optimal portfolios
A characterization of optimal portfolios under the tail mean-variance criterion
... select portfolios that take into account the risk of large but rare ...the optimal portfolio under the tail mean-variance criterion is ...this optimal portfolio as a mean-variance efficient ...
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The link between asymmetric and symmetric optimal portfolios in fads models
... asymmetric optimal portfolios for both investors, and link these random portfolios to the symmetric deterministic optimal portfo- lio in Section ...
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Comparing Mean-Variance and CVaR optimal portfolios, assuming bivariate skew-t distributed returns
... the optimal portfolio mixture of the Stan- dard&Poor 500 index and an index of seven to ten years T-bonds, using CVaR as ...The optimal portfolios when considering CVaR will be compared to the ...
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Exponential Utility Optimization Of An Investor’s Optimal Portfolios, Under Constant Elasticity Of Variance Model
... Optimal investment problem of utility maximization is an important issue in mathematical finance and has drawn attention of many researchers after Merton’s work in which he proposed the stochastic control approach ...
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Optimal Portfolios of an Insurer and a Reinsurer under Proportional Reinsurance and Power Utility Preference
... the optimal strategy using the Bellman equation and proved the existence of a smooth solution and a verification theorem, and give explicit solution in some cases with exponential claim size distri- bution, as ...
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Efficiency of Currency Asset Classes
... 12.43%. Optimal portfolios indicate investors with medium risk levels must put ...Efficient portfolios also require selling the CAD, CHF and NOK ...efficient portfolios require a huge ...
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Optimal Variational Portfolios with Inflation Protection Strategy and Efficient Frontier of Expected Value of Wealth for a Defined Contributory Pension Scheme
... studied optimal portfolio strategy based on the non-Gaussian ...constructed optimal portfolios of variance swaps based on a variance gamma correlated ...The portfolios of the variance swaps ...
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Visualizing Investment Decision on Decision Balls
... tance between two securities is used to represent the cor- relation between them: the larger the correlation, the shorter the distance. Also, the fund with the higher return is located closer to the North Pole. Mutual ...
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Higher moment portfolio management with downside risk
... of optimal portfolios by replacing variance with lower partial ...the optimal portfolios compositions base on lower partial moment are different to the optimal portfolios ...
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Mean-Variance portfolio optimization when each asset has individual uncertain exit-time
... the optimal portfolio of the generalized problem is independent of the exit-times ...of optimal portfolios in the generalized model coincides with the set of optimal portfolios in the ...
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Are Value At Risk And Maximum Drawdown Different From Volatility In Stock Market?
... In this paper, the effects of risk measures on stock returns are examined in two steps. The first step is the quintile portfolio analysis with respect to volatility, VaR and MDD. In the second step, I construct 3-by-3 ...
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Portfolio as a Stimulus for Improving the Work of Teacher Educators: An Experience at a College in the Arab Sector
... preparing portfolios in different academic colleges, the initial version of instructions to prepare portfolios was built, which included the following points: collegiate identifica- tion card (list of ...
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UK household portfolios
... Although there are still significant effects of tax status on the probability of ownership, suggesting that some of the observed effect of tax status on PEP ownership may have been picking up broader income effects, ...
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Impulsive control of portfolios
... The form of transaction costs fully justifies the use of impulsive strategies, since we cannot trade continuously in the presence of a constant term in the cost function. One can see that there is a remarkable difference ...
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Integrated assessment : new assessment methods literature review
... Portfolios The development of portfolios has been used to document social work students’ developing knowledge and competence over the course in specific subjects such as groupwork Marott[r] ...
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Ex ante versus ex post regulation of bank capital
... We have assumed so far that the bank knows the true portfolio risk. What if we relax this assumption? Recall that the principal virtue of ex post regulation is that it makes full use of the bank’s specialized information ...
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Professional portfolios and Australian registered nurses' requirements for licensure: Developing an essential tool
... Assessment portfolios are used to assess learners’ levels of skill and knowledge in relation to specific units of learning (Kilbane & Milman, 2003) and they are relatively common in both Australian and ...
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Patent Portfolios as Securities
... patent portfolios might be valued, an efficient method of pricing may be difficult to achieve in ...patent portfolios may always have a different value to every company that considers ...
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Analysis of Risk and Mispricing Hypotheses of Accruals: Evidence from Brazil
... the portfolios based on stocks that presented lower accruals volumes (Low) was superior to the returns of the portfolios with a higher volume of accruals (High); however, this difference was not ...
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Divesting Fossil Fuels: The Implications for Investment Portfolios
... the portfolios with and without stocks of companies involved in the supply of coal, oil, and ...fuel portfolios exhibit substantially higher risk than the market portfolio, both when measured in terms of ...
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