Tri-criterion inverse portfolio optimization with application to socially responsible mutual funds [PDF]
, 2014 We present a framework for inverse optimization in a Markowitz portfolio model that is extended to include a third criterion. The third criterion causes the traditional nondominated frontier to become a surface.
Steuer, Ralph E. +3 more
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Cost Pass‐Through in Crisis: Evidence From the German Malt‐Beer Supply Chain
Agribusiness, EarlyView.Abstract Global agri‐food supply chains are increasingly exposed to geopolitical shocks, climate volatility, and market consolidation, factors that disrupt traditional price relationships and reshape market power dynamics. Nowhere is this more visible than in the brewing sector, where agricultural raw materials meet complex industrial processing and ...
Nikolas Bublik, Lukáš Čechura
wiley +1 more source
Portfolio Selection with minimum transaction lots: an approach with dual expected utility [PDF]
In this paper we analyse the portfolio selectionproblem with minimum transactionlots in the context of non-expected utility theory. We assume that the decisionmaker ranks the alternatives by using a specific DualExpectedUtility.
Floriana Filippini, Marisa Cenci
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Market‐Based Nutrition Regulation and Adult BMI Dynamics in Latin America
Agribusiness, EarlyView.ABSTRACT Market‐based nutrition policies, including interpretative labeling systems and taxes on sugar‐sweetened beverages (SSBs), have been widely adopted across Latin America to influence dietary choices and address rising obesity rates. While prior research documents change in food purchasing and product reformulation following these policies ...
Emiliano Lopez Barrera, Grace Melo
wiley +1 more source
Portfolio selection with time constraints and a rational explanation of insufficient diversification and excessive trading [PDF]
Private investors have limited time available for learning about stocks as they need to divide their time between stock analysis and work. This paper analyzes the influence of learning constraintsin the form of time constraints on portfolio selection and
Nietert, Bernhard, Dolzer, Armin
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Application of Value at Risk Model in Technological Investment Portfolio Management - A Case in Iranian Petroleum Industry [PDF]
بهبود مدیریت, 2011 Technology portfolio is a rather recent and popular approach in the literature of technology management. The problem of technology portfolio management is to find the appropriate distribution of capital & resources among a set of technologies, provides ...
Sayed Farhang Fasihi +2 more
doaj
Protection Motivation Theory and Farmers' Participation in Futures Markets: Evidence From Germany
Agribusiness, EarlyView.ABSTRACT This study examines why German farmers show limited adoption of commodity futures contracts despite substantial price volatility, applying Protection Motivation Theory (PMT) to understand the cognitive processes driving participation decisions in futures markets. Survey data from 303 German farmers collected in 2024 were analyzed using Partial
Hendrik Wever +2 more
wiley +1 more source
Portfolio selection with growth optimization and downside protection [PDF]
This paper applies growth optimization with downside protection as a portfolio selection technique. The model is based on power-log utility functions that combine portfolio growth maximization with the behavioural tenets of prospect theory.
Lagerkvist, Carl Johan, Olson, Kent D.
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Do More Open Economies Export Less Diversely in Brazilian Agribusiness?
Agribusiness, EarlyView.ABSTRACT This paper asks whether municipalities with a larger export‐to‐revenue ratio display a more concentrated bundle of exported goods in Brazilian agribusiness. Recent advances in export imputation for Brazilian municipalities allow for an analysis of the concentration profile of each municipality and its association with export openness.
Alan Leal, Michelle Marcia Viana Martins
wiley +1 more source
Efficient Frontier for Robust Higher-order Moment Portfolio Selection [PDF]
This article proposes a non-parametric portfolio selection criterion for the static asset allocation problem in a robust higher-moment framework. Adopting the Shortage Function approach, we generalize the multi-objective optimization technique in a four ...
Emmanuel Jurczenko +2 more
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