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Portfolio optimization : application of the Markowitz model using lagrange and profitability forecast
Brătian, Vasile - In: Expert journal of economics 6 (2018) 1, pp. 26-34
This paper presents the theoretical and applicative model elaborated by Harry Markowitz on the determination of the structure of the efficient securities portfolio. In this sense, in order to determine the structure of the efficient Markowitz portfolio (PE), a Lagrange function is built and...
Persistent link: https://www.econbiz.de/10012062904
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Nonparametric prediction for univariate spatial data : methods and applications
Arancibia, Rodrigo García; Llop, Pamela; Lovatto, Mariel - In: Papers in regional science : the journal of the … 102 (2023) 3, pp. 635-672
Persistent link: https://www.econbiz.de/10014342459
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Predicting the time of the ultimate maximum for Brownian motion with drift
Du Toit, Jacques; Peskir, Goran - In: Mathematical control theory and finance, (pp. 95-112). 2008
Persistent link: https://www.econbiz.de/10003755583
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Comparing the DSGE model with the factor model : an out-of-sample forecasting experiment
Wang, Mu-Chun (contributor) - 2008
-driven and theory-based modelling in a rigorous manner. …
Persistent link: https://www.econbiz.de/10003650023
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On the application and use of DSGE models
Álvarez Lois, Pedro Pablo; Harrison, Richard T.; … - In: Journal of economic dynamics & control 32 (2008) 8, pp. 2428-2452
Persistent link: https://www.econbiz.de/10003745406
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Prediction of protein interdomain linker regions by a nonstationary hidden Markov model
Bae, Kyounghwa; Mallick, Bani K.; Elsik, Christine G. - In: Journal of the American Statistical Association : JASA 103 (2008) 483, pp. 1085-1099
Persistent link: https://www.econbiz.de/10003773096
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Forecasting with VARMA models
Lütkepohl, Helmut - 2006
Persistent link: https://www.econbiz.de/10003338428
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Forecasting with unobserved components time series models
Harvey, Andrew C. - 2006
Persistent link: https://www.econbiz.de/10003338431
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An hourly periodic state space model for modelling French national electricity load
Dordonnat, V.; Koopman, Siem Jan; Ooms, Marius; … - In: International journal of forecasting 24 (2008) 4, pp. 566-587
Persistent link: https://www.econbiz.de/10003808308
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Volatility forecasting : the jumps do matter
Corsi, Fulvio; Pirino, Davide; Renò, Roberto - 2008
Persistent link: https://www.econbiz.de/10003825606