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An alternative to portfolio selection problem beyond Markowitz’s: Log Optimal Growth Portfolio
Muteba Mwamba, John; Suteni, Mwambi - Volkswirtschaftliche Fakultät, … - 2010
problem. The proposed optimization model which is an optimal portfolio strategy is produced for investors of various risk …
Persistent link: https://www.econbiz.de/10011259339
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Rozmyte zbiory probabilistyczne jako narzędzie finansów behawioralnych
Piasecki, Krzysztof - Volkswirtschaftliche Fakultät, … - 2011
under uncertainty and imprecision risk. In the fifth part fuzzy probabilistic sets are applied for actuarial mathematics. …
Persistent link: https://www.econbiz.de/10011260964
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Stock Market Integration and International Portfolio Diversification between U.S. and ASEAN Equity Markets
Ardliansyah, Rifqi - Volkswirtschaftliche Fakultät, … - 2012
The paper empirically analyzes stock market integration and the benefit possibilities of international portfolio diversification across the Southeast Asia (ASEAN) and U.S. equity markets. It employs daily sample of 6 ASEAN equity market indices and S&P 500 index as a proxy of U.S. market index...
Persistent link: https://www.econbiz.de/10011257815
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Strategic Asset Allocation for Central Bank’s Management of Foreign Reserves: A new approach
Zhang, Zhichao; Chau, Frankie; Xie, Li - Volkswirtschaftliche Fakultät, … - 2012
This paper proposes a new approach to strategic asset allocation for central banks’ management of foreign reserves. This eclectic approach combines the behavioural portfolio management in the framework of mean-variance mental accounting (MVMA) with the improvements on asset return forecast...
Persistent link: https://www.econbiz.de/10011258840
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The national bioenergy investment model: Technical documentation
Kemp-Benedict, Eric - Volkswirtschaftliche Fakultät, … - 2012
The National Bioenergy Investment Model is a scenario model that simulates the decisions of domestic and international investors on whether to invest in biofuel enterprises in a developing country. In the model, investors compare the profitability of different biofuel feedstock and fuel...
Persistent link: https://www.econbiz.de/10011261019
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Hedging Greeks for a portfolio of options using linear and quadratic programming
Sinha, Pankaj; Johar, Archit - Volkswirtschaftliche Fakultät, … - 2010
The aim of this paper is to develop a hedging methodology for making a portfolio of options delta, vega and gamma neutral by taking positions in other available options, and simultaneously minimizing the net premium to be paid for the hedging. A quadratic programming solution for the problem is...
Persistent link: https://www.econbiz.de/10008619201
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Active Hedging Greeks of an Options Portfolio integrating churning and minimization of cost of hedging using Quadratic & Linear Programing
Sinha, Pankaj; Gupta, Akshay; Mudgal, Hemant - Volkswirtschaftliche Fakultät, … - 2010
This paper proposes a methodology for active hedging Greeks of an option portfolio integrating churning and minimization of cost of hedging. In the first section, hedging strategy is implemented by taking positions in other available options, while simultaneously minimizing the net premium paid...
Persistent link: https://www.econbiz.de/10008685557
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Minimizing Conditional Value-at-Risk under Constraint on Expected Value
Li, Jing; Xu, Mingxin - Volkswirtschaftliche Fakultät, … - 2009
Conditional Value-at-Risk (CVaR) measures the expected loss amount beyond VaR. It has vast advantage over VaR because … of its property of coherence. This paper gives an analytical solution in a complete market setting to the risk reward … problem faced by a portfolio manager whose portfolio needs to be continuously rebalanced to minimize risk taken (measured by …
Persistent link: https://www.econbiz.de/10008694167
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Improving Portfolio Optimization by DCC And DECO GARCH: Evidence from Istanbul Stock Exchange
Yilmaz, Tolgahan - Volkswirtschaftliche Fakultät, … - 2010
In this paper, the performance of global minimum variance (GMV) portfolios constructed by DCC and DECO-GARCH are compared to that of GMV portfolios constructed by sample covariance and constant correlation methods in terms of reduced volatility. Also, the performance of GMV portfolios are tested...
Persistent link: https://www.econbiz.de/10008765650
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Is There A Diversification “Cost” of Shari’ah Compliance? Empirical Evidence from Malaysian Equities
Kamil, Nazrol; Bacha, Obiyadulla; Masih, Mansur - Volkswirtschaftliche Fakultät, … - 2014
affects risk-adjusted returns. We employ a number of methods, namely construction of efficient frontiers, time-varying maximum …
Persistent link: https://www.econbiz.de/10011107353