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Correlation Analysis on Bucharest Stock Exchange

Tudor, Cristiana - In: Romanian Economic Journal 9 (2006) 19, pp. 11-19

Bazandu-se pe conceptele de baza ale Teoriei Moderne a Portofoliului elaborate de Markowitz, articolul de fata analizeaza corelatia care exista intre preturile actiunilor a patru companii apartinand unor sectoare diferite ale economiei, toate patru listate la BVB, pentru a afla daca exista...

Persistent link: https://www.econbiz.de/10010584109

Le foisonnement d’outils de gestion:d’un portefeuille d’outils à une «technologie en pratique»

Mazars-Chapelon, Agnès - In: Revue Finance Contrôle Stratégie 13 (2010) 4, pp. 5-38

sight. A closer look, however, reveals that tools are organized as a dynamic and structured portfolio of multiple management …

Persistent link: https://www.econbiz.de/10010585937

Risk and utility in portfolio optimization

Cohen, Morrel H.; Natoli, Vincent D. - In: Physica A: Statistical Mechanics and its Applications 324 (2003) 1, pp. 81-88

Modern portfolio theory (MPT) addresses the problem of determining the optimum allocation of investment resources among … distribution. Risk-utility relations are explored via empirical stock-price data, and an illustrative portfolio is optimized using …

Persistent link: https://www.econbiz.de/10010589960

On the optimization of a CAPM portfolio using lower partial moments as measure of risk and using the possibility of safeguarding its loss

Spreitzer, U.W.; Reznik, V. - In: Physica A: Statistical Mechanics and its Applications 378 (2007) 2, pp. 423-426

Using a portfolio built from bonds (investment without volatility) and shares (investment with volatility …) corresponding to the CAPM we calculate the possible loss of this portfolio. The loss is measured by a so-called lower partial moment … of the rate of return of the portfolio. Using this loss, we optimize the composition of the portfolio with respect to …

Persistent link: https://www.econbiz.de/10010590197

Comparative Analysis Between the Portfolio Theory and Investor Praxis

GRIGORESCU, Judith - In: Romanian Statistical Review Supplement 60 (2012) 1, pp. 99-103

Modern Portfolio Theory was initially introduced by Markowitz in 1950-1960 and further developed by Tobin and Sharpe …

Persistent link: https://www.econbiz.de/10010596218

TEACHING NOTE FOR CASE STUDY: “STRATEGIC DECISION-MAKING UNDER UNCERTAINTY: INNOVATION AND NEW PRODUCT INTRODUCTION DURING VOLATILE TIMES”

Roucan-Kane, Maud; Boehlje, Michael - Department of Agricultural Economics, Purdue University - 2009

to think about ways to mitigate risk through the use of real options, an options portfolio, and organizational structure …

Persistent link: https://www.econbiz.de/10010546943

Pricing Foreign Equity Options with Stochastic Correlation and Volatility

Ma, Jun - In: Annals of Economics and Finance 10 (2009) 2, pp. 303-327

A new class of foreign equity option pricing model is suggested that not only allows for the volatility but also for the correlation coefficient to vary stochastically over time. A modified Jacobi process is proposed to evaluate risk premium of the stochastic correlation, and a partial...

Persistent link: https://www.econbiz.de/10010554862

Sovereign wealth funds in the globalization of financial markets

Cuzovic, Djordje - In: Perspectives of Innovation in Economics and Business (PIEB) 10 (2012) 1, pp. 5-13

This paper studies the investment funds with special emphasis on Sovereign Wealth Funds (SWFs), as new participants in the financial market. Considering that financial markets are one of the main carriers of globalization, our goal is to investigate development and the role of these investment...

Persistent link: https://www.econbiz.de/10010558913

THEORETICAL ASPECTS OF THREE-ASSET PORTFOLIO MANAGEMENT

ŠOLTÉS, Michal - In: Curentul Juridic, The Juridical Current, Le Courant … 51 (2012) December, pp. 130-136

The paper deals with three-asset portfolio. It focuses on ordinary investor, for whom the Markowitz’s theory of … selection of optimal portfolio is often too difficult to use in practise. In the paper, new formulas for calculation of the … weights of the assets in three-asset portfolio optimised according to the risk measured by standard deviation are being …

Persistent link: https://www.econbiz.de/10010601639

Active risk management and loan contract terms: Evidence from rated microfinance institutions

Tchakoute-Tchuigoua, Hubert - In: The Quarterly Review of Economics and Finance 52 (2012) 4, pp. 427-437

The aim of this article is to test the relationship among organizational architecture, joint liabilities contracts, and loan conditions. Based on a sample of 135 MFIs rated between 2003 and 2008, the study shows that solidarity lending and a decentralized credit decision have no significant...

Persistent link: https://www.econbiz.de/10010602933