Index tracking using Two-tail Mixed Conditional Value-at-risk in Tehran Stock Exchange [PDF]
تحقیقات مالی, 2022 Objective: Passive management is an investing strategy that tracks a market value-weighted index or portfolio. It seeks to minimize the cost of investment fees and to avoid undesirable repercussions of the unpredictability of future trends.
Reza Eyvazloo +2 more
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Attribute Selection via Maximizing Independent-and-Effective Classification Information Ratio [PDF]
Jisuanji kexue yu tansuo, 2022 Attribute selection in rough set theory has wide practical application values. Most existing attribute selection approaches neglect the relationship among the classification information and redundant information brought by the candidate attribute, and ...
LIU Ye, DAI Jianhua, CHEN Jiaolong
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Application of an optimization model for constructing an index tracker portfolio and considering the uncertainty of model parameters by using of robust optimization approach [PDF]
تحقیقات مالی, 2015 index tracking is the process of developing a portfolio that reproduces the performance of an index. The tracker portfolio has relatively good diversity and low turnover and low transaction costs.
Saeid Fallahpour, Farid Tondnevis
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IEEE Access, 2021 As the mobile networks become even denser and the traffic demand is increasing drastically, it is becoming more heterogeneous. Recently, it is intensive to investigate the Cell-Free Massive multiple-input multiple-output Massive (MIMO) system, where a ...
Jue An, Feng Zhao
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Nonparametric performance hypothesis testing with the information ratio
Cogent Economics & Finance, 2021 This study proposes a nonparametric bootstrap-based test to compare performances between two portfolios in terms of their information ratio. This serves as an extension to the literature that tests performance between two portfolio investment strategies ...
Jacque Bon-Isaac Aboy, Joselito Magadia
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Revisiting Chernoff Information with Likelihood Ratio Exponential Families
Entropy, 2022 The Chernoff information between two probability measures is a statistical divergence measuring their deviation defined as their maximally skewed Bhattacharyya distance.
Frank Nielsen
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Efficient transformed ratio-type estimator using single auxiliary information
Kuwait Journal of Science, 2021 This paper purposes an efficient transformed ratio-type estimator for the estimation of population variance of study variable (y) by utilizing single auxiliary information (x) under simple random sampling without-replacement.
Sana Amjad, Ismail Muhammad
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PERFORMANCE EVALUATION OF LQ45 STOCKS IN THE INDONESIA STOCK EXCHANGE DURING PERIOD OF 2016-2018
Journal of Management and Entrepreneurship Research, 2020 Objective: This study investigates the performance evaluation of each LQ45 stock in the Indonesia Stock Exchange conducted by using the Sharpe Index, Treynor Ratio, Jensen Alpha, Sortino Ratio, and Information Ratio.
Happy Catherine, Robiyanto Robiyanto
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The Effect of Information Sharing on Tax-to-GDP Ratio [PDF]
Faslnāmah-i Pizhūhish/Nāmah-i Iqtisādī, 2016 In real world, taxpayers have private information of which tax agencies are either completely or partly not aware of. This issue gives rise to the so-called asymmetric information problem, seriously preventing tax laws from being justly and efficiently ...
Zahra Ziya’i +2 more
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A two parameter ratio-product-ratio estimator using auxiliary information [PDF]
, 2012 We propose a two parameter ratio-product-ratio estimator for a finite population mean in a simple random sample without replacement following the methodology in Ray and Sahai (1980), Sahai and Ray (1980), Sahai and Sahai (1985) and Singh and Ruiz Espejo (
Chami, Peter S. +2 more
core +3 more sources