نتایج جستجو برای: portfolio analysis

تعداد نتایج: 2839416  

2004
Miguel Angel Canela Eduardo Pedreira Collazo

In the presence of skewness, portfolio selection requires to consider competing and conflicting objectives. We utilize polynomial goal programming to determine the optimal portfolio from emerging markets industries. The first part of this paper is concerned with an industry level analysis of the effects of portfolio selection when the skewness is taken into account. The second part of the paper...

Journal: :Jurnal Ekonomi & Keuangan Islam 2023

Purpose – This study aims to analyze the actual portfolio of BPKH from hajj fund investment and examine optimization for based on PP No.5 Tahun 2018.Methodology The data used in this was quarterly form price coupon Sukuk instruments equivalent yield rate Sharia deposits. uses Markowitz Diversification method with Tangency Portfolio model as a determine optimal portfolio. Findings result showed ...

Journal: :Risk analysis : an official publication of the Society for Risk Analysis 2004
Joost Reyes Santos Yacov Y Haimes

The analysis of risk-return tradeoffs and their practical applications to portfolio analysis paved the way for Modern Portfolio Theory (MPT), which won Harry Markowitz a 1992 Nobel Prize in Economics. A typical approach in measuring a portfolio's expected return is based on the historical returns of the assets included in a portfolio. On the other hand, portfolio risk is usually measured using ...

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...

Journal: :international journal of finance, accounting and economics studies 0

in this research, performance of portfolios formed by use of grid strategy based on new variables (aggressive, indifference and defensive stocks) presented by rahnamaye roodposhti (1388), and traditional ones (growth, growth-value and value stocks), calculated with sharpe and treynor performance measures and tested by an active portfolio management approach to identify the portfolios by perform...

Journal: :journal of optimization in industrial engineering 2013
mostafa nikkhah nasab amir abbas najafi

projects scheduling by the project portfolio selection, something that has its own complexity and its flexibility, can create different composition of the project portfolio. an integer programming model is formulated for the project portfolio selection and scheduling.two heuristic algorithms, genetic algorithm (ga) and simulated annealing (sa), are presented to solve the problem. results of cal...

2013
Tobias Fasth Aron Larsson

Techniques enabling decision makers to identify a set of non-mutually exclusive projects (or alternatives) constituting a portfolio, while allowing for imprecise information with respect to projects’ benefits, costs, and overall resource constraints, have emerged as an area of great applicability. To reach applicability, reasonable and computationally meaningful decision evaluation methods are ...

Portfolio assessment as one of the alternatives to testing is defined as the systematic collection of student work measured against predetermined scoring criteria. This paper aimed to investigate the effect of portfolio assessment in the oral performance of EFL learners in an attempt to examine its impact on their metadiscourse awareness. To determine the impact of portfolio assessment on the o...

Journal: :Journal of Information Processing and Management 2008

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