Results 51 to 60 of about 14,389 (211)

Portfolio selection models: A review and new directions [PDF]

, 2009
Modern Portfolio Theory (MPT) is based upon the classical Markowitz model which uses variance as a risk measure. A generalization of this approach leads to mean-risk models, in which a return distribution is characterized by the expected value of return (
Acerbi, Albrecht, Arditti, Artzner, BAWA, Bernoulli, Dentcheva, Dentcheva, Embrechts, Fama, Fishburn, Group of Thirty, Hadar, Jorion, Kaut, Konno, Konno, Kroll, Larsen, Lehmann, Leyffer, Mansini, Markowitz, Markowitz, Marshall, Morgan, Ogryczak, Ogryczak, Ortobelli, Perold, Pflug, Pratt, Quirk, Rockafellar, Rockafellar, Rockafellar, Rockafellar, Roman, Roman, Roy, Scott, Sharpe, Speranza, Tasche, Unser, von Neumann, Whitmore, Yamai, Yitzhaki   +48 more
core   +1 more source

Green investments: Portfolio selection based on risk measure and ESG indicators. Impact of environmental indicators on portfolio selection

Green Finance
Green investments are currently gaining investor attention. The question investors are addressing is to what extent investing in environmental companies or funds increases the risk/reward ratio.
Juraj Pekár, Ivan Brezina, Marian Reiff
doaj   +1 more source

Data-Driven Chance Constrained Optimization under Wasserstein Ambiguity Sets [PDF]

, 2018
We present a data-driven approach for distributionally robust chance constrained optimization problems (DRCCPs). We consider the case where the decision maker has access to a finite number of samples or realizations of the uncertainty.
Cherukuri, Ashish, Hota, Ashish R., Lygeros, John   +2 more
core   +2 more sources

Diversifying Environmental, Social and Governance Portfolios: Evidence From China

International Journal of Finance &Economics, EarlyView.
ABSTRACT This study extends traditional portfolio optimization methods by incorporating Environmental, Social and Governance (ESG) performance measures into diversification strategies, specifically focusing on data from the Chinese stock market. By integrating ESG scores and their constituent components (E, S and G), the study examines portfolio ...
Danyang Li, Yating Li, Charalampos Stasinakis, Yang Zhao   +3 more
wiley   +1 more source

HMM based scenario generation for an investment optimisation problem [PDF]

, 2011
This is the post-print version of the article. The official published version can be accessed from the link below - Copyright @ 2012 Springer-Verlag.The Geometric Brownian motion (GBM) is a standard method for modelling financial time series.
A. Geyer, C. Acerbi, C. Erlwein, Christina Erlwein, D. Roman, Diana Roman, E. Messina, G. C. Pflug, Gautam Mitra, H. Akaike, H. Markowitz, J. D. Hamilton, J. M. Mulvey, K. Hoyland, L. R. Rabiner, L. R. Rabiner, M. Kaut, M. R. Hardy, M. Zakai, P. Artzner, P. Krokhmal, R. Elliott, R. F. Engle, R. J. Elliott, R. Mamon, R. T. Rockafellar, R. T. Rockafellar, S. M. Ross, T. Bollerslev   +28 more
core   +1 more source

Conditional Generative Modeling for Enhanced Credit Risk Management in Supply Chain Finance

Naval Research Logistics (NRL), EarlyView.
ABSTRACT The rapid expansion of cross‐border e‐commerce (CBEC) has created significant opportunities for small‐ and medium‐sized sellers, yet financing remains a critical challenge due to their limited credit histories. Third‐party logistics (3PL)‐led supply chain finance (SCF) has emerged as a promising solution, leveraging in‐transit inventory as ...
Qingkai Zhang, L. Jeff Hong, Houmin Yan
wiley   +1 more source

Compatibility between pricing rules and risk measures: the CCVaR [PDF]

, 2009
Research partially supported by “RD Sistemas SA”, “Comunidad Autónoma de Madrid” (Spain), Grant s-0505/tic/000230, and “MEyC” (Spain), Grant SEJ2006-15401 ...
Balbás, Alejandro, Balbás, Raquel
core   +5 more sources

Adaptive Hybrid Chance‐Constrained SOCP‐Based ACOPF for Coordinated Optimisation of Integrated Energy Systems

IET Smart Energy Systems, EarlyView.
An adaptive chance‐constrained hybrid SOCP‐Based ACOPF for coordinated optimisation of integrated source–grid–load–storage systems is presented. The coordinated optimisation of integrated source–grid–load–storage (SGLS) systems is challenged by renewable energy uncertainty, complex industrial load characteristics and stringent policy constraints ...
Mingyue He, Zhengxiang Song, Jun Yang, Shaohua Zhang, Ya Mou, Zhongxia Zhang, Jiaqi Wu   +6 more
wiley   +1 more source

بررسی اثر لحاظ مخاطره بر سطوح مصرف بهینة کود و سموم شیمیایی: مطالعة موردی استان مازندران [PDF]

اقتصاد کشاورزی و توسعه
با توجه به تاثیر استفاده از سموم و کودهای شیمیایی بر محیط‌زیست و همچنین، با در نظر گرفتن اینکه مخاطره (ریسک) مسئله‌‏ای جدایی‌ناپذیر از بخش کشاورزی است، هدف پژوهش حاضر حداقل‌سازی مصرف دو نهاده کود و سم با در نظر گرفتن مخاطرة عملکرد در بخش کشاورزی بر اساس ...
فاطمه مجتهدی, سید علی حسینی یکانی   +1 more
doaj   +1 more source

A jackknife variance estimator for self-weighted two-stage samples

, 2013
Self-weighted two-stage sampling designs are popular in practice as they simplify field-work. It is common in practice to compute variance estimates only from the first sampling stage, neglecting the second stage.
Berger, Y.G., Escobar, E.L.
core   +1 more source