نتایج جستجو برای: portfolio allocation
تعداد نتایج: 98994 فیلتر نتایج به سال:
There is a variety of models for portfolio selection. However, in portfolio theory applications little or no attention is paid to the cardinality problem. In this paper, an algorithm for dealing with this problem is presented. The proposed allocation algorithm is implemented in a software system, which is based on the Fuzzy Logic Q-measure Model and manages financial investments in real time. T...
We introduce the concept of virtual volatility. This simple but new measure shows how to quantify the uncertainty in the forecast of the drift component of a random walk. The virtual volatility also is a useful tool in understanding the stochastic process for a given portfolio. In particular, and as an example, we were able to identify mean reversion effect in our portfolio. Finally, we briefly...
This paper studies consumption and portfolio choice under incomplete markets and parameter uncertainty. I establish the necessary conditions under which the investor’s optimization problem under incomplete markets can be transformed into a complete markets problem. This paper extends the literature on asset allocation by obtaining closed form solutions to the consumption and portfolio problem o...
We introduce the concept of virtual volatility. This simple but new measure shows how to quantify the uncertainty in the forecast of the drift component of a random walk. The virtual volatility also is a useful tool in understanding the stochastic process for a given portfolio. In particular, and as an example, we were able to identify mean reversion effect in our portfolio. Finally, we briefly...
Software cost estimation is a crucial task in software project portfolio decisions like start scheduling, resource allocation, or bidding. A variety of estimation methods have been proposed to support estimators. Especially the analogy-based approach—based on a project’s similarities with past projects—has been reported as both efficient and relatively transparent. However, its performance was ...
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