Works matching DE "PORTFOLIO management (Investments) -- Mathematical models"

Results: 114

PORTFOLIO OPTIMIZATION UNDER PARAMETER UNCERTAINTY USING THE RISK AVERSION FORMULA.

Published in:

Communications Series A1 Mathematics & Statistics, 2017, v. 67, n. 2, p. 50, doi. 10.1501/Commua1_0000000861

By:

KEMALOGLU, SIBEL ACIK;
INAN, GULTAC EROGLU;
APAYDIN, AYSEN

Publication type:

Article

WATADA'S FUZZY PORTFOLIO SELECTION MODEL AND ITS APPLICATION.

Published in:

Communications Series A1 Mathematics & Statistics, 2013, v. 62, n. 2, p. 17

By:

INAN, GULTAC EROGLU;
APAYDIN, AYSEN

Publication type:

Article

MULTI-PERIOD MEAN-VARIANCE PORTFOLIO SELECTION WITH FIXED AND PROPORTIONAL TRANSACTION COSTS.

Published in:

Journal of Industrial & Management Optimization, 2013, v. 9, n. 3, p. 643, doi. 10.3934/jimo.2013.9.643

By:

ZHENG WANG;
SANYANG LIU

Publication type:

Article

Mean-Lower Partial Movement Asset Pricing Model: Some Empirical Evidence.

Published in:

Journal of Financial & Quantitative Analysis, 1982, v. 17, n. 5, p. 763, doi. 10.2307/2330861

By:

Nantell, Timothy J.;
Price, Kelly;
Price, Barbara

Publication type:

Article

COMMENT: A TEST OF STONE'S TWO-INDEX MODEL OF RETURNS.

Published in:

Journal of Financial & Quantitative Analysis, 1979, v. 14, n. 3, p. 629, doi. 10.2307/2330192

By:

Gultekin, N. Bulent;
Rogalski, Richard J.

Publication type:

Article

COMMUNICATION OF AGGREGATE PREFERENCES THROUGH MARKET PRICES.

Published in:

Journal of Financial & Quantitative Analysis, 1979, v. 14, n. 4, p. 695, doi. 10.2307/2330444

By:

Kraus, Alan;
Sick, Gordon A.

Publication type:

Article

A CAPITAL ASSET PRICING MODEL WITH INVESTORS' TAXES AND THREE CATEGORIES OF INVESTMENT INCOME.

Published in:

Journal of Financial & Quantitative Analysis, 1979, v. 14, n. 3, p. 537, doi. 10.2307/2330186

By:

Trauring, Mitchell

Publication type:

Article

ON THE ASYMMETRY OF MARKET RETURNS.

Published in:

Journal of Financial & Quantitative Analysis, 1979, v. 14, n. 3, p. 653, doi. 10.2307/2330196

By:

Beedles, William L.

Publication type:

Article

EFFECTS OF PURCHASING POWER RISK ON PORTFOLIO DEMAND FOR MONEY.

Published in:

Journal of Financial & Quantitative Analysis, 1979, v. 14, n. 2, p. 243, doi. 10.2307/2330501

By:

Chen, Andrew H.

Publication type:

Article

AN ANALYTICAL COMPARISON OF VARIANCE AND SEMIVARIANCE CAPITAL MARKET THEORIES.

Published in:

Journal of Financial & Quantitative Analysis, 1979, v. 14, n. 2, p. 221, doi. 10.2307/2330500

By:

Nantell, Timothy J.;
Price, Barbara

Publication type:

Article

THE EFFECT OF ESTIMATION RISK ON CAPITAL MARKET EQUILIBRIUM.

Published in:

Journal of Financial & Quantitative Analysis, 1979, v. 14, n. 2, p. 215, doi. 10.2307/2330499

By:

Brown, S.

Publication type:

Article

THE DEVELOPMENT OF A MEAN-SEMIVARIANCE APPROACH TO CAPITAL BUDGETING.

