Results 21 to 30 of about 2,654,710 (200)
An Analysis of Centrality’s Features as a New Measure for Network Analysis, Risk Measurement & Portfolio Selection [PDF]
تحقیقات مالی, 2021 Objective: In network theory, centrality is a measure to estimate importance and influence of a special node to the whole network structure. The aim of this research is to investigate the characteristics of stock centrality and its reliability in risk ...
Saeed Fallahpour, Ali Ghahramani
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Robust optimisation and its application to portfolio planning [PDF]
, 2009 This thesis was submitted for the degree of Doctor of Philosophy and awarded by Brunel University.Decision making under uncertainty presents major challenges from both modelling and solution methods perspectives.
Gregory, Christine
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Application of DEA-cross efficiency in portfolio selection of 20 reputable companies in the Iranian stock market. [PDF]
تصمیم گیری و تحقیق در عملیات, 2018 One of the problems in portfolio selection, is choosing a stock with conflicting and incomparable objectives such as return and risk. DEA cross efficiency is one of the most useful tools in assessing performance and prioritize a number of firms that ...
Mohammad Reza Alirezaee +2 more
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Portfolio selection using R [PDF]
Yugoslav Journal of Operations Research, 2020 In this paper, we consider the Markowitz mean-variance model to minimize the risk on two assets and develop the program in R software to improve the performance of the model for two real stocks data with various combinations of the portfolios.
Mishra Rohan, Ram Bhagwat
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A Fuzzy Goal Programming Model for Efficient Portfolio Selection. [PDF]
Journal of Optimization in Industrial Engineering, 2017 This paper considers a multi-objective portfolio selection problem imposed by gaining of portfolio, divided yield and risk control in an ambiguous investment environment, in which the return and risk are characterized by probabilistic numbers.
Abolfazl Kazemi +2 more
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SAGE Open, 2020 Sustainable investment is typically fulfilled by screening of environmental, social, and governance (ESG); the screening strategies are practical and expedite sustainable-investment development.
Yue Qi, Xiaolin Li
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Portfolio Selection With Robust Estimation [PDF]
SSRN Electronic Journal, 2007 Mean-variance portfolios constructed using the sample mean and covariance matrix of asset returns perform poorly out of sample due to estimation error. Moreover, it is commonly accepted that estimation error in the sample mean is much larger than in the sample covariance matrix.
Victor DeMiguel, Francisco J. Nogales
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Feature Selection for Portfolio Optimization [PDF]
SSRN Electronic Journal, 2015 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Thomas Trier Bjerring +2 more
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Crypto Asset Portfolio Selection [PDF]
FinTech, 2021 The aim of this paper is to propose a portfolio selection methodology capable to take into account asset tail co-movements as additional constraints in Markowitz model. We apply the methodology to the observed time series of the 10 largest crypto assets, in terms of market capitalization, over the period 20 September 2017–31 December 2020 (1200 daily ...
Daniel Felix Ahelegbey +2 more
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Constrained Dynamic Mean-Variance Portfolio Selection in Continuous-Time
Algorithms, 2021 This paper revisits the dynamic MV portfolio selection problem with cone constraints in continuous-time. We first reformulate our constrained MV portfolio selection model into a special constrained LQ optimal control model and develop the optimal ...
Weiping Wu +3 more
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