Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/238948 
Erscheinungsjahr: 
2019
Quellenangabe: 
[Journal:] Journal of Risk and Financial Management [ISSN:] 1911-8074 [Volume:] 12 [Issue:] 1 [Publisher:] MDPI [Place:] Basel [Year:] 2019 [Pages:] 1-11
Verlag: 
MDPI, Basel
Zusammenfassung: 
Modern Portfolio Theory is the ground upon which most works in portfolio optimization context find their foundations. Many studies attempt to extend the Modern Portfolio Theory to include short sale, leverage and transaction costs, features not considered in Markowitz's seminal work from 1952. The drawback of such theories is that they complicate considerably the simplicity of the original technique. Here, we propose a simple and unified method, which takes inspiration from, and shows connections with the matched filter theory in communications, to evaluate the best portfolio allocation with the possibility of including a leverage factor and short sales. Finally, we extend the presented method to also consider the transaction costs.
Schlagwörter: 
modern portfolio theory
portfolio optimization
matched filter
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