Portfolio Optimization, we introduced a novel non-parametric optimization method based on Shannon entropy, called return-entropy portfolio optimization (REPO), which offers a simple and fast optimization algorithm for assets with continuous returns. Here, in this paper, we would like to extend the REPO approach

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Le, Truc, and Eckhard Platen. "Approximating the growth optimal portfolio with a diversified world stock index." Journal of Risk Finance 7, no. 5 (2006): 559–74. http://dx.doi.org/10.1108/15265940610716115.

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Duncan, T., B. Pasik Duncan, and L. Stettner. "Growth Optimal Portfolio Selection Under Proportional Transaction Costs with Obligatory Diversification." Applied Mathematics & Optimization 63, no. 1 (2010): 107–32. http://dx.doi.org/10.1007/s00245-010-9113-x.

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