Results 201 to 210 of about 30,898 (244)
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MARKOWITZ PORTFOLIO AND THE BLUR OF HISTORY
International Journal of Theoretical and Applied Finance, 2020It is shown in this paper that when the true mean return vector is replaced by the inferred mean vector obtained indirectly from factor model and arbitrage pricing theory, its impact on the resulting optimal portfolio is insignificant. To achieve this goal, several assumptions are imposed: (i) the asset returns are generated from a factor model, (ii ...
CHI TIM NG, YUE SHI, NGAI HANG CHAN
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2020
We present here the mathematical framework under which the “Markowitz problem” of maximising the expected return of a portfolio under a risk constraint is solved.
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We present here the mathematical framework under which the “Markowitz problem” of maximising the expected return of a portfolio under a risk constraint is solved.
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Annals of Operations Research
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
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zbMATH Open Web Interface contents unavailable due to conflicting licenses.
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International Astronomical Union Colloquium, 2000
AbstractSeveral decades ago Markowitz was the first to report the existence of fluctuations in the motion of the Earth’s axis with a period of about twenty-four years. This empirical term was often considered not real but only an artifact due to local effects.
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AbstractSeveral decades ago Markowitz was the first to report the existence of fluctuations in the motion of the Earth’s axis with a period of about twenty-four years. This empirical term was often considered not real but only an artifact due to local effects.
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The Journal of Wealth Management, 2005
In sharp contrast to the recommendations of Modern Portfolio Theory, a vast majority of investors are not well diversified. The author attempts to provide a solution to this diversification paradox, by expanding the Markowitz framework of diversifying market risk to also include the concepts of personal risk and aspirational goals.
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In sharp contrast to the recommendations of Modern Portfolio Theory, a vast majority of investors are not well diversified. The author attempts to provide a solution to this diversification paradox, by expanding the Markowitz framework of diversifying market risk to also include the concepts of personal risk and aspirational goals.
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Romanian Statistical Review Supplement, 2015 Harry Max Markowitz, laureate of the Nobel Prize for economy in 1990, is known for is contributions to the development of the modern theory of the portfolio, his studies being focused with priority to the effects which the risk, the profitableness or the assets correlation are implying when the forming of a portfolio is aimed.
Ioan PARTACHI +3 more
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Diagonal Markowitz Scheme with Local Symmetrization
SIAM Journal on Matrix Analysis and Applications, 2007Summary: We describe a fill-reducing ordering algorithm for sparse, nonsymmetric LU factorizations, where the pivots are restricted to the diagonal and are selected greedily. The ordering algorithm uses only the structural information. Most of the existing methods are based on some type of symmetrization of the original matrix.
Patrick Amestoy +2 more
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The Markowitz Optimization Enigma: Is ‘Optimized’ Optimal?
Financial Analysts Journal, 1989This presentation comes from the Improving Portfolio Performance With Quantitative Models conference held in New York on April 13, 1989.
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