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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

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

Forecasting variance using stochastic volatility and GARCH

Hansson, Björn A.; Hördahl, Peter - 1998

Persistent link: https://www.econbiz.de/10000981021

Forecasting (LOG) volatility models

Christodoulakis, George A.; Satchell, Stephen - 1998

Persistent link: https://www.econbiz.de/10000998647

Automatische Prognosen mit saisonalen Box-Jenkins-Modellen

Steffen, Jens-Peter; Steffen, Jens Peter - 1999 - Als Ms. gedr.

Persistent link: https://www.econbiz.de/10001369279

The empirical performance of option based densities of foreign exchange

Craig, Ben R.; Keller, Joachim G. - 2002

Risk neutral densities (RND) can be used to forecast the price of the underlying basis for the option, or it may be used to price other derivates based on the same sequence. The method adopted in this paper to calculate the RND is to firts estimate daily the diffusion process of the underlying...