Search results for "Folio"
showing 10 items of 319 documents
Cluster analysis for portfolio optimization
2005
We consider the problem of the statistical uncertainty of the correlation matrix in the optimization of a financial portfolio. We show that the use of clustering algorithms can improve the reliability of the portfolio in terms of the ratio between predicted and realized risk. Bootstrap analysis indicates that this improvement is obtained in a wide range of the parameters N (number of assets) and T (investment horizon). The predicted and realized risk level and the relative portfolio composition of the selected portfolio for a given value of the portfolio return are also investigated for each considered filtering method.
Correlation based networks of equity returns sampled at different time horizons
2006
We investigate the planar maximally filtered graphs of the portfolio of the 300 most capitalized stocks traded at the New York Stock Exchange during the time period 2001-2003. Topological properties such as the average length of shortest paths, the betweenness and the degree are computed on different planar maximally filtered graphs generated by sampling the returns at different time horizons ranging from 5 min up to one trading day. This analysis confirms that the selected stocks compose a hierarchical system progressively structuring as the sampling time horizon increases. Finally, a cluster formation, associated to economic sectors, is quantitatively investigated.
Stock markets and quantum dynamics: A second quantized description
2009
In this paper we continue our description of stock markets in terms of some non-abelian operators which are used to describe the portfolio of the various traders and other observable quantities. After a first prototype model with only two traders, we discuss a more realistic model of market involving an arbitrary number of traders. For both models we find approximated solutions for the time evolution of the portfolio of each trader. In particular, for the more realistic model, we use the stochastic limit approach and a fixed point like approximation. © 2007 Elsevier B.V. All rights reserved
Forecasting the Size Premium Over Different Horizons
2011
In this paper, we provide evidence that the small stock premium is predictable both in-sample and out-of-sample through the use of a set of lagged macroeconomic variables. We find that it is possible to forecast the size premium over time horizons that range from one month to one year. We demonstrate that the predictability of the size premium allows a portfolio manager to generate an economically and statistically significant active alpha.
Selezione di Portafoglio e Metaeuristiche
2013
Il problema della selezione del portafoglio (PSP) ha come obiettivo quello di determinare, disponendo di un dato insieme di titoli, il portafoglio che minimizza una misura di rischio per un dato livello di rendimento minimo richiesto. Sebbene nella sua formulazione originaria il PSP può essere risolto utilizzando algoritmi di programmazione lineare o quadratica, l'inclusione di ulteriori vincoli ed obiettivi rende il problema computazionalmente difficile. Nel presente lavoro viene proposto un approccio metaeuristico al PSP in cui vengono considerate diverse misure di distanza tra i portafogli della frontiera efficiente (Mean-Variance) ed il portafoglio ottimo che si ottiene in corrispondenz…
A Perturbation Approach to Continuous-Time Portfolio Selection Under Stochastic Investment Opportunities
2013
This paper studies portfolio selection in continuous-time models with stochastic investment opportunities. We consider asset allocation problems where preferences are specified as power utility derived from terminal wealth as well as consumption-savings problems with recursive utility Epstein-Zin preferences. The paper approximates the associated dynamic programming problem by perturbing the coefficients of the stochastic dynamics. We represent the Hamilton-Jacobi-Bellman equation as a series of partial differential equations that can be solved iteratively in closed-form through computer algebra software, at any desired accuracy.
The knowledge of women with epilepsy on motherhood
2017
Wstęp: Padaczka jest jedną z najczęstszych chorób neurologicznych. Na całym świecie cierpi na nią ok. 50 mln osób, z czego połowa to kobiety. Pomimo że ciąża w przebiegu epilepsji zaliczana jest do ciąż wysokiego ryzyka, na podstawie wielu obserwacji przyjmuje się, że szansa urodzenia zdrowego dziecka przez kobietę z padaczką wynosi ponad 90%, ale ryzyko wystąpienia wad wrodzonych jest 2–3-krotnie wyższe niż w przypadku ciąży u kobiety zdrowej. Wynika to głównie z faktu stosowania leków przeciwpadaczkowych. Materiał i metody: Badaniami objęto 139 kobiet chorych na padaczkę, w wieku od 18 do 40 lat, będących pod opieką poradni neurologicznych na terenie województwa śląskiego. Badania przepro…
Strategising IT service management through ITIL implementation: model and empirical test
2015
Research on the Information Technology Infrastructure Library (ITIL) lacks appropriate theories and models that capture the distinct characteristics and implications of the ITIL implementation practice. The purpose of this study is to close this gap. Based on a literature review, we develop and empirically validate a theoretical model: the ITIL Implementation Project Model. The model includes significant antecedents, which provide a foundation upon which an effective ITIL implementation project can be built, as well as the pertinent effects of implementing ITIL. The results contribute to the current research stream on the strategising of IT service management as well as to an improved under…
IMPLEMENTING A VALUE ASSESSMENT TOOL FOR SERVICE INNOVATION IDEAS
2010
There has not been much discussion of how firms may assess the value of service innovation projects ex-ante in the extant research literature. This paper theoretically derives a value assessment tool for service innovation ideas called QSI (tool for pre-Qualification of Service Innovation projects). Thereafter QSI is implemented in three firms and it is explored to what degree the implementation improved managerial decision making on service innovation projects and investments. The findings indicated that the implementation of QSI had effects both in a portfolio management and a project management perspective. From a portfolio management point of view deployment of QSI improved the particip…
A proposal for sorting a projects portfolio through the ELECTRE TRI method focused on the European strategy
2019
In recent years, the partnerships between private companies and public organizations are becoming key elements for improving local development, territorial competitiveness, and delivering innovation. These collaborations are widely promoted by the European Framework Programme for Research and Innovation thanks to the provision of several instruments, such as Horizon 2020. In this context, competitiveness's improvement of the territory employing research and innovation actions is supported by the technological districts. In Sicily, the AgroBioPesca district has attempted a strategic action named "Call for ideas" in order to design its own roadmap for research and innovation in the agri-food …