Risk portofolio management under Zipf analysis based strategies

Details Risk portofolio management under Zipf analysis based strategies Risk portofolio management under Zipf analysis based strategies

2005-04-19

arxiv.org/abs/physics/0504131v1

Practical Fruits of Econophysics, The Third Econophysics Symposium, Tokyo 2004

Physics

Physics and Society

5 pages, 2 figures

Scientific paper

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.

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