dorsal/arxiv
View SchemaRisk portofolio management under Zipf analysis based strategies
| Authors | M. Ausloos Ph. Bronlet |
|---|---|
| Categories | |
| ArXiv ID | physics/0504131 |
| URL | https://arxiv.org/abs/physics/0504131 |
| Journal | in Practical Fruits of Econophysics, H. Takayasu, Ed. (Springer, Tokyo, 2006) pp. 257-261 |
Abstract
A so called Zipf analysis portofolio management technique is introduced in order to comprehend the risk and returns. Two portofoios are built each from a well known financial index. The portofolio management is based on two approaches: one called the "equally weighted portofolio", the other the "confidence parametrized portofolio". A discussion of the (yearly) expected return, variance, Sharpe ratio and $\beta$ follows. Optimization levels of high returns or low risks are found.
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"abstract": "A so called Zipf analysis portofolio management technique is introduced in\norder to comprehend the risk and returns. Two portofoios are built each from a\nwell known financial index. The portofolio management is based on two\napproaches: one called the \"equally weighted portofolio\", the other the\n\"confidence parametrized portofolio\". A discussion of the (yearly) expected\nreturn, variance, Sharpe ratio and $\\beta$ follows. Optimization levels of high\nreturns or low risks are found.",
"arxiv_id": "physics/0504131",
"authors": [
"M. Ausloos Ph. Bronlet"
],
"categories": [
"physics.soc-ph",
"q-fin.PM"
],
"journal_ref": "in Practical Fruits of Econophysics, H. Takayasu, Ed. (Springer,\n Tokyo, 2006) pp. 257-261",
"title": "Risk portofolio management under Zipf analysis based strategies",
"url": "https://arxiv.org/abs/physics/0504131"
},
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