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Robust equity portfolio performance
Annals of Operations Research, 2017zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Jang Ho Kim +2 more
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Performance attribution for portfolio constraints
Management Science, 2023We propose a new performance attribution framework that decomposes a constrained portfolio’s holdings, expected returns, variance, expected utility, and realized returns into components attributable to (1) the unconstrained mean-variance optimal portfolio; (2) individual static constraints; and (3) information, if any, arising from those constraints ...
Andrew W. Lo, Ruixun Zhang
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Performance Analysis of Planning Portfolios
Proceedings of the International Symposium on Combinatorial Search, 2021In recent years the concept of sequential portfolio has become an important topic to improve the performance of modern problem solvers, such as SAT engines or planners. The PbP planner and more recently Fast Downward Stone Soup are successful approaches in Automated Planning that follow this trend.
Sergio Núñez +2 more
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Coherent Portfolio Performance Ratios
SSRN Electronic Journal, 2021In Quantitative Finance 2016, Chen, Hu and Lin (CHL) claimed the following: ‘ … there is yet no coherent risk measure related to investment performance.’ (p. 682).
Kroll, Yoram +2 more
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Portfolio of Performance Evaluation
2014 Seventh International Joint Conference on Computational Sciences and Optimization, 2014The rapid development of the world economy, various investment activities more frequently, how to measure whether the activities of an investment profits? So people began to explore how an investment portfolio in order to gain maximum benefit. Modern portfolio theory is about investment behavior under conditions of uncertainty theory of income, in 1959,
Xueyu Ma, Zilong Ma
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The performance of bank portfolio optimization
International Transactions in Operational Research, 2023AbstractGiven a liability structure, the bank portfolio optimization determines an asset allocation that maximizes profit, subject to restrictions on Basel III ratios and credit, liquidity, and market risks. Bank allocation models have not been tested using historical data.
Catarina Coelho +2 more
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Appraising Performance of Investment Portfolios
The Journal of Finance, 1970SEVERAL ARTICLES have been written concerning the appraisal and performance of investment portfolios. This evaluation generally has centered around the performance of mutual funds in comparison to a portfolio composed of stocks from a market index, or on other occasions, portfolios selected at random.' Many of these studies compare portfolio returns ...
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PORTFOLIO OPTIMIZATION WITH PERFORMANCE RATIOS
International Journal of Theoretical and Applied Finance, 2019We consider the portfolio selection problem of maximizing a performance measure in a continuous-time diffusion model. The performance measure is the ratio of the overperformance to the underperformance of a portfolio relative to a benchmark. Following a strategy from fractional programming, we analyze the problem by solving a family of related ...
Lin, Hongcan +2 more
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Improving the performance of equity portfolios
Journal of the Institute of Actuaries, 1987This paper has the strictly practical objective of devising procedures for managing Equity portfolios to the best advantage.First, Modern Portfolio Theory, (MPT) which has been developed over the last 35 years with just this objective, is critically examined; from a study of the history of MPT and of its philosophy, principles and practices, the ...
R. S. Clarkson, J. Plymen
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