Results 31 to 40 of about 63,435 (211)
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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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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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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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
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A Meta-heuristic Algorithm for Portfolio Selection Problem under Cardinality and Bounding Constraints [PDF]
پژوهشهای اقتصادی, 2008 The focus of this paper is on standard Markowitz mean–variance model and its traditional approach to solve portfolio selection problem (Quadratic Planning).
mohammad taghi Taqavi Fard +2 more
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Portfolio optimization with simulated annealing algorithm [PDF]
تحقیقات مالی, 2015 The Markowitz issue of optimization can’t be solved by precise mathematical methods such as second order schematization, when real world condition and limitations are considered.
Saeid Qodsi, Reza Tehrani, Mahdi Bashiri
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Quick Introduction into the General Framework of Portfolio Theory
RisksThis survey offers a succinct overview of the General Framework of Portfolio Theory (GFPT), consolidating Markowitz portfolio theory, the growth optimal portfolio theory, and the theory of risk measures.
Philipp Kreins +2 more
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IIMB Management Review, 2022 Under stress events, most of the asset prices tend to be positively correlated, breaking the diversification benefits. In this study, we explore the performance of different assets particularly during stress events (the 2008 crisis and the COVID-19 ...
Chinnaraja Chendurpandian, Piyush Pandey
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Technical efficiency of U.S. Western Great Plains wheat farms using stochastic frontier analysis
Journal of Applied Economics, 2023 Technical efficiency (TE) is an important measure of farm performance. This study measured the TE of wheat farms across six states in the U.S. Western Great Plains based on production and farm management-specific variables. Significant factors positively
Inbae Ji +3 more
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