Results 251 to 260 of about 3,239,912 (305)

The Tourism Efficient Frontier

Journal of Travel and Tourism Marketing, 2004
Abstract The objective of this research was to identify efficient travel segment mixes that allow destination tourism policy-makers and marketers to efficiently plan, develop, and market their destinations, so that they can have greater and more stable tourism receipts. Factor-cluster analysis and quadratic programming were conducted to find the French
SooCheong, Alastair M. Morrison, Joseph T O'Leary   +2 more
exaly   +2 more sources

A machine learning efficient frontier

Operations Research Letters, 2020
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Brian Clark, Zachary Feinstein, Majeed Simaan   +2 more
openaire   +3 more sources

The Sharpe Ratio Efficient Frontier

SSRN Electronic Journal, 2011
We 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
openaire   +1 more source

A More Efficient Frontier

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, Felix Schirripa, Nan D. Tecotzky   +2 more
openaire   +2 more sources

ON THE UNBIASED ESTIMATOR OF THE EFFICIENT FRONTIER

International Journal of Theoretical and Applied Finance, 2010
In the paper, we derive an unbiased estimator of the efficient frontier. It is shown that the suggested estimator corrects the overoptimism of the sample efficient frontier documented in Siegel and Woodgate (2007). Moreover, an exact F-test on the efficient frontier is presented.
OLHA BODNAR, TARAS BODNAR
openaire   +3 more sources

The efficient frontier for bounded assets

Mathematical Methods of Operations Research (ZOR), 2000
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Best, Michael J., Hlouskova, Jaroslava
openaire   +2 more sources

INVESTMENT HORIZON AND EFFICIENT FRONTIER

Journal of International Business and Economics, 2015
This 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, Jose Cavalcante, Alberto S. Matsumoto   +2 more
openaire   +1 more source

Where is the Efficient Frontier?

2000
In a well developed financial market with liquid short term fixed income trading, the volatility of short term fixed income securities forms a continuous spectrum that converges to zero, the volatility of riskless asset. This means that the attainable combinations of risky assets contain the whole region under the capital market line and the capital ...
openaire   +2 more sources

DEA efficiency analysis: Efficient and anti-efficient frontier

Applied Mathematics and Computation, 2007
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
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Efficient frontier of utility and CVaR

Mathematical Methods of Operations Research, 2008
The 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.
openaire   +3 more sources