Theoretical Analysis of Financial Portfolio Model

Financial news analysis for intelligent portfolio management

In this paper, we present Warren, a multi-agent system for intelligent portfolio management, which is motivated by the great benefits of working in teams within the domain of Distributed Artificial Intelligence (DAI) and TextMiner which takes advantage of information retrieval techniques to complement quantitative financial information. In the portfolio management domain, software agents that e...

A Financial Model of the Firm: Risk and Portfolio Selection∗

We address explicitly the issue of risk in the theory of the firm. To that end, we present a model in which the shareholders’ portfolio selection of assets and the decisions of the firm are jointly determined through the market process. The model allows to study the role of markets and prices on the type of risky activities undertaken by a firm and the allocation of random profit among sharehol...

The Current Models of Credit Portfolio Management: A Comparative Theoretical Analysis

The present paper aimed at studying the current models of credit portfolio management. There are currently three types of models which consider the risk of credit portfolio: the structural models (Moody's KMV model, and Credit- Metrics model), the intensity models (the actuarial models) and the econometric models (the Macro-factors model). The development of these three types of models is based...

Financial Portfolio Optimisation

Investigating the Role of Non-Financial Information Analysis and Risk- Return Analysis along with Financial Information in Increasing the Efficiency of the Stock Portfolio of Banks

The purpose of this study was to investigate the role of non-financial information analysis and risk-return analysis along with financial information in increasing the selected banks and financial institutions of Tehran Stock Exchange portfolio efficiency. To evaluate the efficiency of the portfolio, the Treynor's ratio was used and attempted to determine the Treynor's ratio of the selected opt...