نتایج جستجو برای: risk response selection project portfolio risk management
تعداد نتایج: 3011493 فیلتر نتایج به سال:
in traditional portfolio selection model coefficients often are certain and deterministic, but in real world these coefficients are probabilistic. so decision maker cannot estimate them exactly. financial optimization is one of the most attractive areas in decision under uncertainty. in the portfolio selection problem the decision maker considers simultaneously conflicting objectives such as ra...
In this article, we explore whether relative risk aversion varies with wealth. First, we derive theoretical predictions on how risky shares respond to wealth fluctuations in a portfolio choice model with both external habits and time-varying labor income. Our analytical results indicate that: (1) for each household, there are two channels through which the risky share responds to wealth fluctua...
We consider the problem of constructing a portfolio of finitely many assets whose returns are described by a discrete joint distribution. We propose mean–risk models which are solvable by linear programming and generate portfolios whose returns are nondominated in the sense of second-order stochastic dominance. Next, we develop a specialized parametric method for recovering the entire mean–risk...
This paper extends the benchmark framework of Platen (2002) and Platen (2004b). It introduces a sequence of incomplete markets, having uncertainty driven by an m-dimensional Wiener Process and a marked point process. By introducing an idealized market, in which all relevant economical variables are observed, but may not all be traded, a generalized growth optimal portfolio (GOP) is obtained and...
<span style="color: #000000; font-family: Tahoma, sans-serif; font-size: 13px; font-style: normal; font-variant: normal; font-weight: normal; letter-spacing: normal; line-height: normal; orphans: auto; text-align: justify; text-indent: 0px; text-transform: none; white-space: normal; widows: auto; word-spacing: 0px; -webkit-text-stroke-width: 0px; display: inline !important; float: none; backgro...
The subject of this article is project portfolio risk categorisation. Research conducted indicated categories containing the most probable and significant risks. research described in paper was carried out two stages. In first stage, relevant literature reviewed Delphi method used to identify 36 risks specific a portfolio. second respondents (project managers) assessed probability each occurrin...
The most important aim of every project is on time completion, budget consideration and reaching the highest possible quality, based on contract. This paper suggests a methodology for risk management in engineering, procurement, and construction (EPC) projects. Risk management enables project teams to perform with minimum deviation from predetermined goals. The proposed methodology identifies a...
While online convex optimization has emerged as a powerful large scale optimization approach, much of existing literature assumes a simple way to project onto a given feasible set. The assumption is often not true, and the projection step usually becomes the key computational bottleneck. Motivated by applications in risk-adjusted portfolio selection, in this paper we consider online quadratical...
<span style="color: #000000; font-family: Tahoma, sans-serif; font-size: 13px; font-style: normal; font-variant: normal; font-weight: normal; letter-spacing: normal; line-height: normal; orphans: auto; text-align: justify; text-indent: 0px; text-transform: none; white-space: normal; widows: auto; word-spacing: 0px; -webkit-text-stroke-width: 0px; display: inline !important; float: none; backgro...
نمودار تعداد نتایج جستجو در هر سال
با کلیک روی نمودار نتایج را به سال انتشار فیلتر کنید