Risk portofolio management under Zipf analysis based strategies

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.

5 pages, 2 figures

References in corpus (1)

• Generalized (m,k)-Zipf law for fractional Brownian motion-like time series with or without effect of an additional linear trend