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Portfolio Selection via Fuzzy Mean-Variance Model
Main topics of the document: fuzzy; mean-variance; portfolio selection; stock...
Statistics and probability
- 2020 •
- D •
- Link
Rok uplatnění
D - Stať ve sborníku
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Algorithmic procedures for mean variance optimality in Markov decision chains
In this note we discussed some algorithmic procedures for finding optimal policies of Markov decision chains with respect to various mean variance optimality of the variance of total cumulative reward. Finally, algorithmic ...
BB - Aplikovaná statistika, operační výzkum
- 2006 •
- D
Rok uplatnění
D - Stať ve sborníku
Stock portfolio selection via mean-semivariance model
Main topics of the document: mean-semivariance; mean-variance; portfolio selection; return; risk; stock...
Statistics and probability
- 2020 •
- D •
- Link
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D - Stať ve sborníku
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Portfolio selection via a dynamic moving mean-variance model
Main topics of the document: dynamic; moving mean-variance; portfolio; unit trust...
Statistics and probability
- 2021 •
- D •
- Link
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D - Stať ve sborníku
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Optimal mean - variance portfolios under NSD efficiency constraints
variance of portfolios which have at least the required mean return and, moreover) criterion. These problems can be seen as generalizations of classical mean-variance models, where a risk measure (variance
BB - Aplikovaná statistika, operační výzkum
- 2014 •
- D •
- Link
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D - Stať ve sborníku
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Second order of stochastic dominance efficiency vs mean variance efficiency
variance analysis and expected utility. In particular, we show empirically that mean and mean variance efficient portfolios, using a bootstrap approach. In an ex ante of mean variance and SSD eff...
Economics and Business
- 2021 •
- Jimp •
- Link
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Jimp - Článek v periodiku v databázi Web of Science
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Unbiased variance estimator of the randomised response techniques for population mean
Main topics of the document: unbiased variance estimator; randomized response techniques; survey sampling; Horvitz-Thompson estimator; simple random sampling without replacement; population mean......
Applied Economics, Econometrics
- 2023 •
- JSC •
- Link
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JSC - Článek v periodiku v databázi SCOPUS
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Optimal solutions for undiscounted variance penalized Markov decision chains
We investigate how the minimum variance criterion can work in discrete stochastic dynamic programmig. We adapt notions and notation used in Markov decision processes and in contrast to the classical models we also considered variance
BC - Teorie a systémy řízení
- 2004 •
- D
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D - Stať ve sborníku
Future Performance of Mean-Risk Optimized Portfolios: An Empirical Study of Exchange Traded Funds
Main topics of the document: portfolio optimisation; mean-variance; mean-CVaR; efficient portfolio frontier; 1/N diversification......
Public administration
- 2017 •
- D •
- Link
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D - Stať ve sborníku
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Variance components and nonlinearity
Unknown parameters of the covariance matrix ( variance components of the best estimator of the unknown parameters of the mean value of the observation vector. Estimators of the variance components must be utilized and then ...
BA - Obecná matematika
- 2006 •
- Jx
Rok uplatnění
Jx - Nezařazeno - Článek v odborném periodiku (Jimp, Jsc a Jost)
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