Zobrazeno 1 - 10
of 24 818
pro vyhledávání: '"Markowitz, P."'
Autor:
Nayar, Revant, Douady, Raphael
Traditional Markowitz portfolio optimization constrains daily portfolio variance to a target value, optimising returns, Sharpe or variance within this constraint. However, this approach overlooks the relationship between variance at different time sc
Externí odkaz:
http://arxiv.org/abs/2411.13792
Markowitz laid the foundation of portfolio theory through the mean-variance optimization (MVO) framework. However, the effectiveness of MVO is contingent on the precise estimation of expected returns, variances, and covariances of asset returns, whic
Externí odkaz:
http://arxiv.org/abs/2409.09684
Markowitz's criterion aims to balance expected return and risk when optimizing the portfolio. The expected return level is usually fixed according to the risk appetite of an investor, then the risk is minimized at this fixed return level. However, th
Externí odkaz:
http://arxiv.org/abs/2409.13608
Autor:
Mallieswari R., Palanisamy Varadharajan, Senthilnathan Arthi Thangavelu, Gurumurthy Suganya, Joshua Selvakumar J., Pachiyappan Sathish
Publikováno v:
ECONOMICS, Vol 12, Iss 2, Pp 113-127 (2024)
The main of the study is to comprehend how the mean variance efficient frontier method may be used in conjunction with Markowitz portfolio theory to produce an optimal portfolio. The study uses daily observations 8 pharma companies closing price name
Externí odkaz:
https://doaj.org/article/22eca083cc2443e5b760ce95529fd204
Investment portfolios, central to finance, balance potential returns and risks. This paper introduces a hybrid approach combining Markowitz's portfolio theory with reinforcement learning, utilizing knowledge distillation for training agents. In parti
Externí odkaz:
http://arxiv.org/abs/2405.05449
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Our article is focused on the application of Markowitz Portfolio Theory and the Single Index Model on 10-year historical monthly return data for 10 stocks included in FTSE Bursa Malaysia KLCI, which is also our market index, as well as a risk-free as
Externí odkaz:
http://arxiv.org/abs/2401.05264
Akademický článek
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The growing interest in cryptocurrencies has drawn the attention of the financial world to this innovative medium of exchange. This study aims to explore the impact of cryptocurrencies on portfolio performance. We conduct our analysis retrospectively
Externí odkaz:
http://arxiv.org/abs/2401.00507
This survey article is dedicated to the life of the famous American economist H. Markowitz (1927--2023). We do revisit the main statements of the portfolio selection theory in terms of mathematical completeness including all the necessary auxiliary d
Externí odkaz:
http://arxiv.org/abs/2402.10253