Results 11 to 20 of about 19,872 (252)
Leptokurtic portfolio theory [PDF]
The European Physical Journal B - Condensed Matter and Complex Systems, 2006 The question of optimal portfolio is addressed. The conventional Markowitz portfolio optimisation is discussed and the shortcomings due to non-Gaussian security returns are outlined. A method is proposed to minimise the likelihood of extreme non-Gaussian drawdowns of the portfolio value.
Robert Kitt, Jaan Kalda
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A Theory of Patent Portfolios [PDF]
SSRN Electronic Journal, 2013 This paper develops a theory of patent portfolios in which firms accumulate an enormous amount of related patents, which makes it impractical to develop new products that avoid inadvertent infringement. We show that patent peace arises if product market competition is weak and patent portfolios are either sufficiently weak or sufficiently strong with ...
Choi, Jay Pil, Gerlach, Heiko
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Multi-period uncertain portfolio selection model with prospect utility function.
PLoS ONE, 2022 In this paper, we discuss a multi-period portfolio optimization problem based on uncertainty theory and prospect theory. We propose an uncertain multi-period portfolio selection model, in which the return utility and risk of investment are measured by ...
Gaohuizi Guo, Yao Xiao, Cuiyou Yao
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Investment risk management by applying contemporary modern portfolio theory [PDF]
Megatrend Revija, 2015 Investment risk is the principal threat to the assets side of the balance sheets of financial institutions. It is evident that investors who concentrate their wealth on one type of securities can rarely be found.
Jakšić Milena, Leković Miljan
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Modern Portfolio Theory and its Applications in Information Retrieval [PDF]
Iranian Journal of Information Processing & ManagementIntroduction and purpose: The portfolio theory is one of the theories in the financial field that was presented by Harry Markowitz. This theory states that investors should diversify their stock portfolio to reduce investment risk. This research has been
Mehdi Rahmani
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Results in Applied Mathematics, 2021 The fuzzy set theory is widely used to describe the uncertainty of financial markets in modern portfolio selection problems. In this study, the credibility theory (a popular branch of the fuzzy set theory) is applied to extend Markowitz’s mean–variance ...
Jagdish Kumar Pahade, Manoj Jha
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CoRR, 2016 We construct a deep portfolio theory. By building on Markowitz's classic risk-return trade-off, we develop a self-contained four-step routine of encode, calibrate, validate and verify to formulate an automated and general portfolio selection process.
J. B. Heaton +2 more
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Sistemnì Doslìdženâ ta Informacìjnì Tehnologìï, 2020 The problem of constructing an optimal securities portfolio under uncertainty is considered along with the direct and dual problems of fuzzy portfolio optimization. The modified fuzzy portfolio optimization problem is also suggested under a constraint on
Helen Zaychenko, Yuriy Zaychenko
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South African Journal of Business Management, 1979 No abstract available.
Patrick Kilroe
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DEVELOPMENT OF STRATEGY FOR REAL ESTATE PORTFOLIO MANAGEMENT
Наука и техника, 2007 The paper considers methodological principles to manage profitability of investor’s portfolio. In order to understand more perfectly the given problem the paper also contains main notions of the portfolio theory, formulation of the postulates that have ...
V. F. Volodko, V. V. Liashenko
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