Search results for "Folio"

Fuzzy Portfolio Selection Models for Dealing with Investor’s Preferences

2017

This chapter provides an overview of the authors’ previous work about dealing with investor’s preferences in the portfolio selection problem. We propose a fuzzy model for dealing with the vagueness of investor preferences on the expected return and the assumed risk, and then we consider several modifications to include additional constraints and goals.

Contribución al estudio de las comunidades vegetales del orden Potentilletalia caulescentis en la Península Ibérica: la alianza Jasionion foliosae

1985

Se ha efectuado un estudio de la alianza Jasionion foliosae (Asplenietea rupestria) en varios sectores corológicos de la Península Ibérica, describiéndose seis asociaciones de las que tres se proponen como nuevas: Antirrhino pulverulenti-Rhamnetum pumili, Sileno horyii-Saxifragetum cuneatae y Antirrhino granitici-Rhamnetum pumili. A study fon the allince Jasionion foliosae (Asplenietea rupestria) is made in several chorological sectors of the Iberian Peninsula. Six associations are described, of which, three of them are propossed as new: Antirrhino pulverulenti-Rhamnetum pumili, Sileno horyii-Saxifragetum cuneatae and Antirrhino granitici-Rhamnetum pumili. mateo@uv.es

Ethical Requirements Stack : A framework for implementing ethical requirements of AI in software engineering practices

2023

Do Cross-Country Differences in Accounting Conservatism Explain Variations in the Degree of Investor Diversification?

2009

We show that the level of conditional accounting conservatism of foreign markets is significantly and positively associated with decisions to diversify portfolios internationally. This positive association could be either because conditional conservatism per se is attractive to international investors, or because the un-modelled factors that attract foreign investors to a country also cause these countries to adopt conditionally conservative accounting practices. However, if conditional conservatism serves to alleviate foreign investors’ concerns related to insiders having asymmetric access to information then one would also expect the chosen mode of entry into a foreign market (as foreign …

Phytosociology and ecology of deciduous forests in Tajikistan (Middle Asia)

2017

Aims: To present the first syntaxonomical classification for the mesophilous deciduous forests of the PamirAlai Mountains in Tajikistan with some remarks on its environmental gradients. Location: Tajikistan. Methods: Altogether 201 relevés were sampled between 2008‒2013 using the seven-degree cover-abundance scale of Braun-Blanquet. They were classified by the modified TWINSPAN method using the four-step interval scale with cutoff levels of 0%, 2%, 5% and 10% and total inertia as a measure of cluster heterogeneity. Diagnostic species were identified using the phi coefficient as a fidelity measure. Detrendended Correspondence Analysis was used to determine the relation between samples, veget…

Contingent claim valuation in a market with different interest rates

1995

The problem of contingent claim valuation in a market with a higher interest rate for borrowing than for lending is discussed. We give results which cover especially the European call and put options. The method used is based on transforming the problem to suitable auxiliary markets with only one interest rate for borrowing and lending and is adapted from a paper of Cvitanic and Karatzas (1992) where the authors study constrained portfolio problems.

Integrated simulation and optimization models for tracking international fixed income indices

2001

Portfolio managers in the international fixed income markets must address jointly the interest rate risk in each market and the exchange rate volatility across markets. This paper develops integrated simulation and optimization models that address these issues in a common framework. Monte Carlo simulation procedures generate jointly scenarios of interest and exchange rates and, thereby, scenarios of holding period returns of the available securities. The portfolio manager’s risk tolerance is incorporated either through a utility function or a (modified) mean absolute deviation function. The optimization models prescribe asset allocation weights among the different markets and also resolve b…

Value preserving portfolio strategies and the minimal martingale measure

1998

We consider some relations between the minimal martingale measure and the value preserving martingale measure in a continuous-time securities market. Under the assumption of continuous share prices we show that under a structure condition both these martingale measures exist and indeed coincide. This however does not mean that the corresponding concepts of value preserving portfolio strategies and (local) risk minimisation in the area of option hedging in incomplete markets are identical.

A fuzzy ranking strategy for portfolio selection applied to the Spanish stock market

2007

In this paper we present a fuzzy ranking procedure for the portfolio selection problem. The uncertainty on the returns of each portfolio is approximated by means of a trapezoidal fuzzy number. The expected return and risk of the portfolio are then characteristics of that fuzzy number. A rank index that accounts for both expected return and risk is defined, allowing the decision-maker to compare different portfolios. The paper ends with an application of that fuzzy ranking strategy to the Spanish stock market.

Fuzzy Portfolio Selection Models: A Numerical Study

2012

In this chapter we analyze the numerical performance of some possibilistic models for selecting portfolios in the framework of risk-return trade-off. Portfolio optimization deals with the problem of how to allocate wealth among several assets, taking into account the uncertainty involved in the behavior of the financial markets. Different approaches for quantifying the uncertainty of the future return on the investment are considered: either assuming that the return on every individual asset is modeled as a fuzzy number or directly measuring the uncertainty associated with the return on a given portfolio. Conflicting goals representing the uncertain return on and risk of a fuzzy portfolio a…