Results 21 to 30 of about 1,037,455 (301)
Multi-stage Stochastic Programming Asset/Liability Management Model with VaR Constraint at the Social Security Organization [PDF]
تحقیقات مالی, 2021 Objective: Optimizing asset allocation at the asset class level and measuring the insolvency risk of the Social Security Organization (SSO)by considering the value at risk constraint. Methods: At first we hand-collect the book value of assets for the SSO
Kiarash Mehrani, Asghar Gerami
doaj +1 more source
Multicriteria asset allocation in practice [PDF]
OR Spectrum, 2021 AbstractIn this paper, we consider the strategic asset allocation of an insurance company. This task can be seen as a special case of portfolio optimization. In the 1950s, Markowitz proposed to formulate portfolio optimization as a bicriteria optimization problem considering risk and return as objectives.
Kerstin Dächert +5 more
openaire +5 more sources
Leveraging DAGs for Asset Allocation [PDF]
, 2022 openThe aim of this thesis is to develop optimization techniques for financial portfolios, in order to exploit information regarding causal relationships between considered financial variables, described through directed acyclic graphs (DAGs) encoding ...
CAPRINI, LORENZO
core
Asset Allocation Strategies [PDF]
تحقیقات مالی, 1995 A number of theories about the hest method of allocating assets have been developed over the years, Managers are concernd about allocating scarce resources, mainly capital, in most productive way. Managers want to ensure that the return from the invested
ناصر صنوبر
doaj
Using an inflation-augmented price-earnings ratio to guide tactical asset allocation
South African Journal of Economic and Management Sciences, 2011 Asset allocation plays a central role in determining investment outcomes, and available evidence shows that portfolio results can be enhanced through tactical asset allocation if managers use the simple price-earnings ratio as a predictor of equity ...
Adrian Saville
doaj +3 more sources
Optimal Asset Allocation Strategy Based on Multivariate Functional Clustering and Deep Reinforcement Learning [PDF]
Jisuanji kexue yu tansuoThis paper proposes a novel optimal asset allocation method by comprehensively using multivariate functional clustering, deep learning, and deep reinforcement learning techniques.
SUN Jingyun, HE Zhe, YAO Xiaohong
doaj +1 more source
Frontiers in Energy Research, 2023 This paper addresses the innovation management problem of financial trading strategies for power system planning through the utilization of the BO-BERT-GRNN model.
Mengzhu Zhang, Ling Shen, Jiaqi Guo
doaj +1 more source
PLoS ONE, 2023 China's stimulus policies have caused overleveraging and overcapacity for the sustainable development of most industries (particularly high-pollution and energy-intensive industries). Thus, deleveraging and decapacity have become the two best options for
Songbo Jia +3 more
doaj +1 more source
Pension scheme asset allocation with taxation arbitrage, risk sharing and default insurance [PDF]
, 2004 The asset allocation is a crucial decision for pension funds, and this paper analyses the economic factors which determine this choice. The analysis proceeds on the basis that, in the absence of taxation, risk sharing and default insurance, the asset ...
Sutcliffe, Charles
core +1 more source
Prospect theory, constant relative risk aversion, and the investment horizon.
PLoS ONE, 2021 Prospect Theory (PT) and Constant-Relative-Risk-Aversion (CRRA) preferences have clear-cut and very different implications for the optimal asset allocation between a riskless asset and a risky stock as a function of the investment horizon.
Haim Levy, Moshe Levy
doaj +1 more source