Summary
A 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 β follows. Optimization levels of high returns or low risks are found.
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© 2006 Springer-Verlag Tokyo
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Ausloos, M., Bronlet, P. (2006). Risk portofolio management under Zipf analysis based strategies. In: Takayasu, H. (eds) Practical Fruits of Econophysics. Springer, Tokyo. https://doi.org/10.1007/4-431-28915-1_47
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DOI: https://doi.org/10.1007/4-431-28915-1_47
Publisher Name: Springer, Tokyo
Print ISBN: 978-4-431-28914-2
Online ISBN: 978-4-431-28915-9
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