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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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Uncertainty of Efficient Frontier in Portfolio Optimization
2020Portfolio optimization is a large area of investigation both in theoretical and practical setting since the seminal work by Markowitz where a mean-variance model was introduced. From optimization point of view, the problem of optimal portfolio in mean-variance setting can be formulated as convex quadratic optimization under uncertainty. In practice one
Valeriy A. Kalyagin +1 more
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Efficiency frontiers of XML cardinality constraints
Data & Knowledge Engineering, 2013XML has gained widespread acceptance as a premier format for publishing, sharing and manipulating data through the web. While the semi-structured nature of XML provides a high degree of syntactic flexibility there are significant shortcomings when it comes to specifying the semantics of XML data.
Flavio Ferrarotti +2 more
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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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Frontier analysis of the Philippine manufacturing efficiency
International Journal of Information and Decision Sciences, 2014This research investigates the efficiency of 100 firms from ten selected manufacturing industries in the Philippines over the period 1995–2004, using the two frontier models. The aim of this research is to evaluate and measure the technical efficiency of selected firms by applying the data envelopment analysis (DEA) and stochastic frontier analysis ...
Eduardo S. Gayosa, Emilyn C. Cabanda
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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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The Journal of Index Investing, 2011
By combining more asset classes, the slope of the classic efficient frontier steepens considerably—which is good news for investors desiring better risk-adjusted performance. Rather than evaluating a portfolio that simply contains various combinations of cash and large U.S. stocks, a multiple asset portfolio is evaluated in lieu of large U.S.
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By combining more asset classes, the slope of the classic efficient frontier steepens considerably—which is good news for investors desiring better risk-adjusted performance. Rather than evaluating a portfolio that simply contains various combinations of cash and large U.S. stocks, a multiple asset portfolio is evaluated in lieu of large U.S.
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THE EFFICIENT FRONTIER OF LONG-SHORT PORTFOLIOS
International Journal of Theoretical and Applied Finance, 2002Long-short strategies are now frequently implemented especially by hedge fund managers, or simply by active equity managers. Nevertheless, in the literature, the superiority of long-short strategies on long-only strategies still remains a debated point. A comparison of these strategies requires an efficient-frontier analysis.
Charpin, Françoise, Lacaze, Dominique
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Improving the Efficient Frontier
The Journal of Portfolio Management, 2003Familiar portfolio concepts can explain why pooling of investor capital enables investors to achieve higher expected returns without additional risk exposure. The risk of the pooled investment must be a particular weighted average of the participating investors9 preferred risks. Unveiling of the source of expected return improvements provides a clearer
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Frontiers of Efficiency Research
1995Efficiency Analysis in general systems theory is an active field of modern research. It covers not only the input-output systems, but other systems in control theory and engineering. Data envelopment analysis (DEA) deals only with a small component of input-output systems.
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