نتایج جستجو برای: return on a portfolio

تعداد نتایج: 15927681  

One of the most important concerns of investors in financial markets is choosing a share or stock portfolio that is optimal in terms of profitability. To this end, there are many ways in which the stock portfolio has been chosen. The optimal portfolio selection is a portfolio management goal. In this dissertation, the DEA technique has been used as a new and reliable way to select the stock opt...

پایان نامه :وزارت علوم، تحقیقات و فناوری - دانشگاه لرستان - پژوهشکده ریاضیات 1392

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Journal: :The review of financial studies 2017
John Beshears James J Choi David Laibson Brigitte C Madrian

Many experiments have found that participants take more investment risk if they see returns less frequently, see portfolio-level returns (rather than each individual asset's returns), or see long-horizon (rather than one-year) historical return distributions. In contrast, we find that such information aggregation treatments do not affect total equity investment when we make the investment envir...

1997
William J. Bernstein David Wilkinson

The effective (geometric mean) return of a periodically rebalanced portfolio always exceeds the weighted sum of the component geometric means. Some approximate formulae for estimating this effective return are derived and tested. One special case of these formulae is shown to be particularly simple, and is used to provide easily computed estimates of the benefits of diversification and rebalanc...

2004
Don U.A. Galagedera Elizabeth A. Maharaj

This paper investigates association between portfolio returns and higher-order systematic co-moments at different timescales obtained through wavelet multiscalinga technique that decomposes a given return series into different timescales enabling investigation at different return intervals. For some portfolios, the relative risk positions indicated by systematic co-moments at higher timescales ...

1998
Patrick McAllister Graeme Bowles Heather Tarbert

This paper investigates the potential implications of valuation error for the accuracy of investment performance measures of property portfolios. Previous empirical research on valuation error is reviewed It is argued that there is considerable evidence to suggest that valuations are prone to error. A simulation approach is used to model the effects of valuation error on a number of hypothetica...

Journal: :European Journal of Operational Research 2014
Renata Mansini Wlodzimierz Ogryczak Maria Grazia Speranza

Keywords: Survey LP computable mean-risk and mean-safety models Real features Transaction costs Exact and heuristic algorithms a b s t r a c t Markowitz formulated the portfolio optimization problem through two criteria: the expected return and the risk, as a measure of the variability of the return. The classical Markowitz model uses the variance as the risk measure and is a quadratic programm...

2013
Verena M. Trenkel Fabienne Daurès Marie-Joëlle Rochet Pascal Lorance

According to portfolio theory applied to fisheries management, economic returns are stabilised by harvesting in a portfolio stocks of species whose returns are negatively correlated and for which the portfolio economic return variance is smaller than the sum of stock specific return variances. Also, variability is expected to decrease with portfolio width. Using a range of indicators, these pre...

Journal: :iranian economic review 0

in this paper, based on error correction model by using panel data, an empirical analysis of demand for international reserves for 16 islamic countries is investigated. besides addressing conventional issues, the model explicitly incorporates the impact of expected export revenues and the impact of the exchange rate system on reserve demand. the results reveal that, short run money market diseq...

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