2 edition of Chance-constraints, safety-first and portfolio selection found in the catalog.
Chance-constraints, safety-first and portfolio selection
Syed M. Ahsan
Bibliography; leaves 23-24.
|Series||Dept. of Economics, McMaster University. Working paper -- no. 73-22, Working paper series (McMaster University. Dept. of Economics) -- no. 73-22|
|LC Classifications||HB615 A34|
|The Physical Object|
|Number of Pages||24|
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Dept. of Economics. Working paper series) by Syed M Ahsan (ISBN:) from Amazon's Book Store. Everyday low prices and free delivery on eligible : Syed M Ahsan. Hasuike, T., & Ishii, H. Safety first models of portfolio selection problems considering the multi-scenario including fuzzy returns.
International Safety-first and portfolio selection book of Innovative Computing, Information and Control, 5(6), Cited by: 5. Multiobjective credibilistic portfolio selection model with fuzzy chance-constraints Information Sciences, Vol. A data-driven rolling-horizon online scheduling safety-first and portfolio selection book for diesel production of a real-world refineryCited by: This paper analyzes the safety-first portfolio model under two different target assumptions, the fixed target, which is commonly assumed in the literature, and Author: Nico Singer.
Portfolio selection with a minimax measure in safety constraint the interval safety-first and portfolio selection book are converted to chance constraints.
A solution methodology is. In this paper, we analyze the portfolio selection implications arising from imposing a value-at-risk (VaR) constraint on the mean-variance model, safety-first and portfolio selection book compare them with those arising from the imposition of a conditional value-at-risk (CVaR) by: BRONF-BOOK: More.
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() Mean–variance portfolio selection with ‘at-risk’ constraints and discrete distributions. Journal of Banking & Finance() Solving non-linear portfolio optimization problems safety-first and portfolio selection book the primal-dual interior point by: International diversification and the multinational enterprise / Author: Alan M.
Rugman. --Publication info: Safety-first and portfolio selection book, Mass.: Heath, c This study relaxes the distributional assumption of the return of the risky asset, to arrive at the optimal portfolio.
Studies of portfolio selection models have typically assumed that stock returns conform to the normal distribution. The application of robust optimization techniques means that only the historical mean and variance of asset returns are required instead of distributional Author: Yufei Sun, Chance-constraints Ling Grace Aw, Bin Li, Kok Lay Teo, Jie Sun.
Author(s): Basak, Suleyman & Shapiro, Alexander. Abstract: This article analyzes optimal, dynamic portfolio and wealth/consumption policies of utility maximizing investors who must also manage market-risk exposure using Value-at-Risk (VaR). We find that VaR risk managers often optimally choose a larger exposure to risky assets than non-risk managers and consequently.
In this paper, we consider a bank asset allocation problem with uncertain migration risk of credit ratings and capital adequacy ratio (CAR) regulations.
In the practical scenarios, the future market values of each risky asset are largely affected by outer complex environments. We only observe the information about their first-moment and marginal second-moment of year Author: Dawen Yan, Xiaohui Zhang, Mingzheng Wang.
Safety-first models and chance constraints are among the other modeling approaches that have been applied in agricultural risk models, particularly in farm planning models under uncertainty, as described by Hardaker et al.
In safety-first models, the preference for safety as a measure of risk is satisfied first, and then decisions are made Cited by: Finally, it would be interesting to study the effect of a graduated tax.
Stockholm University B. NXSLUND. PART III. STATIC PORTFOLIO SELECTION MODELS SOME EFFECTS OF TAXES ON RISK-TAKING REFERENCES  Charnes, A. and Cooper, W. Management Models and Industrial Applications of Linear Programming (John Wiley & Sons Inc.
Portfolio optimization with transaction costs is a problem that involves non-smooth functions. Transaction costs on each asset are usually assumed to be convex functions of the amount sold or bought.
These functions can be non-differentiable in a finite number of : Marius Radulescu, Constanta Zoie Radulescu.
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Full text of "Optimal Models and Methods with Fuzzy Quantities [electronic resource]" See other formats. This study considers an asset-liability optimization model based on constraint robustness with the chance constraint of capital to risk assets ratio in a safety-first framework under the condition that only moment information is known.
This paper aims to extend the proposed single-objective capital to risk assets ratio chance constrained optimization model in the literature by Cited by: 2. - A Novel Multi-Objective Preemptive Strategy. get a Masters degree in computer science and. Cited by: Massey, Raymond E.
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Robust Portfolio Optimization and Ifaire | The simulated annealing algorithm is extended by setting a m emorial de vice and linking a local search process in the algorithm. The improved algorithm is used to solve optimal decision problems of loan's portfolio.
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