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Particularities of applying Modern Portfolio Theory on the Romanian capital market
Panait, Iulian; Diaconescu, Tiberiu - Volkswirtschaftliche Fakultät, … - 2012
This paper studies the particularities of portfolio selection on the Romanian stock market using the risk …
Persistent link: https://www.econbiz.de/10011258756
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Bayesian Portfolio Selection in a Markov Switching Gaussian Mixture Model
Qian, Hang - Volkswirtschaftliche Fakultät, … - 2011
Departure from normality poses implementation barriers to the Markowitz mean-variance portfolio selection. When assets … the Gibbs sampler. An application to the global portfolio diversification is also discussed. …
Persistent link: https://www.econbiz.de/10009395491
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General closed-form solutions to the dynamic optimization problem in incomplete markets
Moawia, Alghalith - Volkswirtschaftliche Fakultät, … - 2009
the optimal portfolio as a function of the optimal consumption and show the impact of optimal consumption on the optimal … portfolio. …
Persistent link: https://www.econbiz.de/10008457184
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The Origins of Czech Credit Guarantees Programs and the Value of Guarantee Fund Portfolio on Czech Stock Exchanges
Janda, Karel - Volkswirtschaftliche Fakultät, … - 2009
This paper provides an overview of the credit provision in the Czech Republic at the beginning of the transition period. We show the economic forces leading to the creation of specialized government credit guarantee institution. While we provide a brief overview of different credit support...
Persistent link: https://www.econbiz.de/10008550046
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A new approach to stochastic optimization: the investment-consumption model
Moawia, Alghalith - Volkswirtschaftliche Fakultät, … - 2009
We derive general explicit solutions to the investment-consumption model without the restrictive assumption of HARA or exponential utility function and without reliance on the existing duality or variational methods.
Persistent link: https://www.econbiz.de/10008587467
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Consistencia de la evaluación de desempeño de inversiones financieras: Pruebas de dominación estocástica versus índices media-varianza
Pinto, Cristian F.; Acuña, Andres A. - Volkswirtschaftliche Fakultät, … - 2011
In this paper we analize the consistency of financial indexes and the ordering of investments based on the mean-variance and the stochastic dominance (SD) approaches. We take 47 mutual funds from the Chilean financial market in order to compute several algorithms that enable us to verify...
Persistent link: https://www.econbiz.de/10009149429
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Choosing put option parameters based on quantiles from the distribution of portfolio value
Bell, Peter Newton - Volkswirtschaftliche Fakultät, … - 2014
This paper explores how a put option changes the probability distribution of portfolio value. The paper extends the … portfolio distribution to measure riskiness and compare different put options. I report a so-called ‘quantile surface’ that … decrease the quantile, which is equivalent to increasing the riskiness of the portfolio, and leads me to ask: what return will …
Persistent link: https://www.econbiz.de/10011109243
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Survey of Literature on Portfolio Theory
Cantillo, Andres - Volkswirtschaftliche Fakultät, … - 2013
The logical derivation of the two-factors model (The CAPM) is not empirically testable. This has paved the way for new treatments of asset pricing. However, the deterministic approach taken by most economists has prevented them to create a more useful treatment to the problems of asset pricing...
Persistent link: https://www.econbiz.de/10011109251
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Anomali Overreaction di bursa efek Indonesia: Penelitian Saham LQ-45
Pasaribu, Rowland Bismark Fernando - Volkswirtschaftliche Fakultät, … - 2010
contrarian strategy by believing that loser portfolio will experience of rebound conversely degradation at share winner portfolio …
Persistent link: https://www.econbiz.de/10011110273
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Asset allocation and portfolio optimization problems with metaheuristics: a literature survey
Jarraya, Bilel - Volkswirtschaftliche Fakultät, … - 2013
minimizing risk and maximizing returns of expected portfolio. At the beginning, proposed models in this issue are resolved basing … approaches have been proposed to solve asset allocation and portfolio optimization problems. In a first time, we survey some … providing a good guide to the application of Metaheuristics to portfolio optimization and asset allocation problems. …
Persistent link: https://www.econbiz.de/10011113812