Results 21 to 30 of about 3,239,912 (305)
The Development of Markowitz – Sharpe\'s Theory and New Efficient Frontier: The Case of Large Cement Corporations in Tehran Stock Exchange Market [PDF]
پژوهشهای اقتصادی, 2010 Markowitz's model which determines the weight of each stock in the portfolio is based on the optimal choice of stocks in order to maximize the expected returns. However, this theory through paying special attention to the concept of total risk reaches to
Farhad Savabi Asl +2 more
doaj
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
The regression-based efficient frontier
Results in Applied MathematicsThe standard mean–variance analysis employs quadratic optimization to determine the optimal portfolio weights and to plot the mean–variance efficient frontier (MVEF).
Wan-Yi Chiu
doaj +1 more source
Attractiveness and Progress in Integer-Valued Data Envelopment Analysis
Fuzzy Optimization and Modeling, 2022 Data envelopment analysis (DEA) is a non-parametric technique to measure and evaluating the relative efficiencies of the set of homogenous decision making units (DMUs) with multiple inputs and multiple outputs.
Maliheh Shahkooeei, Farzad Rezai Balf
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
A General Framework for Portfolio Theory—Part I: Theory and Various Models
Risks, 2018 Utility and risk are two often competing measurements on the investment success. We show that efficient trade-off between these two measurements for investment portfolios happens, in general, on a convex curve in the two-dimensional space of utility and ...
Stanislaus Maier-Paape, Qiji Jim Zhu
doaj +1 more source
The impact of cryptocurrency on the efficient frontier of emerging markets
Croatian Review of Economic, Business and Social Statistics, 2019 Cryptocurrencies are a sweltering topic in modern times of investment strategies. Since the cryptocurrency market is classified as an emerging market, in this paper a portfolio of emerging markets is compiled from the indices of four European Union (EU ...
Ćosić Karlo, Časni Anita Čeh
doaj +1 more source
A Maximum Entropy Method for a Robust Portfolio Problem
Entropy, 2014 We propose a continuous maximum entropy method to investigate the robustoptimal portfolio selection problem for the market with transaction costs and dividends.This robust model aims to maximize the worst-case portfolio return in the case that allof ...
Yingying Xu +3 more
doaj +1 more source
Emerging experimental and computational methods for studying redox‐regulated structural transitions
FEBS Letters, EarlyView.Redox reactions can reshape proteins and alter how they behave in cells, with important consequences for health and disease. This review explores emerging experimental and computational approaches for discovering these redox‐sensitive protein switches, revealing their structural effects, and predicting their behavior, opening new opportunities to ...
Tasneem Rass +2 more
wiley +1 more source
Posterior analysis of stochastic frontier models using Gibbs sampling [PDF]
, 1992 In this paper we describe the use of Gibbs sampling methods for making posterior inferences in stochastic frontier models with composed error. We show how the Gibbs sampler can greatly reduce the computational difficulties involved in analyzing such ...
Osiewalski, Jacek +2 more
core +1 more source