The present study is an attempt toward evaluating the performance of portfolios and assets selecting using modified mean-variance models by utilizing a non-parametric efficiency analysis tool, namely Data Envelopment Analysis (DEA). Huge amounts of money are being invested in financial market. As a result, portfolio performance evaluation has created a great deal of interest among people. We kn...

Taxation and risk taking are examined in a general equilibrium mode/ that incorporates uncertain government revenue and allows the government to influence risk through portfolio investments as well as through tax r policy. It is demonstra ted that each of a wide range of taxes can be decomposed into some combina tion of a wage tax, an ex ante wealth tax, and a modification of the government’s i...

s: In this paper, we define the portfolio return as fuzzy average yield and risk as hybrid-entropy and variance to deal with the portfolio selection problem with both random uncertainty and fuzzy uncertainty, and propose a mean-variance hybrid-entropy model (MVHEM). A multi-objective genetic algorithm named Non-dominated Sorting Genetic Algorithm II (NSGA-II) is introduced to solve the model. W...

background: the modern electronic technologies have had a deep impact on traditional methods of education and brought forth new methods for effective education. electronic portfolio is one of the newest methods of teaching. therefore, the purpose of the present research was to study the impact of using e-portfolio on nursing students' learning in physiology course. methods: the design of t...

An adaptive supervised learning decision (ASLD) trading system has been presented by Xu and Cheung (1997) to optimize the expected returns of investment without considering risks. In this paper, we propose an extension of the ASLD system (EASLD), which combines the ASLD with a portfolio optimization scheme to take a balance between the expected returns and risks. This new system not only keeps ...

Building a portfolio of deformations is the key step for building better defect models for the test and yield learning domain. A viable approach to achieve this goal is through geometric characterization and classification of failure patterns found on memory fail bitmaps. In this paper, we present preliminary results on how to build such a portfolio of deformations for an IC technology of inter...

The demand for durable goods is more cyclical than that for nondurable goods and services. Consequently, the cash flow and stock returns of durable-good producers are exposed to higher systematic risk. Using the benchmark input-output accounts of the National Income and Product Accounts, we construct portfolios of durablegood, nondurable-good, and service producers. In the cross-section, an inv...

A model based on information theory, which allows yield managers to determine optimal portfolio of yield analysis technologies for both the R&D and volume production environments, is presented. The information extraction per experimentation cycle and information extraction per unit time serve as benchmarking metrics for yield learning. They enable yield managers to make objective comparisons of...

In estimating the inputs into the Modern Portfolio Theory (MPT) portfolio optimisation problem it is usual to use equal weighted historic data. Equal weighting of the data, however, does not take account of the current state of the market. Consequently this approach is unlikely to perform well in any subsequent period as the data is still reflecting market conditions that are no longer valid. T...

This paper develops a nonparametric approach to examine how portfolio and consumption choice depends on variables that forecast time-varying investment opportunities. I estimate single-period and multiperiod portfolio and consumption rules of an investor with constant relative risk aversion and a one-month to 20year horizon. The investor allocates wealth to the NYSE index and a 30-day Treasury ...