Measuring downside risk-realised semivariance

OE Barndorff-Nielsen, S Kinnebrock… - CREATES Research …, 2008 - papers.ssrn.com
We propose a new measure of risk, based entirely on downwards moves measured using
high frequency data. Realised semivariances are shown to have important predictive …

Wasserstein solution quality and the quantum approximate optimization algorithm: a portfolio optimization case study

JS Baker, SK Radha - arXiv preprint arXiv:2202.06782, 2022 - arxiv.org
Optimizing of a portfolio of financial assets is a critical industrial problem which can be
approximately solved using algorithms suitable for quantum processing units (QPUs). We …

Fuzzy portfolio optimization

P Gupta, MK Mehlawat, M Inuiguchi… - Studies in fuzziness and …, 2014 - Springer
STUDFUZZ 316 - Fuzzy Portfolio Optimization Page 1 Fuzzy Portfolio Optimization Pankaj Gupta
Mukesh Kumar Mehlawat Masahiro Inuiguchi Suresh Chandra Advances in Hybrid Multi-criteria …

Expected value multiobjective portfolio rebalancing model with fuzzy parameters

P Gupta, G Mittal, MK Mehlawat - Insurance: Mathematics and Economics, 2013 - Elsevier
In this paper we develop a multicriteria credibilistic framework for portfolio rebalancing. We
use an expected value model with fuzzy parameters considering return, risk and liquidity as …

Historical development of portfolio theory

MM Leković - Tehnika, 2021 - scindeks.ceon.rs
Portfolio theory occupies an essential place in modern finance, while portfolio management
grounded on its achievements has been recognized as one of the main tasks of financial …

[PDF][PDF] Evaluation of Shareholders' Overreaction and its Comparison in Small Ad Large Companies (Case Study: Accepted Companies in Tehran Stock Exchange)

G Golarzi, K Danayi - Journal of Financial Management Perspective, 2019 - jfmp.sbu.ac.ir
Portfolio selection is one of the most concerns of any investor and the goal is to distribute the
capital in different assets in such a way that it has the highest rate of return with considering …

[PDF][PDF] Risk measurement in post-modern portfolio theory: differences from modern portfolio theory

C Geambasu, R Sova, I Jianu… - … & Economic Cybernetics …, 2013 - researchgate.net
In the context of financial crises, the risk measurement is one of the top issues debated by
practitioners and financial research studies. Standard deviation represents a largely used …

Better safe havens during COVID-19: a comparison between Islamic and selected financial assets

HB Haddad, N Trabelsi - Journal of Islamic Monetary Economics and …, 2021 - jimf-bi.org
This study examines the safe haven properties of six assets (the S&P Technology Index,
S&P GSCI Commodity Index, bitcoin, the Dow Jones Islamic Equity Index, the Dow Jones …

Revisions of modern portfolio theory optimization model

M Vaclavik, J Jablonsky - Central European journal of operations research, 2012 - Springer
Among others, fluctuations in market sentiment cause step changes of correlations of
financial instrument prices. This phenomenon of the correlations' destabilization, which was …

Performance evaluation of equity unit trusts in South Africa

BM Thobejane, BD Simo-Kengne… - Managerial …, 2017 - emerald.com
Purpose The purpose of this paper is to evaluate the performance of 191 equity unit trusts in
an emerging market, South Africa over the period from February 2006 to January 2016 …