Risk_portofolio_management_under_Zipf_an.pdf (85.27 kB)
Risk portofolio management under Zipf analysis based strategies
conference contribution
posted on 2020-04-08, 16:05 authored by M Ausloos Ph BronletA 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.
Funding
MA thanks the organizers of the 3rd Nikkei symposium for financial sup-port received in order to present the above results.
History
Citation
Ausloos M., Bronlet P. (2006) Risk portofolio management under Zipf analysis based strategies. In: Takayasu H. (eds) Practical Fruits of Econophysics. Springer, TokyoVersion
- AM (Accepted Manuscript)