Risk portofolio management under Zipf analysis based strategies

Marcel Ausloos and Ph. Bronlet ()
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Ph. Bronlet: SUPRATECS, B5

A chapter in Practical Fruits of Econophysics, 2006, pp 257-261 from Springer

Abstract: 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.

Keywords: Word Length; Investment Strategy; Hurst Exponent; Sharpe Ratio; Closing Price (search for similar items in EconPapers)
Date: 2006
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Working Paper: Risk portofolio management under Zipf analysis based strategies (2005)
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DOI: 10.1007/4-431-28915-1_47

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