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Enhanced Mean-Variance Portfolios - A Controlled Integration of Quantitative Return Estimates
Kaiser, Lars - 2019
The intuitiveness and practicability of mean-variance portfolios largely depends on the accuracy of moment estimates, which are subject to large estimation errors and conditional on time. We propose a model accounting for factor dynamics in a Bayesian setting, in which the impact of estimation...
Persistent link: https://www.econbiz.de/10012905727
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Integrating Equipment Investment Strategy with Maintenance Operations under Uncertain Failures
Bensoussan, Alain; Feng, Qi; Sethi, Suresh - 2011
This paper studies the issue of coordinating equipment maintenance operations with capital investment strategy in the presence of random equipment failures. This problem represents an important extension of the celebrated Kamien and Schwartz (KS) paper published in Management Science. The...
Persistent link: https://www.econbiz.de/10014046640
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Strategy and Implementation : Quantitative Evaluation of Strategic Performance with Application to Mutual Funds
Cooper, William W. - 2011
This paper applies specific quantitative methods to demonstrate a general theoretical model for measuring strategic performance. The theoretical concepts are universal and measurable for all types of strategic activity by applying the methodology through alternative quantitative analytical...
Persistent link: https://www.econbiz.de/10013118148
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Measuring Disclosure Investment Strategy : A Data Envelopment Analysis Approach
Demerjian, Peter R. - 2020
This paper develops a measure of disclosure investment strategy using data envelopment analysis (DEA) to apply a … disclosure (as the production outputs). In our setting, the primary advantage of DEA is that it allows us to incorporate multiple …
Persistent link: https://www.econbiz.de/10012838915
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Efficiency and persistence of Spanish absolute Return Funds
Solórzano-Taborga, Pablo; Alonso-Conde, Ana Belén; … - In: Revista de métodos cuantitativos para la economía y … 25 (2018), pp. 186-214
Performance measurement is an area of crucial interest in asset valuation and investment management. High volatility as well as time aggregation of returns, amongst other characteristics, may distort the results of conventional measures of performance. In this work, we study the performance of...
Persistent link: https://www.econbiz.de/10011870722
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Mutual fund performance evaluation using data envelopment analysis with higher moments
Pendaraki, Konstantina - In: Journal of applied finance & banking 2 (2012) 5, pp. 97-112
The mutual fund industry has experienced huge growth internationally, becoming one of the primary vehicles through which individuals and most institutions invest in capital markets. Thus, the evaluation of the performance of mutual funds has become a very interesting research topic both for...
Persistent link: https://www.econbiz.de/10009673743
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Investors' decision-making under risk : evidence from the Croatian stock market
Petrovic, Danijel; Karanovic, Goran - In: International journal of business and economic sciences … 16 (2023) 2, pp. 59-70
capital market has been conducted. Design/methodology/approach: In this paper a non-parametric Data Envelopment Analysis (DEA … nonparametric static DEA methodology that is suboptimal. For future studies, it is recommended to internationally expand the sample … in the end affects their optimal investment strategy. In addition, this study used DEA methodology in efficiency …
Persistent link: https://www.econbiz.de/10014496604
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Robust portfolio optimization : a stochastic evaluation of worst-case scenarios
Rotella Junior, Paulo; Rocha, Luiz Célio Souza; … - 2022
This article presents a new approach for building robust portfolios based on stochastic efficiency analysis and periods of market downturn. The empirical analysis is done on assets traded on the Brazil Stock Exchange, B3 (Brasil, Bolsa, Balcão). We start with information on the assets from...
Persistent link: https://www.econbiz.de/10012807295
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Portfolio Optimization Using Data Envelopment Analysis & Sharpe's Method
Singh, Harendra - 2016
helpful in investment decision making. DEA model, originated from production industry, helps in selecting securities for … historical data of BSE-30 industries & compared DEA, Sharpe's model with Market, which gives some exciting results for future …
Persistent link: https://www.econbiz.de/10012977252
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Data Envelopment Analysis (DEA) Integrated Risk Assessment Technique on Hedge Funds Investment : Theory and Practical Application
Lamb, John D. - 2012
still be calculated. The proposed Data Envelopment Analysis (DEA) method in this paper, shows how the use of correlations of …
Persistent link: https://www.econbiz.de/10013110657