Published in:

Journal of Financial & Quantitative Analysis, 1975, v. 10, n. 4, p. 639, doi. 10.2307/2330612

By:

Porter, P. Burr;
Bey, Roger P.;
Lewis, David C.

Publication type:

Article

OPTIMAL FINANCIAL POLICY IN IMPERFECT MARKETS.

Published in:

Journal of Financial & Quantitative Analysis, 1975, v. 10, n. 3, p. 457, doi. 10.2307/2330491

By:

Lloyd-Davies, Peter R.

Publication type:

Article

THE OPTIMAL PRICE TO TRADE.

Published in:

Journal of Financial & Quantitative Analysis, 1975, v. 10, n. 3, p. 497, doi. 10.2307/2330493

By:

Branch, Ben

Publication type:

Article

PORTFOLIO SELECTION IN A LOG-STABLE MARKET.

Published in:

Journal of Financial & Quantitative Analysis, 1975, v. 10, n. 2, p. 285, doi. 10.2307/2979036

By:

Ohlson, James A.

Publication type:

Article

AN EFFICIENT ALGORITHM FOR SOLVING LARGE-SCALE PORTFOLIO PROBLEMS.

Published in:

Journal of Financial & Quantitative Analysis, 1971, v. 6, n. 1, p. 627, doi. 10.2307/2330131

By:

Breen, Willaim;
Jackson, Richard

Publication type:

Article

DEVELOPMENTS IN MULTI-ATTRIBUTE PORTFOLIO SELECTION.

Published in:

Multiple Criteria Decision Making (20841531), 2005, p. 251

By:

Steuer, Ralph E.;
Qi, Yue;
Hirschberger, Markus

Publication type:

Article

Are Islamic finance innovations enough for investors to escape from a financial downturn? Further evidence from portfolio simulations.

Published in:

Applied Economics, 2013, v. 45, n. 24, p. 3412, doi. 10.1080/00036846.2012.707776

By:

Arouri, M. E.;
Ben Ameur, H.;
Jawadi, N.;
Jawadi, F.;
Louhichi, W.

Publication type:

Article

Econometric Models for the Analysis of Financial Portfolios.

Published in:

Romanian Statistical Review, 2013, n. Sup, p. 92

By:

ANGHELACHE, Gabriela Victoria;
ANGHELACHE, Constantin;
DINCĂ, Zoica

Publication type:

Article

Ambiguity sensitive preferences in Ellsberg frameworks.

Published in:

Economic Theory, 2019, v. 67, n. 1, p. 53, doi. 10.1007/s00199-017-1095-3

By:

Ravanelli, Claudia;
Svindland, Gregor

Publication type:

Article

The Role of Portfolio Constraints in the International Propagation of Shocks.

Published in:

Review of Economic Studies, 2008, v. 75, n. 4, p. 1215, doi. 10.1111/j.1467-937X.2008.00509.x

By:

PAVLOVA, ANNA;
RIGOBON, ROBERTO

Publication type:

Article

Comparing the Modeling Performance of Regression and Neural Networks as Data Quality Varies: A Business Value Approach.

Published in:

Journal of Management Information Systems, 1993, v. 10, n. 1, p. 11, doi. 10.1080/07421222.1993.11517988

By:

Bansal, Arun;
Kauffman, Robert J.;
Weitz, Rob R.

Publication type:

Article

The Design of an Investment Portfolio Selection Decision Support System Using Two Expert Systems and a Consulting System.

Published in:

Journal of Management Information Systems, 1987, v. 3, n. 4, p. 79, doi. 10.1080/07421222.1987.11517780

By:

Shane, Barry;
Fry, Mitchel;
Toro, Reuben

Publication type:

Article

PORTFOLIO OPTIMIZATION ALGORITHMS.

Published in:

Studia Universitatis Babes-Bolyai, Negotia, 2015, v. 60, n. 3, p. 51

By:

LUCA, IONUT TRAIAN

Publication type:

Article

DYNAMIC PORTFOLIO SELECTION WITH UNCERTAINTY.

