General Portfolio Model Research Articles

Multimedia Portfolio Behavior Analysis Based on Bayesian Game Algorithm

A portfolio prediction model based on Bayesian game algorithm is proposed to improve the accuracy of correlation analysis model in portfolio application. Firstly, the portfolio problem is analyzed. The market value constraint and the upper bound constraint are combined considering the general portfolio model according to Markowitz theory, it improves the portfolio model and obtains the portfolio model with mixed constraints. Secondly, a probabilistic portfolio monitoring strategy based on incomplete information non-cooperative Bayesian game is proposed. The framework combines the enterprise investment behavior detection module with the specified rules to identify the portfolio pattern, the interaction between portfolio selection and monitored investment behavior is modeled as a two-person non-cooperative Bayesian game, which allows portfolio selection to adopt a probability monitoring strategy based on game Bayesian Nash equilibrium, thereby reducing the computational complexity of the portfolio approach introduced into the game algorithm. Finally, the effectiveness of the proposed algorithm is verified by simulation experiments.

Particle swarm optimised analysis of investment decision

A portfolio forecasting model based on particle swarm optimization (PSO) algorithm with automatic factor scaling is proposed in this Article to effectively improve the accuracy of related analysis model in portfolio application. Firstly, the portfolio problem is analyzed and a hybrid constraint portfolio model is obtained by improving portfolio model with consideration of general portfolio model and combination of market value constraint and upper bound constraint according to Markowitz's theory. Secondly, PSO algorithm is introduced during analysis on portfolio model and solution is found with the hybrid constraint portfolio model of PSO on portfolio. In addition, in order to further improve the performance of PSO in model solution, automatic factor scaling is used for adaptive learning on parameters associated with PSO, to improve convergence of the algorithm. At last, simulation experiments show that the algorithm proposed can obtain a more ideal investment portfolio scheme, thereby reducing investment risks and obtaining greater investment returns.

Student’s vacation travel: A reference dependent model of airline fares preferences

This article reports the results of student vacation travel choice analysis using a reference dependent model of airline fare preferences. Findings suggests, as expected, that the preferences/utility decreases with increasing levels of cost. The evaluation of the airfare, however, becomes significantly more critical in the regime were low-fare airlines are more expensive than the regular airlines, meaning that price sensitivity for low-fare airlines is higher in this case. Part-worth utility functions for airfare as part of a more general portfolio model of vacation decisions of students suggest that indeed a reference dependent model captures such regimes in utility space.

Shareholder Value and Investment Strategy Using the General Portfolio Model

Portfolio planning has been the subject of much debate, but little testing in strategic management. Building on the assumptions that relative ROA and sales growth are valid indicators of competitive position and industry attractiveness, this study examines whether an investment strategy that is consistent with prescriptions from the general portfolio model is associated with excess returns to shareholders. Evidence reported in this study indicates that this strategy is actually associated with subpar returns to shareholders. The implications of this finding for scholars and managers are discussed.

A Financial-Economic von Thünen Model

The von Thünen model of agricultural land use is reformulated in this paper as an investment decision in which the objectives of farmers range from total risk-aversion to profit-maximization. By means of a variant of the mean-variance model of contemporary portfolio theory, it is demonstrated that individual bid-rent functions depend on the nature of a farmer's utility function. Because farmers' objectives affect their bid-rent functions, the spatial pattern of agricultural production is also affected. The conventional result of the von Thünen model is shown to be a special case of the more general portfolio model.

A General Diversification Theorem: A Note

Theorem four) have provided successively more general models which show that nonpositive interdependence of asset returns yields an incentive to diversify (and is free of the two-parameter restriction found in the analyses of Markowitz and Tobin). However, positive interdependence (or positive correlation in a twoparameter model) is a common relation between risky assets. If two risky assets are characterized by positive interdependence, there will still be an incentive to diversify if the investor can alter his portfolio to preserve the same mean income and reduce the riskiness of his portfolio income. It is easy to demonstrate the conditions which ensure this in the context of Tobin's model where it is well known that positive correlation is consistent with positive diversification. An analogous result has not been demonstrated for a more general portfolio model which includes a safe asset.1 Such a diversification theorem is provided in the next section. The theorem provides the conditions on the joint distribution function which suffice to show that the optimal portfolio of any risk averse investor will be positively diversified if it exists. The theorem is sufficiently robust to allow for positive interdependence of the risky assets and to characterize the extent of the positive interdependence. In two corollary results, it is shown that if the conditions in the diversification theorem are satisfied then by positively diversifying the investor is able to reduce the weight in the tails of his portfolio income distribution and reduce the variance of the portfolio income distribution.

Simple Rules for Optimal Portfolio Selection: The Multi Group Case

The inception of modern portfolio theory dates from Markowitz's pioneering article [7] and subsequent book [8]. Yet despite the early development of a full theory of portfolio management, this theory has rarely been implemented. One problem arises from the difficulty in generating inputs to the general portfolio model. Index models and simple structures for correlation relationships, which go a long way towards solving this problem, have been developed. Yet the time and cost of solving actual portfolio problems (involving the solution of a quadratic programming problem) and more importantly the difficulty of educating portfolio managers to relate to risk return trade-offs in terms of covariances has virtually brought the application of portfolio theory to a halt.