Results 181 to 190 of about 40,538 (215)

A network approach to portfolio selection

Journal of Empirical Finance, 2014
Abstract In this study, a financial market is conceived as a network where the securities are nodes and the links account for returns' correlations. We theoretically prove the negative relationship between the centrality of assets in this financial market network and their optimal weights under the Markowitz framework.
Gustavo Peralta, Abalfazl Zareei
openaire   +1 more source

A Mixed Portfolio Selection Problem

2012
The mixed portfolio selection problem studied in this paper corresponds to a situation of financial risk management in which some return rates are mathematically described by random variables and others are described by fuzzy numbers. Both Markowitz probabilistic model and a possibilistic portfolio selection model are generalized. A calculation formula
Irina Georgescu, Jani Kinnunen
openaire   +1 more source

A review of uncertain portfolio selection

Journal of Intelligent & Fuzzy Systems, 2017
This paper reviews the theory of uncertain portfolio selection which uses human estimates as inputs and applies uncertainty theory to select portfolios. The difference of the uncertain portfolio selection theory from the stochastic portfolio theory is given and the necessity and conditions for using the theory are presented.
openaire   +1 more source

Portfolio selection with lasso algorithm

2015
1 Introduction The basis of the modern portfolio theory was developed by Harry Markowitz and published under the title "Portfolio Selection" in 1952 by Journal of Finance. Starting from Markovitz a vast amount of literature about mean-variance optimization of the excess return of a portfolio has been published (see, e.g. Elton et al.
Bramante, Riccardo, Facchinetti, Silvia, Zappa, Diego   +2 more
openaire   +2 more sources

Portfolio Selection with Contrarian Strategy

Methodology and Computing in Applied Probability
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Lu, Zhichao, Pang, Peiyuan, Xu, Yuhong, Zhang, Wenxin   +3 more
openaire   +1 more source

On-line portfolio selection

Proceedings of the ninth annual conference on Computational learning theory - COLT '96, 1996
Erik Ordentlich, Thomas M. Cover
openaire   +1 more source

A new approach to the bi-criteria multi-period fuzzy portfolio selection

Knowledge-Based Systems, 2021
Ludmila Dymova, , Pavel Sevastjanov
exaly  

Portfolio Selection

The Journal of Finance, 1952
openaire   +1 more source

Modelling Portfolio Selection

The Economic Journal, 1988
openaire   +1 more source

Portfolio Selection.

Economica, 1960
R. G. D. Allen, Harry M. Markowitz
openaire   +1 more source