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Advanced Search Results For "markowitz model"

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 "markowitz model"
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Using the Fundamental Analysis Method to Create a Matrix of Investor Views in the Black Literman Optimization Model and Comparing its Performance with Existing Models

Publication Type: Academic Journal

Source(s): راهبرد مدیریت مالی, Vol 10, Iss 3, Pp 77-94 (2022)

Abstract: Modern investment management began with Markowitz's theory on how to select an optimal portfolio based on the mean-variance model, and then continued with various optimization methods such as conditional value at risk model, half-variance model, and th...

Portfolio optimization using modified Markowitz model based on CO-GARCH modeling compared to the market

Publication Type: Academic Journal

Source(s): اقتصاد باثبات, Vol 3, Iss 2, Pp 69-82 (2022)

Abstract: Portfolio optimization and deciding which stocks deserve to be included in the investment portfolio and how to allocate capital are complex issues. Theoretically, the selection of the stock portfolio in the case of risk minimization can be solved Using...

Investment Risk Analysis for Green and Sustainable Planning of Rural Family: A Case Study of Tibetan Region

Publication Type: Academic Journal

Source(s): Sustainability, Vol 14, Iss 11822, p 11822 (2022)

Abstract: In China, Tibetan areas have generally high altitudes and abnormal climates, and many areas have faced a variety of risks such as food security, land degradation disasters, and diseases. The Tibetan region’s economic development level is lower than tha...

Optimization of Stock Portfolio Using the Markowitz Model in the Era of the COVID-19 Pandemic

Publication Type: Academic Journal

Source(s): TIJAB (The International Journal of Applied Business), Vol 5, Iss 1, Pp 37-50 (2021)

Abstract: Stocks are one of the popular investment instruments traded in the capital market. The popularity of stock purchase has developed along with the massive financial literacy movement. However, the massiveness of this movement must be balanced with knowle...

Comparison of the Performance of Genetic and Hunting Search Algorithms in Portfolio Optimization Using Mean-Variance Model Based on Fuzzy Logic in Tehran Stock Exchange

Publication Type: Academic Journal

Source(s): فصلنامه بورس اوراق بهادار, Vol 13, Iss 52, Pp 71-95 (2021)

Abstract: Asset return is associated with uncertainty and always occurs during unexpected fluctuations in economic, social and political conditions, and so forth. In return on assets such as stocks. Fuzzy logic can be one of the best options for modelling asset ...

An overview of portfolio optimization using fuzzy data envelopment analysis models

Publication Type: Academic Journal

Source(s): Journal of Fuzzy Extension and Applications, Vol 1, Iss 3, Pp 180-188 (2020)

Abstract: A combination of projects, assets, programs, and other components put together in a set is called a portfolio. Arranging these components helps to facilitate the efficient management of the set and subsequently leads to achieving the strategic goals. G...

SAIPO-TAIPO and Genetic Algorithms for Investment Portfolios

Publication Type: Academic Journal

Source(s): Axioms, Vol 11, Iss 42, p 42 (2022)

Abstract: The classic model of Markowitz for designing investment portfolios is an optimization problem with two objectives: maximize returns and minimize risk. Various alternatives and improvements have been proposed by different authors, who have contributed t...

Performance Gauging of Portfolio: Luenberger Distance Function Approach on Sarajevo Stock Exchange

Publication Type: Academic Journal

Source(s): South East European Journal of Economics and Business, Vol 14, Iss 1, Pp 92-100 (2019)

Abstract: Efficiency measurement of economic phenomena is of great importance to economists. Known terms and concepts from microeconomic theory and Data Envelopment Analysis regarding efficiency have been developed and adapted to cater to different questions and...

The CAPM and beta in an imperfect market.

Publication Type: Academic Journal

Source(s): Journal of Portfolio Management. Winter80, Vol. 6 Issue 2, p5-11. 7p.


Abstract: The article presents information on the Capital Asset Pricing Model (CAPM) developed on the basis of the pioneering work of Harry Markowitz. The basis of the CAPM is questionable at the critical point where it argues that the well known beta provides a...

Selecting Optimal Portfolio Using Multi-objective Extended Markowitz Model and Harmony Search Algorithm

Publication Type: Academic Journal

Source(s): تحقیقات مالی, Vol 18, Iss 3, Pp 483-504 (2016)

Abstract: Morkowitz model is one of the well-known models in portfolio selection problem. This paper presents an extended version of Markowitz mean semi variance portfolio selection model. The extended model considers sets of constraints including cardinality, b...