A Global Optimal Theory of Portfolio beyond R-$σ$ Model
The deviation of the efficient market hypothesis (EMH) for the practical economic system allows us gain the arbitrary or risk premium in finance markets. We propose the triplet $(R,H,σ)$ theory to give the local and global optimal portfolio, which eneralize from the $(R,σ)$ model. We present the formulation of the triplet $(R,H,σ)$...