Zobrazeno 1 - 10
of 90
pro vyhledávání: '"Roy's safety-first criterion"'
Publikováno v:
Applied Economics. 51:2552-2565
In the recent decade, there has been observed across the Central and Eastern European states the regulatory trend towards the increase of the non-financial (first) pension pillar size at the expens...
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::ee17078424d6e21ab1cebdf29c668234
https://doi.org/10.1080/00036846.2018.1556773
https://doi.org/10.1080/00036846.2018.1556773
Autor:
Mehmet Aksarayli, Osman Pala
Publikováno v:
Expert Systems with Applications. 94:185-192
Portfolio selection is a critical factor in investment. Having considered a number of risky assets, fund managers must choose the optimum portfolio. Stock values can be affected by different types of events such as governmental crises, economic turmo
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::f4632e78a1e09e9b9fd4dd1940d7b1fc
https://doi.org/10.1016/j.eswa.2017.10.056
https://doi.org/10.1016/j.eswa.2017.10.056
Autor:
Oksana Sira, Tetiana Katkova
Publikováno v:
Eastern-European Journal of Enterprise Technologies. 1:49-55
Розглянуто задачу формування портфеля цінних паперів. За результатами аналізу відомих підходів до розвязання задачі запропонована мат
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::8ac78ca2d3f3322ab18aac2268e6a23f
https://doi.org/10.15587/1729-4061.2017.92283
https://doi.org/10.15587/1729-4061.2017.92283
Publikováno v:
Quantitative Finance. 17:763-780
We propose herein a new portfolio selection method that switches between two distinct asset allocation strategies. An important component is a carefully designed adaptive switching rule, which is based on a machine learning algorithm. It is shown tha
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::77d3be79acf54457ffa4e156a1336ccd
https://doi.org/10.1080/14697688.2016.1223337
https://doi.org/10.1080/14697688.2016.1223337
Autor:
T. V. Zolotova, V. A. Gorelik
Publikováno v:
Journal of Mathematical Sciences. 216:603-611
In this paper, we examine the problem of finding an optimal portfolio of securities by using the probability function of portfolio risk as a constraint. We obtain the value of the risk coefficient for which the problem of maximizing the expectation o
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::51e9a08f98989202599e4c73317768fc
https://doi.org/10.1007/s10958-016-2921-z
https://doi.org/10.1007/s10958-016-2921-z
Autor:
Taras Zabolotskyy, Taras Bodnar
Publikováno v:
AStA Advances in Statistical Analysis. 101:1-28
In this paper, we investigate the properties of the optimal portfolio in the sense of maximizing the Sharpe ratio (SR) and develop a procedure for the calculation of the risk of this portfolio. This is achieved by constructing an optimal portfolio wh
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::4e505ce343bf26a8843775ef8438ae51
https://doi.org/10.1007/s10182-016-0270-3
https://doi.org/10.1007/s10182-016-0270-3
Publikováno v:
International Letters of Chemistry, Physics and Astronomy. 53:130-136
In this paper we propose a portfolio optimization model that selects the portfolio with the largest worse-case-scenario sharpe ratio with a given confidence level. We highlight the relationship between conditional value-atrisk based sharpe ratio and
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::45db2d43406378212ffeaebfcc1a7e1d
https://doi.org/10.56431/p-1pcx1p
https://doi.org/10.56431/p-1pcx1p
Autor:
A. N. Ignatov, A. I. Kibzun
Publikováno v:
Automation and Remote Control. 76:1201-1220
The problem of interest in this paper is selection of investment portfolio with two risk assets having uniformly distributed return rates. To form the portfolio, the probability criterion is used. A closed form of the criterial function at the last s
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::1c42f530265f49106fa56da88244c4c1
https://doi.org/10.1134/s0005117915070061
https://doi.org/10.1134/s0005117915070061
Publikováno v:
Journal of Information and Optimization Sciences. 36:367-384
This paper proposes a Sharpe ratio portfolio optimization model wherein the expected return, variance and covariance of stocks vary in closed intervals. Objective function of this model is a nonlinear interval valued function. A solution methodology
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::c8c9d143711ae24cec7e3dfcc104ef26
https://doi.org/10.1080/02522667.2014.962816
https://doi.org/10.1080/02522667.2014.962816
In standard mean-variance bi-criterion portfolio selection, the efficient set is a frontier. While it is not yet standard for there to be additional criteria in portfolio selection, there has been a growing amount of discussion in the literature on t
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::62418d9bf1fd9f0b8660dd71260bf606
https://epub.uni-regensburg.de/31825/
https://epub.uni-regensburg.de/31825/
