نتایج جستجو برای: portfolio analysis

تعداد نتایج: 2839416  

Journal: :International Journal of Financial Studies 2022

Mean-variance optimization often leads to unreasonable asset allocations. This problem has forced scholars and practitioners alike introduce portfolio constraints. The scope of our study is verify which type constraint more suitable for achieving efficient performance. We have applied the main techniques developed by financial community, including classical weight, flexible, norm-based, varianc...

Journal: :BCP business & management 2022

Since the beginning of 21st century, there have been many excellent fund managers, but asset portfolios are rare. Therefore, it is great interests to implement in-depth investigations on this issue. In paper, Markowitz model and Index selected measure returns volatility ten different assets get a better result. At same time, according preferences customers, five constraints meet characteristics...

Journal: :The Journal of Business 1988

Journal: :Journal of Economic Dynamics and Control 2008

Journal: :SSRN Electronic Journal 2003

Journal: :Journal of International Economics 1977

Journal: :Journal of Risk and Financial Management 2019

2009
Doron Avramov Guofu Zhou

Journal: :European Journal of Operational Research 1999
Liping Liu

This paper presents a portfolio selection model based on the idea of approximation. The model describes a portfolio by its decumulative distribution curve and a preference structure by a family of convex indi€erence curves. It prescribes the optimal portfolio as the one whose decumulative curve has the highest tangent indi€erence curve. The model extends the mean±variance model in the sense tha...

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