Buscar
Mostrando ítems 11-20 de 1227
Mean-variance portfolio selection with the ordered weighted average
(IEEE, 2017)
Portfolio selection is the theory that studies the pro-cess of selecting the optimal proportion of different assets. The firstapproach was introduced by Harry Markowitz and was based ona mean-variance framework. This paper ...
OWA Operators in Portfolio Selection
(Springer, 2015)
Portfolio choice is the process of selecting the optimal proportion of
various assets. One of the most well-known methods is the mean-variance approach
developed by Harry Markowitz. This paper introduces the ordered ...
Uncertainty times for portfolio selection at financial market
(2018-03)
The financial market presents non-linearities for the behavior of stock returns for periods of high and low market. This article studies portfolios whose variance-covariance matrices are estimates using a multivariate model ...
Proposal and Solution of a Mixed-Integer Nonlinear Optimization Model That Incorporates Future Preparedness for Project Portfolio Selection
(2019-01-01)
In the context of project management, the attention given to project portfolio management has increased in recent years. The use of mathematical programming for portfolio management is also on the rise, because it integrates ...
Aplicação de machine learning na pré-seleção de ativos para portfólios de investimento
(2021)
Este trabalho buscou avaliar o impacto de técnicas de Machine Learning junto a estratégias de momento na pré-seleção de ativos financeiros para portfólios de investimentos no mercado brasileiro. Foram utilizados modelos ...
A note on the estimation of minimum tracking error portfolios
(Sociedade Brasileira de Econometria, 2020)
Portfolio performance of linear SDF models: an out-of-sample assessment
(Routledge, 2018)
We evaluate linear stochastic discount factor models using an ex-post portfolio metric: the realized
out-of-sample Sharpe ratio of mean–variance portfolios backed by alternative linear factor models.
Using a sample of ...