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Abdul Malek Yaakob, Shahira Shafie, Alexander Gegov, Siti Fatimah Abdul Rahman and Ku Muhammad Naim Ku Khalif
Large-scale group decision-making (LSGDM) has become common in the new era of technology development involving a large number of experts. Recently, in the use of social network analysis (SNA), the community detection method has been highlighted by resear...
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Zhaohui Li, Yujin Huang, Fan Yang, Yi Li, Yan Fang and Rui Fu
?Port?hinterland synergy? means the development of port and hinterland should promote each other. The ?dual circulation? development pattern indicates the requirement of exploring the domestic transportation demand and promoting the integration between p...
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Mirza Sikalo, Almira Arnaut-Berilo and Azra Zaimovic
In this paper, we compared the models for selecting the optimal portfolio based on different risk measures to identify the periods in which some of the risk measures dominated over others. For decades, the best known return-risk model has been Markowitz?...
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HAZRAT ALI, YASIR BIN TARIQ, DILDAR KHAN JADOON
Pág. Page:33 - 38Abstract
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Michael D. Mattei
After diversification, periodic portfolio rebalancing has become one of the most widely practiced methods for reducing portfolio risk and enhancing returns. Most of the rebalancing strategies found in the literature are generally regarded as contrarian a...
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Bruno Ferman,Maurício Silveira Lersch,Claudia Emiko Yoshinaga
Pág. 7 - 24
This article analyzes the portfolio allocation of investors in their employer's shares in order to verify whether it exists a version of home bias. Our sample comprises investors of a Brazilian broker. The proportion of allocation on the shares of their ...
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Adam Zaremba
Pág. 18 - 36
The study concentrates on the benefits of passive commodity investments in the context of the phenomenon of financialization. The research investigates the implications of increase in the correlation coefficients between equity and commodity investments ...
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Thomas S. Howe,Ralph A. Pope
Pág. 33 - 49
This study uses empirical resampling to examine the risk of three of Perold and Sharpe?s (1988) dynamic asset allocation strategies--Buy and hold, Constant mix, and Constant Proportion Portfolio Insurance (CPPI). Generally we find greater risk from...
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Thomas S. Howe,Ralph A. Pope
Pág. 33 - 49
This study uses empirical resampling to examine the risk of three of Perold and Sharpe?s (1988) dynamic asset allocation strategies--Buy and hold, Constant mix, and Constant Proportion Portfolio Insurance (CPPI). Generally we find greater risk from...
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Alexandre Rubesam,André Lomonaco Beltrame
Pág. 81 - 118
We investigate minimum variance portfolios in the Brazilian equity market using different methods to estimate the covariance matrix, from the simple model of using the sample covariance to multivariate GARCH models. We compare the performance of the mini...
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Rafael Felipe Schiozer,Diego Lins de Albuquerque Pennachi Tejerina
Pág. 527 - 558
This study investigates the impact of asset allocation on the net flow of fixed income funds in the Brazilian market, by exploiting the exogenous variation in the risk perception of bank liabilities (CDs) caused by the financial turmoil that followed Leh...
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Kun Huang, Qiuge Yao and Chong Li
Given ongoing financial disintermediation and the need for central banks to establish interest rate corridors, commercial banks have increasingly enriched their asset allocation choices, forming an allocation pattern that combines traditional credit asse...
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John Board, Charles Sutcliffe
Pág. 87 - 118
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John Weirstrass Muteba Mwamba and Sutene Mwambetania Mwambi
This paper investigates the dynamic tail dependence risk between BRICS economies and the world energy market, in the context of the COVID-19 financial crisis of 2020, in order to determine optimal investment decisions based on risk metrics. For this purp...
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Barbara Alemanni and Pierpaolo Uberti
The aim of financial institutions and regulators is to find an effective way to measure the risk profile of different segments of investors. Both economists and psychologists developed several methodologies to elicit and assess individual risk attitude, ...
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Operations and maintenance optimization are primary issues in Facility Management (FM). Moreover, the increased complexity of the digitized assets leads Facility Managers to the adoption of interdisciplinary metrics that are able to measure the peculiar ...
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Adriaan E. Pask,Johan Marx
AbstractOrientation: National Treasury acknowledges that 90% of all South African retirees will not have adequate financial resources in order to sustain themselves.Research purpose: This study aimed to address the retirement income shortfall by assessin...
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Paulo Coutinho,Benjamin Miranda Tabak
Pág. pp. 243 - 270
We use a mean-variance model to analyze the problem of decentralized portfolio management. We find the solution for the optimal portfolio allocation for a head trader operating in n different markets, which is called the optimal centralized portfolio. Ho...
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Hany Fahmy
Pág. 169 - 184
The issue of market e¢ ciency attracted the attention of academicians since the existence of financial markets. Over time, two schools of thoughts were established: the efficient markets school and the behavioral finance school. Proponents of the former ...
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Mariem Talbi,Adel Boubaker,Saber Sebai
Pág. 387 - 407
The paper aims to test the existence of financial contagion between foreign stock markets of several emerging and developed countries during the U.S subprime crisis. It empirically attests for contagion through a DCC MGARCH (1.1) and an adjuste...
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