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Optimization of a portfolio of investment projects : a real options approach using the Omega measure

Castro, Javier Gutiérrez; Tito, Edison Americo Huarsaya; … - In: Journal of risk and financial management : JRFM 14 (2021) 11, pp. 1-17

Investment decisions usually involve the assessment of more than one financial asset or investment project (real asset). The most appropriate way to analyze the viability of a real asset is not to study it in isolation but as part of a portfolio with correlations between the input variables of...

Persistent link: https://www.econbiz.de/10012795316

Outperformance portfolio optimization via the equivalence of pure and randomized hypothesis testing

Leung, Tim; Song, Qingshuo; Yang, Jie - In: Finance and stochastics 17 (2013) 4, pp. 839-870

Persistent link: https://www.econbiz.de/10010190872

A completely automated optimization strategy for global minimum-variance portfolios based on a new test for structural breaks

Berens, Tobias; Wied, Dominik; Ziggel, Daniel - 2013

Persistent link: https://www.econbiz.de/10009776171

Strategic asset allocation and Markov Regime Switch with GARCH

Simi, Wei W. - In: The journal of business and economic studies 19 (2013) 1, pp. 41-51

Persistent link: https://www.econbiz.de/10009776452

Two-stage asset allocation with data envelopment analysis : the case of emerging markets

Miralles-Quirós, José Luis; Miralles-Quirós, María … - In: Finance a úvěr 70 (2020) 5, pp. 386-406

Persistent link: https://www.econbiz.de/10012483352

Spillovers and portfolio optimization of agricultural commodity and global equity markets

Arreola Hernandez, Jose; Kang, Sang Hoon; Yoon, Seong-min - In: Applied economics 53 (2021) 12, pp. 1326-1341

Persistent link: https://www.econbiz.de/10012485196

Portfolio optimization efficiency test considering data snooping bias

Kresta, Aleš; Wang, Anlan - In: Business systems research : a system view accross … 11 (2020) 2, pp. 73-85

Background: In the portfolio optimization area, most of the research is focused on insample portfolio optimization. One may ask a rational question of what the efficiency of the portfolio optimization strategy is and how to measure it. Objectives: The objective of the paper is to propose the...

Persistent link: https://www.econbiz.de/10012405640

Balancing energy security priorities : portfolio optimization approach to oil imports

Bigerna, Simona; Bollino, Carlo Andrea; Galkin, Philipp - In: Applied economics 53 (2021) 5, pp. 555-574

Persistent link: https://www.econbiz.de/10012416075

The impact of South African REIT portfolio composition on diversification benefits for foreign REIT investors

Carstens, Ri͏e͏̈tte; Freybote, Julia; De Villiers, Johan - In: Journal of real estate literature : a publication of … 27 (2019) 1, pp. 79-101

Persistent link: https://www.econbiz.de/10012416746

The optimum portfolio based on Konno Linear Programming Model (a case study on the Iran insurance company)

Abbasian, Ezatollah; Hosseinidoust, Seyed Ehsan - In: Iranian economic review : journal of University of Tehran 24 (2020) 3, pp. 707-721

Persistent link: https://www.econbiz.de/10012417727