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SSRN Electronic Journal, 2015
Portfolios are designed to maximize a conservative market value or bid price for the portfolio. Theoretically this bid price is modeled as reflecting a convex cone of acceptable risks supporting an arbitrage free equilibrium of a two price economy.
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Portfolios are designed to maximize a conservative market value or bid price for the portfolio. Theoretically this bid price is modeled as reflecting a convex cone of acceptable risks supporting an arbitrage free equilibrium of a two price economy.
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Portfolio Selection Using Portfolio Committees
SSRN Electronic Journal, 2020The author proposes a committee approach to portfolio selection. Because each optimal portfolio is a combination of three basic elements—strategy, covariance matrix, and risk type—the author first augments the combination to 250 optimal portfolios at each estimation period.
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Proceedings of the 33rd International Conference on Software Engineering, 2011
Different studies show that programmers are more interested in finding definitions of functions and their uses than variables, statements, or arbitrary code fragments [30, 29, 31]. Therefore, programmers require support in finding relevant functions and determining how those functions are used. Unfortunately, existing code search engines do not provide
Collin McMillan +4 more
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Different studies show that programmers are more interested in finding definitions of functions and their uses than variables, statements, or arbitrary code fragments [30, 29, 31]. Therefore, programmers require support in finding relevant functions and determining how those functions are used. Unfortunately, existing code search engines do not provide
Collin McMillan +4 more
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2008
Abstract One of the first things parties entering a government coalition do is to decide how they will share the ministerial offices among themselves. Without reaching agreement on this issue, no coalition can take office. Although cabinet portfolios are only the tip of the iceberg of allocation decisions that coalition parties have to ...
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Abstract One of the first things parties entering a government coalition do is to decide how they will share the ministerial offices among themselves. Without reaching agreement on this issue, no coalition can take office. Although cabinet portfolios are only the tip of the iceberg of allocation decisions that coalition parties have to ...
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Portfolio insurance, portfolio theory, market simulation, and risks of portfolio leverage
Annals of Operations ResearchzbMATH Open Web Interface contents unavailable due to conflicting licenses.
Jacobs, Bruce I., Levy, Kenneth N.
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Policy Portfolios and Portfolio Characteristics
The Journal of Portfolio Management, 2019In this article, the author provides an alternative to traditional portfolio re-balancing based on changes in asset market values, one informed by equity characteristics. The logic of policy portfolio re-balancing is applied to a framework that uses assets’ 12-month rolling average characteristic values and return volatilities as inputs and re-balances
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Efficient Portfolios and Hedging Portfolios
1997Among the major applications of ARCH models is the estimation of volatility evolving in time. This estimation allows one to compare portfolios or to build them with desired properties, for instance, those that maximize the expected utility of their return or allow one to hedge several sources of risk.
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Portfolio Transition and Transition Portfolios
2002For pension plan sponsors, funds of funds and other investors engaging the services of investment managers, changing investment managers is time consuming and potentially very costly. Factors influencing how portfolio transition between investment managers is managed include:
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