Results 21 to 30 of about 23,032 (275)
ASTIN Bulletin, 2000 AbstractBased on the profit and loss account of an insurance company we derive a probabilistic model for the financial result of the company, thereby both assets and liabilities are marked to market. We thus focus on the economic value of the company.We first analyse the underwriting risk of the company. The maximization of the risk return ratio of the
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Optimization of Non-Profit Projects’ Portfolio: Chosen Aspects and Assumptions [PDF]
Biuletyn Wojskowej Akademii Technicznej, 2014 The chosen aspects and assumptions of the author’s proposal of the optimization model of the non-profit projects’ portfolio are presented. The functional model of the non-profit sector (third sector), which is the base for the further analyses, is also ...
Jacek Woźniak
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Large-Scale Portfolio Optimization Using Biogeography-Based Optimization
International Journal of Financial Studies, 2023 Portfolio optimization is a mathematical formulation whose objective is to maximize returns while minimizing risks. A great deal of improvement in portfolio optimization models has been made, including the addition of practical constraints. As the number
Wendy Wijaya, Kuntjoro Adji Sidarto
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Optimal trend-following portfolios
Journal of Investment Strategies, 2023 This paper derives an optimal portfolio that is based on trend-following signal. Building on an earlier related article, it provides a unifying theoretical setting to introduce an autocorrelation model with the covariance matrix of trends and risk premia. We specify practically relevant models for the covariance matrix of trends.
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Robustness-based portfolio optimization under epistemic uncertainty
Journal of Industrial Engineering International, 2018 In this paper, we propose formulations and algorithms for robust portfolio optimization under both aleatory uncertainty (i.e., natural variability) and epistemic uncertainty (i.e., imprecise probabilistic information) arising from interval data ...
Md. Asadujjaman, Kais Zaman
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Formation of the optimal portfolio of insurer’s services of the voluntary types of insurance [PDF]
Insurance Markets and Companies, 2016 The article studies the possibility of using optimization modelling to form the optimal structure of insurance services’ portfolio of insurance companies.
Valentyna Levchenko, Myroslav Ostapenko
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A bibliometric analysis and visualization of the scientific publications on multi-period portfolio optimization: From the current status to future directions [PDF]
AccountingPortfolio optimization is a widely recognized strategy for investing that involves selecting a combination of assets that offers the optimal balance between potential gains and volatility.
Arman Khosravi +2 more
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Machine Learning with Applications, 2023 We present a framework for modeling asset and portfolio dynamics, incorporating this information into portfolio optimization. We define drivers for asset and portfolio dynamics and their optimal selection. For this framework, we introduce the Commonality
Alejandro Rodriguez Dominguez
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Portfolio Optimization Efficiency Test Considering Data Snooping Bias
Business Systems Research, 2020 Background: In the portfolio optimization area, most of the research is focused on insample portfolio optimization. One may ask a rational question of what the efficiency of the portfolio optimization strategy is and how to measure it.
Kresta Aleš, Wang Anlan
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Method for solving the multi-criteria non-Markov problem of project portfolio optimization
Радіоелектронні і комп'ютерні системи, 2022 The subject of the study in this paper is models and methods of optimization of the organization's project portfolio for the planning period, considering the effects of the previously made decisions.
Igor Kononenko, Anhelina Korchakova
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