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Mechanical Engineering, 2008 This article discusses the efficient frontier, initially conceived within the realm of economics and business that is essential to the practice of engineers as they pursue goals and objectives set forth by employers. Engineering courses, from undergraduate through doctoral studies, have a primary concern with efficiency and how it relates to the ...
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Modely analýzy obalu dat s fixním součtem výstupů
Trendy v podnikání, 2022 Traditional data envelopment analysis (DEA) models do not consider any relations with respect to the sum of values of outputs. In many real applications, the sum of outputs is predetermined and cannot be changed.
Josef Jablonský
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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
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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
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Learning the Efficient Frontier
, 2023 The efficient frontier (EF) is a fundamental resource allocation problem where one has to find an optimal portfolio maximizing a reward at a given level of risk. This optimal solution is traditionally found by solving a convex optimization problem. In this paper, we introduce NeuralEF: a fast neural approximation framework that robustly forecasts the ...
Chatigny, Philippe +4 more
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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
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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
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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
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A General Framework for Portfolio Theory. Part II: Drawdown Risk Measures
Risks, 2018 The aim of this paper is to provide several examples of convex risk measures necessary for the application of the general framework for portfolio theory of Maier-Paape and Zhu (2018), presented in Part I of this series.
Stanislaus Maier-Paape, Qiji Jim Zhu
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Energies, 2023 Since the future output of wind power generation is uncertain due to weather conditions, there is an increasing need to manage the risks associated with wind power businesses, which have been increasingly implemented in recent years.
Takuji Matsumoto, Yuji Yamada
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