Risk portofolio management under Zipf analysis based strategies

Marcel Ausloos

Papers from arXiv.org

Abstract: 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 $\beta$ follows. Optimization levels of high returns or low risks are found.

Date: 2005-04
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Published in in Practical Fruits of Econophysics, H. Takayasu, Ed. (Springer, Tokyo, 2006) pp. 257-261

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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:physics/0504131

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