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Parametrically computing efficient frontiers and reanalyzing efficiency-diversification discrepancies and naive diversification
Qi, Yue; Zhang, Yushu; Ma, Siyuan - In: INFOR : information systems and operational research 57 (2019) 3, pp. 430-453
Persistent link: https://www.econbiz.de/10012203594
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Horizon and portfolio investment constraints in agricultural cooperatives
Franken, Jason; Cook, Michael L. - In: Design and management of interfirm networks : franchise …, (pp. 179-195). 2019
Though horizon and portfolio problems are commonly thought to limit cooperatives' ability to capitalize on investment opportunities, empirical inquiry into the existence of these constraints is sparse, and recent conceptual arguments suggest that the horizon problem in particular may be less...
Persistent link: https://www.econbiz.de/10012176053
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A problem of optimization in a case of foreign investment
Casasús, Trinidad; Pérez, Juan Carlos - In: Financial modelling : with 74 tables : [a selection of …, (pp. 111-124). 2000
Persistent link: https://www.econbiz.de/10001484967
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Asset Allocation Ansätze zur Bildung von internationaldiversifizierten Portfolios : eine Analyse auf Basis historischer Daten
Eberhard, Jochen - 2012
Persistent link: https://www.econbiz.de/10013436405
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Superiority of optimized portfolios to naive diversification : fact or fiction?
Zakamulin, Valeriy - In: Finance research letters 22 (2017), pp. 122-128
Persistent link: https://www.econbiz.de/10011807994
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Optimal diversification in allocation problems
Purcaru, Ion - In: Amfiteatru economic : an economic and business research … 11 (2009) 26, pp. 494-502
Persistent link: https://www.econbiz.de/10008667258
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Markowitz 3.0 : Including Diversification Targets in Portfolio Optimization via Diversification Functions
Heinze, Thomas - 2016
Given Markowitz's mean-risk model, maximization of diversification is established as an additional investment target … additional diversification parameters and should therefore lead to an improved mapping of economic reality. The main focus is on … the introduction of diversification functions which make diversification quantifiable and which are used as third …
Persistent link: https://www.econbiz.de/10012987406
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Robust portfolio rebalancing with cardinality and diversification constraints
Zhao, Zhihua; Xu, Fengmin; Du, Donglei; Meihua, Wang - In: Quantitative finance 21 (2021) 10, pp. 1707-1721
Persistent link: https://www.econbiz.de/10012653708
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Diversification measures and the optimal number of stocks in a portfolio : an information theoretic explanation
Oyenubi, Adeola - In: Computational economics 54 (2019) 4, pp. 1443-1471
Persistent link: https://www.econbiz.de/10012309220
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Diversification and the Distribution of Portfolio Variance, Part 3 : Polynomial Optimisation for Asset Allocation
Fleming, Brian - 2021
Diversification is a fundamental topic for all investors but there remains little agreement on how to measure it. Often … maximising diversification with minimising risk instability, via kurtosis, which presents practical optimisation challenges. In …
Persistent link: https://www.econbiz.de/10013215636