High-technology projects are known as tools that help achieving productive forces through scientific and technological knowledge. These knowledge-based projects are associated with high levels of risks and returns. The process of high-technology project and project portfolio selection has technical complexities and uncertainties. This paper presents a novel two-parted method of high-technology ...

In portfolio theory, it is well-known that the distributions of stock returns often have non-Gaussian characteristics. Therefore, we need non-symmetric distributions for modeling and accurate analysis of actuarial data. For this purpose and optimal portfolio selection, we use the Tail Mean-Variance (TMV) model, which focuses on the rare risks but high losses and usually happens in the tail of r...

In this paper, we develop an economic production quantity (EPQ) model under machine breakdown and two types of repair (corrective and preventive). also, study the simultaneous effect of holding safety stock and purchasing policy. In order to avoid shortages occurring as a result of the random repair time, in addition to keep safety stock, we suppose that the manufacturer could purchase some qua...

It is the Internet world with vasty purchasing data sea online that makes research model of e-consumers’ purchasing behavior very different from traditional ones. Firstly this paper proposes three kinds of research models of consumers’ purchasing behavior, and then pointed out that data-driving model is the best one to analyze e-consumers’ purchasing behavior on the Internet. Secondly, it adopt...

The stock evaluation process plays an important role in portfolio selection because it is the prerequisite for investment and directly influences on the stock allocation. This paper presents a methodology based on Data Envelopment Analysis for portfolio selection, decision making units which can be stocks or other financial assets. First, DMUs efficiencies are computed based on input/output com...

This paper endeavored to categorise and evaluate exchange rate theories. These theories included the International Fischer's Effect Theory, Purchasing Power Parity Interest Rate Balance of Payments Monetary Approach Foreign Exchange, Portfolio Approach. The analyses these theories' advantages disadvantages. Keywords: Exchange Rate; Theory; Approach; DOI: 10.7176/EJBM/14-20-08 Publication date: ...

This paper proposes a new model for portfolio sensitivity analysis. The model is suitable for decision support in financial institutions, specifically for portfolio planning and portfolio management. The basic advantage of the model is the ability to create simulations for credit risk predictions in cases when we virtually change portfolio structure and/or macroeconomic factors. The model takes...

A key result of the Capital Asset Pricing Model (CAPM) is that the market portfolio— the portfolio of all assets in which each asset’s weight is proportional to its total market capitalization—lies on the mean-variance-efficient frontier, the set of portfolios having mean-variance characteristics that cannot be improved upon. Therefore, the CAPM cannot be consistent with efficient frontiers for...

The dynamic replication strategy of Black and Scholes is important enough that it is worth repeating from last week. Recall the setup. From day k − 1 to day k, the stock (risky asset price) either goes up Sk−1 → Sk = uSk or goes down Sk = dSk−1 (recall that we actually did not necessarily need u > 1 or d < 1, but it is convenient to think of u as up and d as down.) The replicating portfolio is ...

This paper will investigate the optimum portfolio for an investor, taking into account 5 criteria. The mean variance model of portfolio optimization that was introduced by Markowitz includes two objective functions; these two criteria, risk and return do not encompass all of the information about investment; information like annual dividends, S&P star ranking and return in later years which is ...