搜索结果: 1-15 共查到“理论经济学 Portfolio”相关记录68条 . 查询时间(0.062 秒)
Worst-case risk of a portfolio
Numerical calculation portfolio risk return on assets average semidefinite programming
2015/8/11
We show how to compute in a numerically efficient way the maximum risk of a portfolio, given uncertainty in the means and covariances of asset returns. This is a semidefinite programming problem, and ...
Optimal Portfolio Rules in Continuous Time When the Nonnegativity Constraint on Consumption is Binding
Optimal Portfolio Rules Continuous Time Consumption Binding
2015/5/13
Optimal Portfolio Rules in Continuous Time When the Nonnegativity Constraint on Consumption is Binding.
Visualizing and Measuring Software Portfolio Architectures:A Flexibility Analysis
Design Structure Matrices Software Architecture Flexibility Software Application Portfolio
2015/4/29
In this paper, we test a method for visualizing and measuring software portfolio architectures and use our measures to predict the costs of architectural change. Our data is drawn from a biopharmaceut...
Fiscal Risk and the Portfolio of Government Programs
Risk Management Programs Government and Politics
2015/4/29
This paper proposes a new approach to social cost-benefit analysis using a model in which a benevolent government chooses risky projects in the presence of market failures and tax distortions. The gov...
Effcts of Diffrent Methods of Aggregation of Probabilities on the R&D Investment Portfolio for Optimal Emissions Abatement: An Empirical Evaluation
Probabilities on the R&D Investment Portfolio Optimal Emissions Abatement An Empirical Evaluation
2014/10/22
This thesis examines two possible orders of combining multiple experts in elicitations with multiple de-composed events: Should experts be combined early or later in the decision process? This thesis ...
I illustrate the effect of financial innovation on portfolio risks by using an example with risk-sharing needs and belief disagreements. I consider two types of innovation: product innovation, formali...
Dynamic Portfolio Analysis and Its Application to the Problem of Export Diversification
Dynamic Portfolio Analysis Its Application to the Problem of Export Diversification
2014/3/24
Dynamic Portfolio Analysis and Its Application to the Problem of Export Diversification。
Optimization Method for Interval Portfolio Selection Based on Satisfaction Index of Interval inequality Relation
Interval portfolio selection satisfaction index semiabsolute deviation risk parametric linear programming
2012/9/14
In this paper we consider an interval portfolio selection problem with uncertain returns and introduce an inclusive concept of satisfaction index for interval inequality relatio...
On-Line Portfolio Selection with Moving Average Reversion
Portfolio Selection Moving Average Reversion
2012/9/14
On-line portfolio selection has attracted in-creasing interests in machine learning and AI communities recently. Empirical evidence show that stock’s high and low prices are temporary and stock price ...
Alpha Representation For Active Portfolio Management and High Frequency Trading In Seemingly Efficient Markets
market timing empirical alpha process unobserved portfolio strategies martingale system behavioural finance high frequency trading Brownian bridge Jensen’salpha portable alpha
2012/9/14
We introduce a trade strategy representation theorem for performance measurement and portable alpha in high fre-quency trading, by embedding a robust trading algorithm that describe portfolio manager ...
Portfolio optimization with insider's initial information and counterparty risk
asymmetric information enlargement of filtrations counterparty risk optimal investment duality dynamic programming.
2012/9/14
We study the gain of an insider having private information which concerns the default risk of a counterparty. More precisely, the default time τ is modelled as the first time a stochastic process hits...
Portfolio Choice with Transaction Costs: a User's Guide
transaction costs long-run, portfolio choice Merton problem.
2012/9/14
Recent progress in portfolio choice has made a wide class of problemsinvolving transaction costs tractable. We review the basic approach to these problems,and outline some directions for future resear...
The Long Neglected Critically Leveraged Portfolio
The Long Neglected Critically Leveraged Portfolio
2012/9/14
We show that the ecient frontier for a portfolio in which short positions precisely o set the long ones is composed of a pair of straight lines through the origin of the risk-return plane. This uniqu...
On the Exact Solution of the Multi-Period Portfolio Choice Problem for an Exponential Utility under Return Predictability
multi-period asset allocation expected utility optimization exponential utility func-tion return predictability.
2012/9/14
In this paper we derive the exact solution of the multi-period portfolio choice problem for an exponential utility function under return predictability. It is assumed that the asset returns depend on ...
On the Equivalence of Quadratic Optimization Problems Commonly Used in Portfolio Theory
investment analysis mean-variance analysis parameter uncertainty interval estimation test theory.
2012/9/14
In the paper, we consider three quadratic optimization problems which are frequently applied in portfolio theory, i.e, the Markowitz mean-variance problem as well as the problems based on the mean-var...