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Math 348: Spring 2007

Math 348: Spring 2007. Portfolios and Investment Strategies. (. ). (. ). (. ). (. ). $. (. ). (. ). h. l. b. h. f. l. h. '. d. d. b. l. l. k. d. k. l. T. A. S. A. S. A. A. S. A. i. i. i. i. i. i. i. i. 1. 0. 0. 2. 0. 5. 0. 1. 0. 1. 0. 1.

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Math 348: Spring 2007

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  1. Math 348: Spring 2007 Portfolios and Investment Strategies

  2. ( ) ( ) ( ) ( ) $ ( ) ( ) h l b h f l h ' d d b l l k d k l T A S A S A A S A i i i i i i i i 1 0 0 2 0 5 0 1 0 1 0 1 0 3 0 0 0 0 1 0 1 0 1 0 2 0 1 t t t t t t t t t t u p e e p n r m o x s e e n v e s s u e x n p o r g o a o a s s a g n v e a y n n e y q u a y n r s y a n r s e s s a s s e s = = = = = = = 1 1 2 2 ; ; . . . ( ) ( ) ( ) ( ) ( ) ( ) ( ) V S S A 0 1 0 1 0 1 0 + + x x y = 1 1 2 2 2 0 5 0 1 0 1 0 0 1 0 1 0 0 + + ¢ ¢ ¢ = : Example: Albert builds a portfolio

  3. ( ) ( ( ) ) ( ) ( ) ( ) h h l b b l ¯ d h f l d b l l d h f d b T T A A S S A S i i i 1 2 1 7 2 1 1 6 2 0 1 2 9 0 1 0 3 0 1 1 0 t t t t t t e e e n n r x r e w a e a n n c e s x e p o r o a n o y y s e n a g n s a r e s o a n u y n g w o = = = = = = = 1 2 1 2 1 , ; ; . . h f S s a r e s o 2 . ( ) ( ) ( ) ( ) ( ) ( ) ( ) V S S A 1 1 1 1 1 1 1 + + x x y = 1 1 2 2 2 0 6 0 1 0 9 0 1 0 1 1 0 + + ¢ ¢ ¢ = 3 2 0 0 = : Time Passes

  4. ( ) ( ) ( ) h ¯ d d T A S S A 2 1 5 4 1 9 5 0 1 2 1 t t e n w e n a n = = = = 1 2 , ; . ( ) ( ) ( ) ( ) ( ) ( ) ( ) V S S A 2 2 2 2 2 2 2 + + x x y = 1 1 2 2 1 7 5 4 1 2 9 5 1 0 1 2 1 + + ¢ ¢ ¢ = 3 2 6 8 = : More Time Passes

  5. ( ) $ ( ) ( ( ) ) ( ) f l b h d h d I A S S S A 1 0 2 1 0 0 0 5 0 1 0 1 1 0 0 0 0 1 0 0 t t ¡ u x p e p r o s e a s a n x a n e n = = = = = 1 1 2 2 , . ; , . ( ) ( ) ( ) ( ) ( ) ( ) ( ) V S S A 0 1 0 1 0 1 0 + + x x y = 1 1 2 2 ( ) 1 0 0 2 0 5 0 1 0 1 0 0 1 1 0 0 ¡ + + ¢ ¢ ¢ y = : ( ) 1 1 s o y = . Inadmissible Strategies

  6. ( ) ( ) ( ) h l b h ¯ d b k d h l h d h h d A A T S S A S i i i i 1 1 6 0 1 9 0 0 1 1 0 t t t t t t t t e e n r a s w g e o n n e r o e a n w o e v e r e a m n s o r w o u a n y e p o s s = = = = 1 2 1 , ; . f b j t o u o a o . ( ) ( ) ( ) ( ) ( ) ( ) ( ) V S S A 1 1 1 1 1 1 1 + + l b ' d b l W A i i i i x x y t t t = 1 1 2 2 e s a y e r s s r a e g y s n a m s s e . 2 0 6 0 1 0 9 0 1 1 1 0 ¡ + + ¢ ¢ ¢ = 1 9 0 ¡ = : Time Passes

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