DEA-Risk Efficiency and Stochastic Dominance Efficiency of Stock Indices.
In this article, we deal with the efficiency of world stock indices. Basically, we compare three
approaches: mean-risk, data envelopment analysis (DEA), and stochastic dominance (SD) …
approaches: mean-risk, data envelopment analysis (DEA), and stochastic dominance (SD) …
Stock portfolio selection under unstable uncertainty via fuzzy mean-semivariance model
A Borovička - Central European Journal of Operations Research, 2022 - Springer
Investment decision making, or portfolio selection, can be a complicated process affected by
many factors. However, there is no doubt that two aspects are usually understood by …
many factors. However, there is no doubt that two aspects are usually understood by …
[PDF][PDF] Portfolio optimization with hedge funds: Conditional value at risk and conditional draw-down at risk for portfolio optimization with alternative investments
S Jöhri - 2004 - research-collection.ethz.ch
Portfolio optimization with hedge funds Page 1 ETH Library Portfolio optimization with
hedge funds Conditional value at risk and conditional draw-down at risk for portfolio …
hedge funds Conditional value at risk and conditional draw-down at risk for portfolio …
[PDF][PDF] Introducing a relational network DEA model with stochastic intermediate measures for portfolio optimization
Conflict intermediate measures in DEA models, especially in constraint and open the black
box, is the main difference between traditional DEA and network DEA models. Furthermore …
box, is the main difference between traditional DEA and network DEA models. Furthermore …
Diversifying Trends
C Chevalier, S Darolles - Econometrics and Statistics, 2021 - Elsevier
A new method is proposed for disentangling the systematic components from the
idiosyncratic components of risk associated with trend-following strategies. A simple …
idiosyncratic components of risk associated with trend-following strategies. A simple …
[LIVRE][B] Empirical analysis of optimization algorithms for portfolio allocation
A Bolin - 2013 - search.proquest.com
Portfolio optimization algorithms were tested using historical S&P100 data. A traditional
Mean-Var algorithm is tested as well as two alternative risk methods. The alternative risk …
Mean-Var algorithm is tested as well as two alternative risk methods. The alternative risk …
Piaci kockázat és diverzifikáció a hazai tőkepiacon
Á KÓBOR - SZIGMA Matematikai-közgazdasági folyóirat, 2006 - journals.lib.pte.hu
A p¶ enzÄugyi piaci eszkÄozÄok illetve kock¶ azati faktorok kovariancia m¶ atrixa kritikus
szerepet j¶ atszik mind az optim¶ alis eszkÄozallok¶ aci¶ o meghat¶ aroz¶ as¶ aban, mind …
szerepet j¶ atszik mind az optim¶ alis eszkÄozallok¶ aci¶ o meghat¶ aroz¶ as¶ aban, mind …
[CITATION][C] 1 Bevezet¶ es
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