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A Bayesian Information Criterion for Portfolio Selection
Bayesian Information Criterion Minimal Variance Portfolio Portfolio Selection Risk Diversification Selection Consistency
2016/1/19
The mean-variance theory of Markowitz (1952) indicates that large invest-ment portfolios naturally provide better risk diversification than small ones.However, due to parameter estimation errors, one ...
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 ...
Portfolio Optimization with Linear and Fixed Transaction Costs
Portfolio Optimization Linear Fixed Transaction Costs
2015/7/10
We consider the problem of portfolio selection, with transaction costs and constraints on exposure to risk. Linear transaction costs, bounds on the variance of the return, and bounds on different shor...
Multi-Period Portfolio Optimization with Constraints and Transaction Costs
Multi-Period Portfolio Optimization Constraints Transaction Costs
2015/7/9
We consider the problem of multi-period portfolio optimization over a finite horizon, with a self-financing budget constraint and arbitrary distribution of asset returns, with objective to minimize th...
Operation and Configuration of a Storage Portfolio via Convex Optimization
Convex optimization Predictive control Energy management systems
2015/7/9
We consider a portfolio of storage devices which is used to modify a commodity flow so as to minimize an average cost function. The individual storage devices have different parameters that characteri...
Labor Supply Flexibility and Portfolio Choice in a Life-Cycle Model
Labor Supply and Industry Investment Decision Choices and Conditions
2015/5/14
Labor Supply Flexibility and Portfolio Choice in a Life-Cycle Model.
上海财经大学国际工商管理学院战略管理课件Lecture 4 Business Portfolio Analysis
上海财经大学国际工商管理学院 战略管理 课件 Lecture 4 Business Portfolio Analysis
2014/7/16
上海财经大学国际工商管理学院战略管理课件Lecture 4 Business Portfolio Analysis。
Robust portfolio optimization using pseudodistances
Robustness and sensitivity analysis portfolio optimization
2013/6/14
The presence of outliers in financial asset returns is a frequently occuring phenomenon and may lead to unreliable mean-variance optimized portfolios. This fact is due to the unbounded influence that ...
Balancing Risk and Return in a Customer Portfolio
customer portfolio management financial portfolio theory market segmentation market-based assets
2011/10/6
Marketing managers can increase shareholder value by structuring a customer portfolio to reduce the vulnerability and volatility of cash flows. This article demonstrates how financial portfolio theory...
Risk,VaR,CVaR and their associated Portfolio Optimizations when Asset Returns have a Multivariate Student T Distribution
VaR CVaR Portfolio Optimization VaR Optimization CVaR Optimization Optimisation
2011/3/25
We show how to reduce the problem of computing VaR and CVaR with Student T return distributions to evaluation of analytical functions of the moments. This allows an analysis of the risk properties of ...
An analysis of portfolio management in new product development: a case study in a truck company
portfolio management new product development automotive industry
2009/12/1
The purpose of this paper is to describe a case study in portfolio management and new product development in an automotive company in Brazil. Empirical data was obtained by a number of sources mostly ...
Current project portfolio management practices: A case study
portfolio management decision support making portfolio selection
2009/12/1
The current portfolio literature describes diverse approaches concerning the techniques of classification, selection, prioritization, and project management. The main objective of this article is to i...
Portfolio Management--A Case Study in the Food Industry
Portfolio management product development process and food industry
2009/12/1
The product development process is considered a strategic function for the organizations. In order to survive and be profitable in a competitive environment, companies adopt portfolio management. It i...
Looking for the right criteria to define projects portfolio: Multiple case study analysis
portfolio management decision making support project selection
2009/12/1
This study aims to analyze the main criteria involved in the process of selection and prioritization of projects portfolio in Brazilian companies and compare them to those found in the project managem...
PORTFOLIO REBALANCING TO OVERCOME BEHAVIORAL MISTAKES IN INVESTING
Investment performance portfolio rebalancing behavioral finance
2009/11/30
The negative impact of emotion-driven investing upon long-term wealth
can be devastating. This article examines the benefits of portfolio rebalancing to
help investors achieve their investment go...