This study examines the benefits of commodity future investments using
optimal portfolio strategy within a mean variance framework and also determines how an investor's investment policy changes when the objective function is to maximize expected utility.
The
optimal portfolio lies on an efficient frontier, which shows the maximum return possible for given levels of risk.
The paper describes the computer program for compiling an
optimal portfolio in the Capital Market and describes its possibilities and methods.
In this model, the preferences are weighted and then the
optimal portfolio is clustered through the rough set theory [9].
Next, to demonstrate that the transaction costs have effect on the
optimal portfolio selection, given [h.sub.0] = 1.7 and [mu] = 0.08, the efficient portfolios under different transaction costs are given in Table 3.
[9] studied the
optimal portfolio and consumption with habit formation in a jump-diffusion market.
The portfolio optimization problem and
optimal portfolio selection methods are considered in (Rutkauskas 2005; Rutkauskas, Stasytyte 2008; Rutkauskas et al.
Advisors need to recognize the unique risk and return characteristics of life insurance that make it a legitimate, separate and distinct asset class with many non-conventional uses, such as in the construction of an
optimal portfolio. Structured with the right combinations, life insurance can offer predictable value and a sure way to transfer financial legacies via a guaranteed death benefit with tax efficiencies and market-driven growth potential.
While analysing investment portfolio efficiency lines in two-dimensional plane, we determine possible values of
optimal portfolio, and, in turn, propose the selection of
optimal portfolio, when its utility is measured according utility function depending on profitability and riskness in "risk-profitability plane".
Optimal Portfolio Choice with Wage-Indexed Social Security
"The traditional financial theory is to fund the
optimal portfolio and then either lever that up or dilute it with cash to get to the right risk/return profile.