Results 161 to 170 of about 63,435 (211)
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The Sharpe Ratio Efficient Frontier
SSRN Electronic Journal, 2011We evaluate the probability that an estimated Sharpe ratio exceeds a given threshold in presence of non-Normal returns. We show that this new uncertainty-adjusted investment skill metric (called Probabilistic Sharpe ratio, or PSR) has a number of important applications: First, it allows us to establish the track record length needed for rejecting the ...
David Bailey, Marcos López de Prado
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CFA Digest, 1999
In this article, the authors show how a community of investors can provide each of its members with higher expected return for a given standard deviation than any individual member can obtain alone by picking a portfolio from an efficient frontier.
Harry M. Markowitz +2 more
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In this article, the authors show how a community of investors can provide each of its members with higher expected return for a given standard deviation than any individual member can obtain alone by picking a portfolio from an efficient frontier.
Harry M. Markowitz +2 more
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The efficient frontier for bounded assets
Mathematical Methods of Operations Research (ZOR), 2000zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Best, Michael J., Hlouskova, Jaroslava
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INVESTMENT HORIZON AND EFFICIENT FRONTIER
Journal of International Business and Economics, 2015This paper verified the impact of the investment horizon in the allocation of an optimized portfolio. To do so, we generated efficient frontiers from a group of diversified global asset classes considering time series of returns of the past 10 years. It was possible to prove that the investment horizon impacts the composition of optimal portfolios for ...
Jose Luiz Barros Fernandes +2 more
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DEA efficiency analysis: Efficient and anti-efficient frontier
Applied Mathematics and Computation, 2007zbMATH Open Web Interface contents unavailable due to conflicting licenses.
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Efficient frontier of utility and CVaR
Mathematical Methods of Operations Research, 2008The author studies the efficient frontier problem of utility maximization and CVaR minimization in an incomplete constrained market. The formulation leads naturally to a two stage optimization problem: one parametric nonsmooth utility maximization and one scalar concave maximization. He follows \textit{J. Cvitanic} [SIAM J. Control Optimization 38, No.
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Bootstrap estimation of the efficient frontier
Computational Management Science, 2016In this paper, we propose a bootstrap resampling methodology to obtain the confidence intervals for efficient portfolios weights and the sample characteristics of the mean-variance efficient frontier. We provide an estimate of efficient portfolios, compute the confidence region of the efficient frontier and get the prediction densities of the future ...
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Efficient frontier detection for robot exploration
The International Journal of Robotics Research, 2013Frontier-based exploration is the most common approach to exploration, a fundamental problem in robotics. In frontier-based exploration, robots explore by repeatedly detecting (and moving towards) frontiers, the segments which separate the known regions from those unknown. A frontier detection sub-process examines map and/or sensor readings to identify
Matan Keidar, Gal A. Kaminka
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Execution Costs and Efficient Execution Frontiers [PDF]
SSRN Electronic Journal, 2010 Single period risks acceptable to the market at zero cost are modeled by a convex set of random variables leading to bid and ask prices that are trade size dependent. The theory of nonlinear expectations is employed to construct dynamically consistent sequences of bid and ask unit size prices that are size and trade date contingent.
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Improvements by analyzing the efficient frontier in DEA
European Journal of Operational Research, 2012zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Satoshi Washio +3 more
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