Results 21 to 30 of about 63,435 (211)
Stock Portfolios Optimization at the Industry Level Regarding Constraints in Practice: Liquidity, Transaction Cost, Turnover & Tracking-error [PDF]
تحقیقات مالی, 2022 Objective: This study seeks to optimize stock portfolios at the industry level for an intended investment company by considering some limitations (the amount of liquidity of each industry in a month, transaction costs, portfolio turnover, and tracking ...
Hadis Hamidifard +2 more
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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
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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
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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
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Efficiency, Inefficiency and the MENA Frontier [PDF]
SSRN Electronic Journal, 2015 We examine technical efficiency in the Middle East and North Africa (MENA). In addition to economic indicators, political and social ones play a role in development and efficiency profiles. The MENA have been characterized by increasing economic efficiency over time but with marked polarization.
McAdam, Peter, Christopoulos, Dimitris
openaire +3 more sources
Efficient Single Frontier Bidirectional Search
Proceedings of the International Symposium on Combinatorial Search, 2021 The Single Frontier Bi-Directional Search (SBS) framework was recently introduced. A node in SBS corresponds to a pair of states, one from each of the frontiers and it uses front-to- front heuristics. In this paper we present an enhanced version of SBS, called eSBS, where pruning and caching techniques are applied, which significantly ...
LIPPI, MARCO, M. Ernandes, A. Felner
openaire +5 more sources
Approximating Pareto frontier using a hybrid line search approach [PDF]
, 2010 This is the post-print version of the final paper published in Information Sciences. The published article is available from the link below. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting ...
Abraham, A, Grosan, C
core +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
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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