Published in:

International Journal of Uncertainty, Fuzziness & Knowledge-Based Systems, 2009, v. 17, n. 2, p. 237, doi. 10.1142/S0218488509005838

By:

YU, MEI;
INOUE, HIROSHI;
TAKAHASHI, SATORU;
SHI, JIANMING

Publication type:

Article

Asset-Pricing Implications of Dividend Volatility.

Published in:

Management Science, 2013, v. 59, n. 9, p. 2036, doi. 10.1287/mnsc.1120.1676

By:

Yan Li;
Liyan Yang

Publication type:

Article

Modeling the Loss Distribution.

Published in:

Management Science, 2011, v. 57, n. 7, p. 1267, doi. 10.1287/mnsc.1110.1345

By:

Chava, Sudheer;
Stefanescu, Catalina;
Turnbull, Stuart

Publication type:

Article

Loss Aversion with a State-Dependent Reference Point.

Published in:

Management Science, 2011, v. 57, n. 6, p. 1094, doi. 10.1287/mnsc.1110.1338

By:

De Giorgi, Enrico G.;
Post, Thierry

Publication type:

Article

A Goal Programming Model for Portfolio Optimisation Problem in Fuzzy Environment.

Published in:

Pertanika Journal of Science & Technology, 2017, v. 25, n. 2, p. 593

By:

Mokhtar, M.;
Shuib, A.;
Mohamad, D.

Publication type:

Article

EFFICIENT PREDICTION OF EXCESS RETURNS.

Published in:

Review of Economics & Statistics, 2011, v. 93, n. 2, p. 647, doi. 10.1162/REST_a_00092

By:

Faust, Jon;
Wright, Jonathan H.

Publication type:

Article

Flight to Quality and Asset Allocation in a Financial Crisis.

Published in:

Financial Analysts Journal, 2013, v. 69, n. 4, p. 43, doi. 10.2469/faj.v69.n4.3

By:

Marsh, Terry;
Pfleiderer, Paul

Publication type:

Article

Long-Term Impact of Russell 2000 Index Rebalancing.

Published in:

Financial Analysts Journal, 2008, v. 64, n. 4, p. 76, doi. 10.2469/faj.v64.n4.7

By:

Jie Cai;
Houge, Todd

Publication type:

Article

How Variation in Signal Quality Affects Performance.

Published in:

Financial Analysts Journal, 2008, v. 64, n. 4, p. 48, doi. 10.2469/faj.v64.n4.5

By:

Jia Ye

Publication type:

Article

Efficient simulations for a Bernoulli mixture model of portfolio credit risk.

Published in:

Annals of Operations Research, 2018, v. 260, n. 1/2, p. 113, doi. 10.1007/s10479-016-2241-1

By:

Başoğlu, İsmail;
Hörmann, Wolfgang;
Sak, Halis

Publication type:

Article

Portfolio selection using λ mean and hybrid entropy.

Published in:

Annals of Operations Research, 2011, v. 185, n. 1, p. 213, doi. 10.1007/s10479-009-0550-3

By:

Jiuping Xu;
Xiaoyang Zhou;
Desheng Dash Wu

Publication type:

Article

Persistence and the four-factor model in the Australian funds market: a note.

Published in:

Accounting & Finance, 2010, v. 50, n. 1, p. 103, doi. 10.1111/j.1467-629X.2009.00317.x

By:

Humphrey, Jacquelyn E.;
O’Brien, Michael A.

Publication type:

Article

Interaction of size, book-to-market and momentum effects in Australia.

Published in:

Accounting & Finance, 2010, v. 50, n. 1, p. 197, doi. 10.1111/j.1467-629X.2009.00318.x

By:

O’Brien, Michael A.;
Brailsford, Tim;
Gaunt, Clive

Publication type:

Article

Portfolio optimization using Mean Absolute Deviation (MAD) and Conditional Value-at-Risk (CVaR).

