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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.
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...
A Goal Programming Model for Optimal Portfolio Diversification
Set-valued risk measure portfolio optimization multi-criteria optimization goal programming
2012/3/2
We present a goal programming model for risk minimization of a financial portfolio managed by an agent subject to different possible criteria. We extend the classical risk minimization model with scal...
The Effects of Market Properties on Portfolio Diversification in the Korean and Japanese Stock Markets
Market Properties Portfolio Diversification Stock Markets
2010/10/29
In this study, we have investigated empirically the effects of market properties on the degree of diversification of investment weights among stocks in a portfolio. The weights of stocks within a port...
Thy Neighbor's Portfolio: Word-of-Mouth Effects in the Holdings and Trades of Money Managers
Thy Neighbor's Portfolio Word-of-Mouth Effects Trades Money Managers
2014/3/18
Amutual fund manager is more likely to buy (or sell) a particular stock in any quarter if other managers in the same city are buying (or selling) that same stock. This pattern shows up even when the f...