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Optimal Stock Portfolio

Investigating the Impact of Time-varying Volatility of Macroeconomic Indices on the Predictability of Optimal Stock Portfolio Return in Tehran Stock Exchange

Investigating the Impact of Time-varying Volatility of Macroeconomic Indices on the Predictability of Optimal Stock Portfolio Return in Tehran Stock Exchange

... of stock exchange, ...of stock exchange and the assumption of the dynamism of input variables of model is an important factor which improves the simulation accuracy of stock exchange ...on ...

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Determining the Optimal Stock Portfolio in Tehran Stock Exchange Based on Multi-Objective Evolutionary Algorithm with ϵ Error Level (ϵ-MOEA)

Determining the Optimal Stock Portfolio in Tehran Stock Exchange Based on Multi-Objective Evolutionary Algorithm with ϵ Error Level (ϵ-MOEA)

... security portfolio was introduced by Harry Markowitz in 1952 ...why portfolio diversification can reduce the overall investment ...of portfolio selection picks securities on the basis of expected ...

6

Determination Of Lq 45 Stocks Portfolio Performance Model

Determination Of Lq 45 Stocks Portfolio Performance Model

... and stock will be ...the stock market conditions that will degrade stock market performance a country experiencing an economic ...45 stock by ...45 stock by ...the stock return ...

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Optimization of Portfolio Stock Selection with Meta Goal Programming

Optimization of Portfolio Stock Selection with Meta Goal Programming

... an optimal stock portfolio selection using meta goal programming carried out on the Tehran stock ...of portfolio selection by utilizing meta goal programming and extended lexicographic ...

7

Optimal Use of Put Options in a Stock Portfolio

Optimal Use of Put Options in a Stock Portfolio

... a portfolio optimization problem where an agent holds an endowment of stock and is allowed to buy some quantity of a put option on the ...of portfolio value to explore this ...the optimal ...

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Robust Portfolio Allocation for a Bank under Inflation

Robust Portfolio Allocation for a Bank under Inflation

... Literature regarding quadratic optimization dates back to Markowitz in the 1950’s. In his mean-variance analysis the theory of combining risky assets to minimize the variance of return ( i . e ., risk) at any desired ...

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Financial Crisis and International Portfolio Diversification: A Principal Component Analysis Approach

Financial Crisis and International Portfolio Diversification: A Principal Component Analysis Approach

... European stock markets in the 1990s to the prospects of the formation of EMU and the adoption of the euro as the single ...compounded stock returns based on Friday closing prices in the 11 EU ...EU ...

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The Kelly Growth Optimal Portfolio with Ensemble Learning

The Kelly Growth Optimal Portfolio with Ensemble Learning

... timal portfolio (GO) as the classical Kelly growth optimal portfolio should inevitably serve as the first ...Equally-weighted portfolio (EW) is a naive yet robust strat- ...Value-weighted ...

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On the Effect of Premia and Penalties on the Optimal Portfolio Choice

On the Effect of Premia and Penalties on the Optimal Portfolio Choice

... standard portfolio choice between a risky and a safe asset, we study the effect of imposing premia and penalties conditional on the realized return of the portfolio meeting a given ...the optimal ...

5

The Effect of Economic Factors on Performance of the Stock Market in the Czech Republic

The Effect of Economic Factors on Performance of the Stock Market in the Czech Republic

... of stock prices and economic factors is a frequent topic of studies, the long‑term causal relationship between economic indicators and stock prices, was overlooked in the case of the Czech ...The ...

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A STUDY ON CONSTRUCTION OF OPTIMAL PORTFOLIO USING SHARPE’S SINGLE INDEX MODEL

A STUDY ON CONSTRUCTION OF OPTIMAL PORTFOLIO USING SHARPE’S SINGLE INDEX MODEL

... OF OPTIMAL PORTFOLIO OF EQUITY, USING SHARPE’S SINGLE INDEX MODEL: A CASE STUDY OF IT SECTOR it is found that Portfolio is the collection of financial or real assets such as equity shares, ...

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Optimal long term investment in a jump diffusion setting : a large deviation approach

Optimal long term investment in a jump diffusion setting : a large deviation approach

... an optimal portfolio by total maximization of the deviations ...estimated optimal portfolio is then used to recover the linear correlation and nonlinear ones from each bivariate ...2000 ...

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GOOGLE FINANCE PORTFOLIO INSTRUCTIONS

GOOGLE FINANCE PORTFOLIO INSTRUCTIONS

... (a) Enter symbol or start typing company name. Possible company names and their exchanges pop up. Be certain to click company name from the list (rather than typing the symbol) . CAUTION: Verify the exchange is in the ...

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An alternative to portfolio selection problem beyond Markowitz’s: Log Optimal Growth Portfolio

An alternative to portfolio selection problem beyond Markowitz’s: Log Optimal Growth Portfolio

... In portfolio theory, optimization models play a critical role in determining portfolio investment strategies for ...maximizes portfolio growth has an intuitive appeal for both the professional and ...

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Some limit theorems for the log optimal portfolio

Some limit theorems for the log optimal portfolio

... the stock is generally the long term behavior and the stock market is ∗-mixing, ...the stock prices in two time periods which are sufficiently far away from each other can be approached as being ...

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Portfolio risk measurement: the estimation of the covariance of stock returns

Portfolio risk measurement: the estimation of the covariance of stock returns

... Table 7.6: Eigen-distance and eigen-distance differences MNIG T=1000 Panel 100 This A the table the simulations results of reports weeks eigen-distance Panel differences B of eight alter[r] ...

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An Application of Principal Component Analysis to Stock Portfolio Management

An Application of Principal Component Analysis to Stock Portfolio Management

... a portfolio as a measure of ...a portfolio would be the key vari- able for estimating the reduction in variance (Frahm and Wiechers, ...a portfolio, even when they reach the number required, may not ...

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Overreaction and Portfolio Selection Strategies in the Tunisian stock market

Overreaction and Portfolio Selection Strategies in the Tunisian stock market

... The results show that the existence of size anomaly is slightly advantageous to those who use it to create and to later sell portfolios. In fact, over an average period of one year, we are able to show that those who ...

13

Stock Portfolio Selection using Data Mining Approach

Stock Portfolio Selection using Data Mining Approach

... the stock selection process, a particular sector is to be chosen where the present study can be initiated because the entire Australian market has more than 2000 stocks, and it would have been a difficult task to ...

7

Return and volatility spillovers between South African and Nigerian equity markets

Return and volatility spillovers between South African and Nigerian equity markets

... across stock markets of different ...in stock market prices of both advanced economies and EMEs, ...of stock market returns and volatility spillover between advanced economies and EMEs (Sugimoto et ...

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