نتایج جستجو برای: markowitz
تعداد نتایج: 780 فیلتر نتایج به سال:
The study here focuses on portfolio construction of mid cap companies, its optimization and throws up some important topics for further research. Issues discussed include the key inputs necessary to perform optimization, Markowitz Model, Single Index Model methods evaluation overvaluation undervaluation securities.
In this study, by applyig a combination of Autoregressive Conditional Heteroskedasticity and stochastic differential equations Models with Markowitz model we estimate the optimal portfolio investment in the housing market are discussed. For this purpose, use of assets, stock prices, housing prices, the price of coins and bonds during the period 1999-2013 with the monthly data. Autoregre...
One of the main arguments in the supply chain is integrated production-distribution planning. Integrated production and distribution of products in a supply chain plays an important role in reducing the costs of the chain. In this paper, a mathematical model for the integrated production-distribution problem in a three-level supply chain, including manufacturing plants, distribution centers and...
The problem of portfolio optimization has made many advances since Markowitz proposed an average-variance-based optimization. It can be said that the most important achievement of the Markowitz model was the introduction of variance as a risk indicator and indeed, the introduction of a quantitative benchmark into it. This research is a model for predicting value at risk. This model extends the ...
This paper compares the performances of stock selection methods developed by artificial neural network (ANN), second order stochastic dominance (SSD), and Markowitz portfolio optimization generating annual portfolios whose stocks are selected from several types indexes traded in Borsa Istanbul. Daily returns SSD Markowitz, ratios ANN models, taken as inputs, with following outputs. By perspecti...
This paper concerns portfolio selection with multiple assets under rough covariance matrix. We investigate the continuous-time Markowitz mean-variance problem for a multivariate class of affine and quadratic Volterra models. In this incomplete non-Markovian nonsemimartingale market framework unbounded random coefficients, optimal strategy is expressed by means Riccati backward stochastic differ...
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