Narrow search
Showing 1 - 10 of 17,396
Cover Image
An integrated matching-immunization model for bond portfolio optimization
Xidonas, P.; Hassapis, Christis; Bouzianis, G.; … - In: Computational economics 51 (2018) 3, pp. 595-605
Persistent link: https://www.econbiz.de/10011963712
Cover Image
Sherman ratio optimization : constructing alternative ultrashort sovereign bond portfolios
Henide, Karim - In: The journal of investment strategies 12 (2023) 1, pp. 23-44
Persistent link: https://www.econbiz.de/10014484621
Cover Image
Stochastic Optimization for Portfolios Consisting of Corporate Bonds in an Integrated Market and Credit Risk Framework
Papanikolaou, Nikolaos E. - 2011
Persistent link: https://www.econbiz.de/10013131576
Cover Image
Optimizing the True Market Portfolio
Johannessen, Josefine; Geels, Harry J. - 2022
This paper updates the global market portfolio per 2020, through revising already identified market portfolio asset classes, adding previously excluded asset classes, and studying the asset classes in further detail. Focus is on alternative and private market asset classes, which have been...
Persistent link: https://www.econbiz.de/10013291535
Cover Image
Tail Behavior in Portfolio Optimization for Equity Style Factors
Kartsakli, Maria - 2018
Diversification has been long considered an essential part of investing for the long term. Our paper aims to look further on portfolio diversification and how asset allocation can be optimized. We suggest that the selection of investments in a portfolio should be based on how the market behaves...
Persistent link: https://www.econbiz.de/10012906959
Cover Image
Reconciling Factor Optimization with Portfolio Constraints
Gnedenko, Boris - 2017
Allocation between factor portfolios can bring significant advantages over traditional portfolio optimization performed among individual assets or asset classes. One such advantage is a substantial dimension reduction when one's attention turns from many assets to few factors. This, however,...
Persistent link: https://www.econbiz.de/10012973146
Cover Image
Risk Parity Portfolio vs. Other Asset Allocation Heuristic Portfolios
Chaves, Denis B. - 2016
allocation strategies, including equal weighting, minimum variance, mean–variance optimization, and the classic 60/40 equity/bond …-adjusted return) equal weighting or a model pension fund portfolio anchored to the 60/40 equity/bond portfolio structure. However, it … of asset classes is critical, which, for the time being, remains an art rather than a formulaic exercise based on theory …
Persistent link: https://www.econbiz.de/10013008534
Cover Image
Portfolio Optimization with Early Announced Discrete Dividends
Desmettre, Sascha - 2018
In this article we include discrete dividends in the stock price model and solve a generalized portfolio optimization problem. For this, we develop a new discrete dividend model that allows for the possibility of early announcement and ensures that the drop of the stock price at the ex-dividend...
Persistent link: https://www.econbiz.de/10012928171
Cover Image
Bitcoin and portfolio diversification : a portfolio optimization approach
Bakry, Walid; Rashid, Audil; Al-Mohamad, Somar; Elkanj, … - In: Journal of risk and financial management : JRFM 14 (2021) 7, pp. 1-24
This study investigates the performance of Bitcoin as a diversifier under different constraining portfolio optimization frameworks. The study employs different constraining optimization frameworks that seek to maximize risk-adjusted returns (Sharpe ratio) of the portfolio by optimizing...
Persistent link: https://www.econbiz.de/10012622395
Cover Image
Bond portfolio management via stochastic programming
Bertocchi, Marida; Moriggia, Vittorio; Dupačová, Jitka - 2006
Persistent link: https://www.econbiz.de/10003356693