Results 271 to 280 of about 2,004,439 (305)

Portfolio Design Beta, Alpha, Variance on Inconsistent Stocks in Indonesia LQ45 Index

Journal of Ecohumanism
Optimal portfolios have become a major concern in finance, especially in the investment context. This research aims to explore the concept of an optimal portfolio by applying beta, alpha, and variance methods, as well as considering active and passive ...
D. F. Salim, Ade Aulia, B. Beshr, H. A. Riyadh   +3 more
semanticscholar   +1 more source

Dynamically consistent alpha‐maxmin expected utility

Mathematical Finance, 2019
The alpha‐maxmin model is a prominent example of preferences under Knightian uncertainty as it allows to distinguish ambiguity and ambiguity attitude. These preferences are dynamically inconsistent for nontrivial versions of alpha.
Patrick Beissner, Qian Lin, F. Riedel
semanticscholar   +1 more source

Building on Finance Theory to Forge the Future of Investment Practice

Journal of Portfolio Management
Academic asset pricing research has served as a foundational element in quantitative investing over the past several decades. However, its neoclassical assumptions and preference for parsimony have made academic research less useful when applied directly
B. Jacobs, Kenneth N. Levy
semanticscholar   +1 more source

Processus stables et applications en finance: CAPM, risque, choix des portefeuilles, evaluation des options dans un marche "alpha stables"

1996
Bibliographie : 10 p.
openaire   +1 more source

Alpha Momentum and Alpha Reversal in Country and Industry Equity Indexes

Journal of Empirical Finance, 2018
Do past alphas predict future country and industry returns? Examination of equity indexes from 51 stock markets between 1973 and 2018 allows us to demonstrate new return patterns in the cross-section of country and industry returns. Past short-term (long-
Adam Zaremba, Mehmet Umutlu, Andreas S. Karathanasopoulos   +2 more
semanticscholar   +1 more source

Does one model fit all in global equity markets? Some insight into market factor based strategies in enhancing alpha

International Journal of Finance and Economics, 2018
The sources of risk in a marketplace are systematic, cross‐sectional, and time varying in nature. Though the capital asset pricing model (CAPM) provides an excellent risk–return framework and the market beta may reflect the risk associated with risky ...
S. Mohanty
semanticscholar   +1 more source

A novel numerical scheme for time-fractional Black-Scholes PDE governing European options in mathematical finance

Numerical Algorithms, 2023
Jaspreet Kaur, S. Natesan
semanticscholar   +1 more source

Modeling dynamic VaR and CVaR of cryptocurrency returns with alpha-stable innovations

Finance Research Letters, 2023
J. Málek, D. K. Nguyen, A. Şensoy, Quang-Van Tran   +3 more
semanticscholar   +1 more source

The Alpha Magnetic Spectrometer (AMS) on the international space station: Part II — Results from the first seven years

Physics Reports, 2021
Yi Jia
exaly  

CD147 antibody specifically and effectively inhibits infection and cytokine storm of SARS-CoV-2 and its variants delta, alpha, beta, and gamma

Signal Transduction and Targeted Therapy, 2021
Liang Chen, You-Chun Wang, Chuan Qin
exaly