Results 11 to 20 of about 30,898 (244)
Spanning tests for Markowitz stochastic dominance
Journal of Econometrics, 2018 We derive properties of the cdf of random variables defined as saddle-type points of real valued continuous stochastic processes. This facilitates the derivation of the first-order asymptotic properties of tests for stochastic spanning given some stochastic dominance relation.
Arvanitis, Stelios +2 more
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Portfolio design and management through state-based analytics: A probabilistic approach
Cogent Economics & Finance, 2020 This paper presents an innovative new approach to investment portfolio design, which applies a discrete, state-based methodology to defining market states and making asset allocation decisions with respect to both current and future state membership ...
Matthew W. Burkett +2 more
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Comparison of Markowitz Model and DCC-tCopula-LVaR for Portfolio Optimization in the Tehran Stock Exchange [PDF]
تحقیقات مالی, 2023 Objective: Considering that investing in the stock market is associated with risk, therefore, its measurement is one of the most important issues for investors.
Gholamreza Taghizadegan +3 more
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The optimal portfolio of islamic stocks using the markowitz and black-litterman models
Desimal, 2023 The portfolio with the best combination of profit and risk or the investor's choice is called the optimal portfolio. The Black-Litterman and Markowitz models were used to determine the optimal portfolio during the covid-19 pandemic.
Irfani Azis +2 more
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Podcast #39 : Meet an academic: E.M. Eisen-Markowitz
, 2022 In this podcast episode, Mariya talks to Fulbright visiting fellow E.M. Eisen-Markowitz about her fellowship tenure during the pandemic and her research and curatorial work on the Queer (at) School Archive.
Eisen-Markowitz, E.M, Ivancheva, Mariya
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Multi-Objective Portfolio Optimization Model with Fuzzy-Robust Hybrid Approach (As a case:Tehran Stock Exchange) [PDF]
فصلنامه بورس اوراق بهادار, 2022 The novel theory of the portfolio optimization has developed based on the fundamental Markowitz model. The Markowitz model is unique in terms of theory, but its weaknesses prevent the use of this model in practice.
Mahsa Jaberi +2 more
doaj +1 more source
Applying the Relative Robust Approach for Selection of Optimal Portfolio in the Tehran Stock Exchange by Second-order Conic Programming [PDF]
تحقیقات مالی, 2022 Objective: The purpose of this study was to apply the relative robust approach that minimizes the maximum regret to deal with the present uncertainty in the input data of the Markowitz mean-variance portfolio optimization model by reconstructing that ...
Reza Raei, Ali Namaki, Moemen Ahmadi
doaj +1 more source
MODEL PORTOFOLIO OPTIMAL MARKOWITZ PADA SAHAM INDEKS LQ45 PERIODE JANUARI 2015 – JANUARI 2019
Jurnal Matematika UNAND, 2020 Investasi saham merupakan trend yang sedang berkembang pesat di dunia perekonomian Indonesia. Dalam melakukan investasi, investor akan membentuk sebuah portofolio untuk memperoleh keuntungan yang maksimal.
PUTRI PUTRI +2 more
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American Journal of Public Health, 2013 The letters of Ryan and Jacobs appear to be less about the article—which is specifically about research conducted at Johns Hopkins in the 1990s—and more about our forthcoming book “Lead Wars: The Politics of Science and the Fate of America’s Children” (an uncorrected proof copy of which Jacobs and Ryan were provided by us).1 Neither the article nor the
David, Rosner, Gerald, Markowitz
openaire +3 more sources
Open Physics, 2019 There are many non-probability factors affecting financial markets and the return on risk assets is fuzzy and uncertain. The authors propose new risk measurement methods to describe or measure the real investment risks.
Tian Manwen, Yan Shurong, Tian Xiaoxiao
doaj +1 more source