Lingjun Miao

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faculty advisor: Professor Levental Lingjun MiaoTheoretical optimization of portfolios for the long run

1

A questionSuppose you are given $ 180 million today to make an investment. What will you do?$180M

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Contents

Two main problemsDefinition Explanation

Problem 1Problem 2

Two main problems

Estimating two important parametersdrift & volatility

determining the proportion of different stocks or securities in the portfolio

Definition Explanation

Portfolioa set of securities held by an investor

Drifta slow and gradual movement or change from one place or condition to another

Volatilitya statistical measure of the dispersion of returns for a given security or market index. Commonly, the higher the volatility, the riskier the security

Problem 1

Problem 1

Problem 10