Published in:

Production / Produção, 2017, v. 27, p. 1, doi. 10.1590/0103-6513.208816

By:

da Silva, Lucas Pelegrin;
Alem, Douglas;
de Carvalho, Flávio Leonel

Publication type:

Article

Fuzzy Portfolio Selection Including Cardinality Constraints and Integer Conditions.

Published in:

Journal of Optimization Theory & Applications, 2016, v. 170, n. 1, p. 343, doi. 10.1007/s10957-016-0902-5

By:

Calvo, Clara;
Ivorra, Carlos;
Liern, Vicente

Publication type:

Article

Mathematical Asset Management by Thomas Höglund.

Published in:

2009

By:

Koskinen, Lasse

Publication type:

Book Review

Testing the structure of multistage stochastic programs.

Published in:

Computational Management Science, 2009, v. 6, n. 2, p. 161, doi. 10.1007/s10287-008-0092-1

By:

Dupačová, Jitka;
Bertocchi, Marida;
Moriggia, Vittorio

Publication type:

Article

Portfolio selection with transaction costs under expected shortfall constraints.

Published in:

Computational Management Science, 2008, v. 5, n. 4, p. 305, doi. 10.1007/s10287-007-0055-y

By:

Breuer, Thomas;
Jandačka, Martin

Publication type:

Article

Time and Risk Diversification in Real Estate Investments: Assessing the Ex Post Economic Value.

Published in:

Real Estate Economics, 2009, v. 37, n. 3, p. 341, doi. 10.1111/j.1540-6229.2009.00245.x

By:

Fugazza, Carolina;
Guidolin, Massimo;
Nicodano, Giovanna

Publication type:

Article

A portfolio optimization model based on information entropy and fuzzy time series.

Published in:

Fuzzy Optimization & Decision Making, 2015, v. 14, n. 4, p. 381, doi. 10.1007/s10700-015-9206-8

By:

Zhou, Rongxi;
Yang, Zebin;
Yu, Mei;
Ralescu, Dan

Publication type:

Article

Mean-risk model for uncertain portfolio selection.

Published in:

Fuzzy Optimization & Decision Making, 2011, v. 10, n. 1, p. 71, doi. 10.1007/s10700-010-9094-x

By:

Xiaoxia Huang

Publication type:

Article

Penalty Algorithm Based on Conjugate Gradient Method for Solving Portfolio Management Problem.

Published in:

Journal of Inequalities & Applications, 2009, v. 2009, p. 1, doi. 10.1155/2009/970723

By:

Zhong Wan;
ShaoJun Zhang;
YaLin Wang

Publication type:

Article

AN EXTENSION OF THE MARKOWITZ PORTFOLIO SELECTION MODEL TO INCLUDE VARIABLE TRANSACTIONS' COSTS, SHORT SALES, LEVERAGE POLICIES AND TAXES.

Published in:

Journal of Finance (Wiley-Blackwell), 1970, v. 25, n. 5, p. 1005, doi. 10.1111/j.1540-6261.1970.tb00865.x

By:

POGUE, G.A.

Publication type:

Article

DIVERSIFICATION AND THE REDUCTION OF DISPERSION: AN EMPIRICAL ANALYSIS.

Published in:

Journal of Finance (Wiley-Blackwell), 1968, v. 23, n. 5, p. 761, doi. 10.2307/2325905

By:

EVANS, JOHN L.;
ARCHER, STEPHEN H.

Publication type:

Article

INDIVIDUAL RISK PREFERENCE IN PORTFOLIO SELECTION.

Published in:

Journal of Finance (Wiley-Blackwell), 1960, v. 15, n. 1, p. 45, doi. 10.2307/2976453

By:

LATANé, HENRY ALLEN

Publication type:

Article

Outperformance and Tracking: Dynamic Asset Allocation for Active and Passive Portfolio Management.

Published in:

Applied Mathematical Finance, 2018, v. 25, n. 3, p. 268, doi. 10.1080/1350486X.2018.1507751

By:

Al-Aradi, Ali;
Jaimungal, Sebastian

Publication type:

Article