Results 1 to 10 of about 12,204 (166)
Regression, multicollinearity and Markowitz
Finance Research Letters, 2023 Roberto Ortiz +1 more
exaly +2 more sources
Analisis Portofolio Optimal Markowitz dan Single Index Model pada Jakarta Islamic Index [PDF]
Ekonomi dan Bisnis, 2021 This research is a quantitative descriptive study which aims to determine the optimal portfolio composition of stocks that are consistently listed on the Jakarta Islamic Index (JII) from the 2018 – November 2020 period.
Irsyaad Rachmatullah +2 more
doaj +3 more sources
Application of Cumulative Entropy Measure and PSO Algorithm in Tehran Stock Exchange Petrochemical Companies Portfolio Optimization [PDF]
مجله توسعه و سرمایه, 2021 Objective: The main object of this study is to use a new measure of risk called Cumulative entropy in the Markowitz portfolio optimization model and solve this model using Particle swarm optimization (PSO) to optimize the portfolio of Petrochemical ...
Hossein Mohammadi Baghmolaei +3 more
doaj +1 more source
SSRN Electronic Journal, 2021 Markowitz mean-variance portfolios with sample mean and covariance as input parameters feature numerous issues in practice. They perform poorly out of sample due to estimation error, they experience extreme weights together with high sensitivity to change in input parameters. The heavy-tail characteristics of financial time series are in fact the cause
Härdle, Wolfgang +3 more
openaire +4 more sources
Portfolio Optimization by Stochastic Dominance Method in the Tehran Stock Exchange [PDF]
Muṭāli̒āt-i Mudīriyyat-i Ṣan̒atī, 2019 The formation of the optimum portfolio based on risk and return is one of the most important decisions of investors in financial markets, for which there are various methods.
Moslem Peymany Foroushany +3 more
doaj +1 more source
Cryptocurrencies: applications and investment opportunities [PDF]
Journal of Capital Markets Studies, 2019 Purpose – This study investigates the role of cryptocurrencies in enhancing the performance of portfolios constructed from traditional asset classes. Using a long sample period covering not only the large value increases but also the dramatic declines ...
A. Can Inci, Rachel Lagasse
doaj +1 more source
Jurnal Lebesgue, 2023 A portfolio is a combination of assets with a desired rate of return as well as risks that can be minimized by spreading risks across different assets.
Muhammad Farhan Mingka +1 more
doaj +1 more source
Markowitz Portfolio Optimization Applied On Companies Listed On The Indonesia Stock Exchange LQ-45
Ekono Insentif, 2023 Optimisasi portofolio merupakan pendekatan yang sangat penting dalam pengelolaan investasi yang bertujuan untuk mencapai keseimbangan optimal antara risiko dan imbal hasil. Salah satu model optimisasi portofolio yang terkenal adalah Model Markowitz, yang
Hadi Ahmad Sukardi +3 more
doaj +1 more source
Sparse and Stable Markowitz Portfolios [PDF]
SSRN Electronic Journal, 2008 We consider the problem of portfolio selection within the classical Markowitz mean-variance framework, reformulated as a constrained least-squares regression problem. We propose to add to the objective function a penalty proportional to the sum of the absolute values of the portfolio weights.
J. Brodie +4 more
openaire +10 more sources