|
|
|
|
This paper investigates a novel optimization problem motivated by sparse, sustainable and stable portfolio selection. The existing benchmark portfolio via the Dantzig type optimization is used to construct a sparse, sustainable and stable portfolio. Base...
ver más
|
|
|
|
|
|
|
|
|
|
|
Ke Ma, Libiao Bai, Yichen Sun, Tong Pan, Victor Shi and Yipei Zhang
Multiple internal conflicts and external emergencies can occur when an enterprise implements a project portfolio (PP), making the PP inevitably deviate from the enterprise?s strategic objectives. As a means of project portfolio change (PPC) that aims to ...
ver más
|
|
|
|
|
|
|
|
|
|
|
Apichat Chaweewanchon and Rujira Chaysiri
With the advances in time-series prediction, several recent developments in machine learning have shown that integrating prediction methods into portfolio selection is a great opportunity. In this paper, we propose a novel approach to portfolio formation...
ver más
|
|
|
|
|
|
|
|
|
|
|
Weiping Wu, Lifen Wu, Ruobing Xue and Shan Pang
This paper revisits the dynamic MV portfolio selection problem with cone constraints in continuous-time. We first reformulate our constrained MV portfolio selection model into a special constrained LQ optimal control model and develop the optimal portfol...
ver más
|
|
|
|
|
|
|
|
|
|
|
Masiala Mavungu,Evan Hurwitz,Tshilidzi Marwala
AbstractOrientation: This article is related to Financial Risk Management, Investment Management and Portfolio Optimisation.Research purpose: The aim is to compute optimal investment allocations from one period to another.Motivation of the study: Financi...
ver más
|
|
|
|
|
|
|
|
|
|
|
Camila Cardoso Pereira,Regis A. Ely,Cláudio Djissey Shikida
Pág. 611 - 634
We test the presence of the dividend month premium in the Brazilian stock market. This premium consists in the existence of abnormal returns when companies are predicted to issue a dividend. We build portfolios based on predicted dividends and estimate a...
ver más
|
|
|
|
|
|
|
|
|
|
|
Leonardo Lima Gomes,Luiz Eduardo Brandão,Antonio Carlos Figueiredo Pinto
Pág. 45 - 67
The Brazilian electric power industry has been undergoing significant structural changes, including the creation of a free market for electricity. To obtain above average margins, some firms attempt to increase profits by entering into uncovered trading ...
ver más
|
|
|
|
|
|
|
|
|
|
|
Bruno Ribeiro Castro,Andrea Maria Accioly Fonseca Minardi
Pág. 143 - 161
We intend to investigate whether active portfolio managers have higher security selection ability than passive managers in Brazil. We built net monthly historical returns and estimated gross historical returns series from January 1996 till October 2006 o...
ver más
|
|
|
|
|
|
|
|
|
|
|
Jules Clément Mba, Kofi Agyarko Ababio and Samuel Kwaku Agyei
This paper investigates the robustness of the conventional mean-variance (MV) optimization model by making two adjustments within the MV formulation. First, the portfolio selection based on a behavioral decision-making theory that encapsulates the MV sta...
ver más
|
|
|
|
|
|
|
|
|
|
|
Tihana ?krinjaric and Bo?ko ?ego
Due to the development of financial markets, products, financial and mathematical models, portfolio selection today represents a comprehensive set of activities. Investors take into consideration many different factors, such as the market factors, return...
ver más
|
|
|
|
|
|
|
|
|
|
|
Tihana ?krinjaric and Bo?ko ?ego
|
|
|
|
|
|
|
|
|
|
|
Yingxu Tian and Zhongyang Sun
|
|
|
|
|
|
|
|
|
|
|
Chanchal Kumar and Mohammad Najmud Doja
-
|
|
|
|
|
|
|
|
|
|
|
KHURAM SHAHZAD, YASIR BIN TARIQ
Pág. Page:58 - 66Abstract
|
|
|
|
|
|
|
|
|
|
|
Nadisah Zakaria,Fariza Hashim
Pág. 453 - 459
Graham?s stock selection criteria enable investors to be more cautious in selecting their portfolios in order to generate abnormal return. Graham?s model was widely examined in various developed market where the stock markets and companies are more matur...
ver más
|
|
|
|
|
|
|
|
|
|
|
Gabriel Matos Pereira,Leonardo Riegel Sant'Anna,Tiago Pascoal Filomena,João Luiz Becker
Pág. 288 - 324
Liquidity is an important issue in portfolio management. In 2012, the Brazilian market regulatory agency (CVM) started to require all banks and brokerages to maintain liquidity control of their portfolios. This study presents a liquidity constraint which...
ver más
|
|
|
|
|
|
|
|
|
|
|
Marcelo C. Medeiros,Artur M. Passos,Gabriel F. R. Vasconcelos
Pág. 257 - 284
In this paper we exploit the parametric portfolio optimization in the Brazilian market. Our data consists of monthly returns of 306 Brazilian stocks in the period between 2001 and 2013. We tested the model both in and out of sample and compared the resul...
ver más
|
|
|
|
|
|
|
|
|
|
|
João Frois Caldeira,Gulherme Valle Moura
Pág. 49 - 80
Statistical arbitrage strategies, such as pairs trading and its generalizations, rely on the construction of mean- reverting spreads with a certain degree of predictability. This paper applies cointegration tests to identify stocks to be used in pairs tr...
ver más
|
|
|
|
|
|
|
|
|
|
|
Oswaldo Luiz do Valle Costa,Rodrigo de Barros Nabholz
Pág. pp. 101 - 121
In a recent paper, Li and Ng (2000) considered the multi-period mean variance optimization problem, with investing horizon T, for the case in which only the final variance Var(V(T)) or expected value of the portfolio E(V(T)) are considered in the optimiz...
ver más
|
|
|
|
|
|
|
|
|
|
|
K. J. Carter,J. F. Affleck-Graves,A. H. Money
AbstractThe application of the standard techniques of portfolio selection on the 34 sectors comprising the JSE All Share index is undertaken for the three equal non-overlapping five-year periods between February 1965 and January 1980. Efficient portfolio...
ver más
|
|
|
|
|
|