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Merton's portfolio problem is a problem in continuous-time finance and in particular intertemporal portfolio choice. An investor must choose how much to consume and must allocate their wealth between stocks and a risk-free asset so as to maximize expected utility .
Market portfolio is an investment portfolio that theoretically consisting of a weighted sum of every asset in the market, with weights in the proportions that they exist in the market, with the necessary assumption that these assets are infinitely divisible. [1] [2] The concept is related to asset allocation and has been critiqued by some ...
In finance and investing, rebalancing of investments (or constant mix) is a strategy of bringing a portfolio that has deviated away from one's target asset allocation back into line. This can be implemented by transferring assets, that is, selling investments of an asset class that is overweight and using the money to buy investments in a class ...
This portfolio has the same exposure to each of the macroeconomic factors as the mispriced asset. The arbitrageur creates the portfolio by identifying n correctly priced assets (one per risk-factor, plus one) and then weighting the assets such that portfolio beta per factor is the same as for the mispriced asset.
Main Street Capital has helped over 200 private companies grow or transition by providing flexible private equity and debt capital solutions. This company is a favorite across Wall Street and ...
Portfolio optimization is the process of selecting an optimal portfolio (asset distribution), out of a set of considered portfolios, according to some objective.The objective typically maximizes factors such as expected return, and minimizes costs like financial risk, resulting in a multi-objective optimization problem.
The Brownian motion models for financial markets are based on the work of Robert C. Merton and Paul A. Samuelson, as extensions to the one-period market models of Harold Markowitz and William F. Sharpe, and are concerned with defining the concepts of financial assets and markets, portfolios, gains and wealth in terms of continuous-time stochastic processes.
Image source: The Motley Fool. Unum Group (NYSE: UNM) Q4 2024 Earnings Call Feb 05, 2025, 8:00 a.m. ET. Contents: Prepared Remarks. Questions and Answers. Call ...