The Markowitz model for portfolio selection
Management Letters/Cuadernos de Gestión, 2002 Since its first appearance, The Markowitz model for portfolio selection has been a basic theoretical reference, opening several new development options.
MARIAN ZUBIA ZUBIAURRE +2 more
doaj
Empirical estimation of default and asset correlation of large corporates and banks in India [PDF]
Estimation of default and asset correlation is crucial for banks to manage and measure portfolio credit risk. This would require studying the risk profile of the banks’ entire credit portfolio and developing the appropriate methodology for the estimation
Bandyopadhyay, Arindam, Ganguly, Sonali
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Inquiry into the Conceptual Dimensions of Project Portfolio Management
BBR: Brazilian Business Review, 2015 Although much has been written about how to manage individual projects, there is still little guidance on how to evaluate the “quality” of project portfolio management itself, that is, the degree of “accomplishment” of the process by which the project ...
Pedro Bruno de Souza +2 more
doaj
Portfolio Analysis for Optimal Seafood Product Diversification and Resource Management [PDF]
Future harvests from commercial fish stocks are unlikely to increase substantially due to biological and regulatory constraints. Developing alternative sets of processed seafood products is one strategy for increasing welfare while managing the risks ...
Larkin, Sherry L. +2 more
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The tail dependence of the carbon markets: The implication of portfolio management. [PDF]
PLoS One, 2020 Zhang F, Zhang Z.
europepmc +1 more source
Forecasting multivariate volatility in larger dimensions: some practical issues [PDF]
The importance of covariance modelling has long been recognised in the field of portfolio management and large dimensional multivariate problems are increasingly becoming the focus of research.
Adam E Clements +2 more
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Network Models to Enhance Automated Cryptocurrency Portfolio Management. [PDF]
Front Artif Intell, 2020 Giudici P, Pagnottoni P, Polinesi G.
europepmc +1 more source
Sensitivity analysis of volatility: a new tool for risk management [PDF]
The extension of GARCH models to the multivariate setting has been fraught with difficulties. In this paper, we suggest to work with univariate portfolio GARCH models.
Ceci, Vladimiro +2 more
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Sensitivity Analysis of VaR Expected Shortfall for Portfolios Under Netting Agreements [PDF]
In this paper, we characterize explicitly the first derivative of the Value at Risk and the Expected Shortfall with respect to portfolio allocation when netting between positions exists. As a particular case, we examine a simple Gaussian example in order
Jean-David FERMANIAN, Olivier SCAILLET
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Multistage Stochastic Portfolio Optimisation in Deregulated Electricity Markets Using Linear Decision Rules [PDF]
The deregulation of electricity markets increases the financial risk faced by retailers who procure electric energy on the spot market to meet their customers’ electricity demand.
Daniel Kuhn, Paula Rocha
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