Results 41 to 50 of about 30,898 (244)
Asset management using genetic algorithm: Evidence from Tehran Stock Exchange [PDF]
Management Science Letters, 2014 This paper presents an empirical investigation to study the effect of market management using Markowitz theorem. The study uses the information of 50 best performers on Tehran Stock Exchange over the period 2006-2009 and, using Markowitz theorem, the ...
Abbas Sarijaloo, Aliakbar Moradbakloo
doaj +1 more source
Mixture Design of Experiments as Strategy for Portfolio Optimization
Acta Scientiarum: Technology, 2023 Portfolio analysis is widely used by financial investors to find portfolios producing efficient results under various economic conditions. Markowitz started the portfolio optimization approach through mean-variance, whose objective is to minimize risk ...
André Rodrigues Monticeli +5 more
doaj +1 more source
Corporate Social Responsibility and Environmental Management, EarlyView.ABSTRACT This study examines how ESG integration is associated with portfolio performance in an emerging market. Unlike conventional ESG versus non‐ESG comparisons, it investigates heterogeneity among sustainable portfolios composed of firms listed in Brazil's Corporate Sustainability Index.
Flávio Leonel de Carvalho +2 more
wiley +1 more source
The impact of Covid on financial performance: a comparison between different allocation strategies
, 2022 reservedNella tesi verranno trattate diverse strategie di allocazione come Risk Budgeting and Parity e la Frontiera Efficiente di Markowitz con particolare focus verso l'evoluzione di queste strategie durante il periodo ...
FRANZO, GIANMARCO
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Climate Risks and the Risk Premia of AI Stocks: Some Forecasting Experiments
Journal of Forecasting, EarlyView.ABSTRACT This study examines whether physical and transition climate‐risk measures predict the risk premia of AI‐related stocks, and whether incorporating these risks improves forecast performance relative to benchmark models. The findings suggest that global transition climate shocks lower the premia of AI stocks, while US climate policy increases ...
Afees A. Salisu, Abeeb O. Olaniran
wiley +1 more source
Revista de Economía del Rosario, 2015 La distribución Hiperbólica Generalizada ha sido usada por académicos y profesionales para eliminar los problemas de colas de distribución delgadas en finanzas, y por su utilidad en la modelación de los retornos de los activos y de las medidas de riesgo ...
Jose Luis Alayon
doaj
Risk Forecasting in Shipping Exchange‐Traded‐Fund (ETF) Markets
International Journal of Finance &Economics, EarlyView.ABSTRACT This article examines the risk properties of freight‐derivative‐based exchange‐traded funds (ETFs), focusing on the Breakwave Dry Bulk Shipping ETF (BDRY), and evaluates the accuracy of Value‐at‐Risk (VaR) and Expected Shortfall (ES) forecasts across a range of econometric models.
Christos Katris +2 more
wiley +1 more source
International Journal of Finance &Economics, EarlyView.ABSTRACT This study investigates the evolving integration of 10 major Asian stock markets with key global and regional financial centres, namely, the U.S., China, the E.U., and a constructed Asia centroid. Incorporating all four statistical moments (mean, variance, skewness, and kurtosis), we compute pairwise Euclidean distances to evaluate the degree ...
Burak Korkusuz +3 more
wiley +1 more source
Modelo de gestión de carteras de Markowitz usando algoritmos genéticos [PDF]
, 2016 Con su artículo de 1952, Harry Markowitz simplificó notablemente el problema de selección de inversiones en el mercado accionario. En este artículo se introduce al lector en la propuesta de Markowitz y se propone un algoritmo genético para deducir ...
Arévalo González, Santiago
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