Open Daily: 10am - 10pm | Alley door pickup 10am - 7pm 3038 Hennepin Ave Minneapolis, MN
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  • Open Daily: 10am - 10pm
    Alley-side Pickup: 10am - 7pm

    3038 Hennepin Ave Minneapolis, MN
    612-822-4611

Open Daily: 10am - 10pm | Alley-side Pickup: 10am - 7pm
3038 Hennepin Ave Minneapolis, MN
612-822-4611
Opportunity Cost of Constrained Portfolio Strategies

Opportunity Cost of Constrained Portfolio Strategies

Melkumian, Alice A.

Paperback

Business General

ISBN10: 3639073193
ISBN13: 9783639073195
Publisher: Blues Kids Of Amer
Published: Aug 4 2008
Pages: 184
Weight: 0.56
Height: 0.39 Width: 6.00 Depth: 9.00
Language: English
Financial investors frequently confront factors such as financial regulations that prevent them from attaining a first-best solution to the optimal asset allocation problem. For example, they may be required to implement a mean-variance efficient portfolio, or they may be constrained to invest in a non-well-diversified choice of assets, such as holding stocks only or bonds only, or they may be constrained from short-selling. Such constraints imply the imposition of a welfare loss on the investor. That a welfare loss is inevitable is well known, but the portfolio choice literature thus far has offered little guidance on how to measure the loss, and how various factors will influence the amount of the loss. This volume tackles the welfare loss problem in a comprehensive and rigorous manner. Using a combination of mathematical analysis and computer simulation, deep insight is achieved into a variety of constrained portfolio choice problems. The book will be found highly illuminating to portfolio choice theorists as well as to students and practitioners of investment analysis.

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