Results 21 to 30 of about 343,410 (309)
Portfolio Optimization in terms of Justifiability Short Selling and Some Market Practical Constraints [PDF]
تحقیقات مالی, 2013 Short-selling prohibition has been one of the primary assumptions of Markowitz mean-variance model. Solving Markowitz quadratic model creates investment efficient frontier by considering only two return and budget constraints.
Hamid reza Ghasemi, Amir Abbas Najafi
doaj +1 more source
Effect of Variance Swap in Hedging Volatility Risk
Risks, 2020 This paper studies the effect of variance swap in hedging volatility risk under the mean-variance criterion. We consider two mean-variance portfolio selection problems under Heston’s stochastic volatility model. In the first problem, the financial market
Yang Shen
doaj +1 more source
Ortalama-varyans portföy optimizasyonunda genetik algoritma uygulamaları üzerine bir literatür araştırması [PDF]
, 2017 Mean-variance portfolio optimization model, introduced by Markowitz, provides a fundamental answer to the problem of portfolio management. This model seeks an efficient frontier with the best trade-offs between two conflicting objectives of maximizing ...
Akyer, Hasan +3 more
core +2 more sources
Airports economic efficient frontier [PDF]
Journal of Operations and Supply Chain Management, 2018 Studies about airport operational efficiency models generally disregard the correlation between operational efficiencies and economic drivers. The goal of this study is, firstly, to isolate and detail the key economic drivers and then find their efficient frontier.
Yoshimoto, Decio +2 more
openaire +3 more sources
Partial Frontier Efficiency Analysis [PDF]
The Stata Journal: Promoting communications on statistics and Stata, 2012 Despite their frequent use in applied work, nonparametric approaches to efficiency analysis—namely, data envelopment analysis and free disposal hull— have bad reputations among econometricians. This is mainly because data envelopment analysis and free disposal hull represent deterministic approaches that are highly sensitive to outliers and ...
Tauchmann, Harald, Tauchmann, Harald
openaire +2 more sources
Implied Distributions from GBPUSD Risk-Reversals and Implication for Brexit Scenarios
Risks, 2017 Much of the debate around a potential British exit (Brexit) from the European Union has centred on the potential macroeconomic impact. In this paper, we instead focus on understanding market expectations for price action around the Brexit referendum date.
Iain J. Clark, Saeed Amen
doaj +1 more source
Metal price behaviour during recent crises: COVID-19 and the Russia–Ukraine conflict
Journal of Economic and Financial Sciences, 2023 Orientation: Commodities are a prominent feature of the global economy. A substantial component of the income and welfare of both commodity-producing and commodity-consuming countries is highly dependent on the prices of commodities, such as metals ...
Matthew van der Nest, Gary van Vuuren
doaj +1 more source
Analyzing the Operations Strategies of Manufacturing Firms Using a Hybrid Grey DEA approach – A case of Fars Cement Companies in Iran [PDF]
International Journal of Supply and Operations Management, 2014 In competitive markets, the operations strategies of companies are normally formulated based on their competitive advantages. An effective operations strategy should maintain and improve competitive advantages based on the capabilities of the corporate ...
Mohamad Amin Kaviani, Mehdi Abbasi
doaj +1 more source
Continuous-Time Mean-Variance Portfolio Selection under the CEV Process
Abstract and Applied Analysis, 2014 We consider a continuous-time mean-variance portfolio selection model when stock price follows the constant elasticity of variance (CEV) process. The aim of this paper is to derive an optimal portfolio strategy and the efficient frontier.
Hui-qiang Ma
doaj +1 more source
Cogent Economics & Finance, 2020 Quantifiable, measurable risk is of critical importance when making data-driven decisions in finance and investment management, but what if the generally accepted practice of the investment industry for calculating risk possessed incorrect mathematical ...
Matthew W. Burkett, William T. Scherer
doaj +1 more source