From the graph, we can infer that portfolios on the downward-sloping portion of the portfolio frontier are dominated by the upward-sloping portion. As such, the points on the upward-sloping portion of the portfolio frontier represent portfolios that investors find attractive, while points on the ...
location found (this is the solution of the optimization search at the end of the algorithm run), ⨀ denotes Hadamard product, UK(0,1) represents a K-dimensional uniform random vector with values drawn between (0, 1), and ω, c1, and c2 are the PSO velocity update scaling weights. ...
We derive a simple closed-form formula for security weights in optimal multifactor portfolios with an active-risk target. We test the risk control of five well-known factors—value, momentum, small size, low beta, and profitability—and the optimal multifactor portfolio. Our empirical research ...
such as the population size, crossover probability, and mutation probability, which can effectively adapt to various problem scenarios. PSO relies heavily on critical control parameters, such as population size, inertia weight, and acceleration factor, which significantly...
This has led to a lot of research on optimal portfolio execution, largely in the context of market impact models. In these models one directly specifies the impact of a given trading strategy on the bid price of the asset and the fundamental price (i.e. the price if the trader is ...
The article focuses on an error in the formula for the sensitivity of portfolio value at risk with respect to asset weights. In the Winter 2001 issue of "T... Chow,George,Kritzman,... - 《Journal of Portfolio Management》 被引量: 56发表: 2001年 Growth theory and 'green growth' The ...
The major causes might be: (1) the magnitude of dominance effects varied across different loci, posing a challenge for reliably estimating the dominance effects; (2) including dominance in model elevated complexity, hindering precise estimation of marker weights. Current models were inadequate in ...
We derive closed-form solutions for the optimal portfolio weights w... AB Berkelaar,R Kouwenberg - 《Econometric Institute Research Papers》 被引量: 39发表: 2000年 The downside risk of climate change in California's Central Valley agricultural sector Downscaled climate change projections for ...
This is 20We note that none of the portfolio weights θA(t, x, r), θB(t, x, r) and θC (t, x, r) depends upon r. This is a consequence of the choice of the Vasicek model and the simple form for a(t, r(t)). In other cases the θ's will depend upon r to some ...
Instead, our technology description focuses on substitution of capital intensive green energy technologies for fossil fuels, i.e., the technology portfolio is summarized by the elasticity of substitution between energy sector capital and polluting input. With such an approach, we can examine the role...