Search results for "markowitz"

showing 4 items of 4 documents

Distance Measures for Portfolio Selection

2017

The classical Markowitz approach to the portfolio selection problem (PSP) consists of selecting the portfolio that minimises the return variance for a given level of expected return. By solving the problem for different values of this expected return we obtain the Pareto efficient frontier, which is composed of non-dominated portfolios. The final user has to discriminate amongst these points by resorting to an external criterion in order to decide which portfolio to invest in. We propose to define an external portfolio that corresponds to a desired criterion, and to assess its distance from the Markowitz frontier in market allowing for short-sellings or not. We show that this distance is ab…

Settore SECS-S/06 - Metodi mat. dell'economia e Scienze Attuariali e FinanziarieMathematical optimizationSettore INF/01 - InformaticaComputer sciencePareto principleEfficient frontierMetaheuristicVariance (accounting)Financial modelPortfolio selectionDistance measuresMultiple criteriaDecision aidSettore SECS-S/06 -Metodi Mat. dell'Economia e d. Scienze Attuariali e Finanz.Order (exchange)PortfolioExpected returnMarkowitzSettore MAT/09 - Ricerca OperativaSelection (genetic algorithm)Distance measureIndex tracking
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Gestión de Carteras

2017

Este documento presenta un resumen de los conceptos más importantes de la gestión de carteras de inversión.

conjunto de mínima varianzacartera de inversiónMarkowitzfrontera eficiente
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Unit 2: the Markowitz portfolio selection model. parte práctica

2022

Se introduce el modelo de Markowitz y las carteras eficientes

exercisesmarkowitzUNESCO::CIENCIAS ECONÓMICASefficientportfolio
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Unit 2: the Markowitz portfolio selection model. parte teoría

2021

Se introduce el modelo de Markowitz y la selección de carteras. Además, se explican las carteras eficientes.

markowitzUNESCO::CIENCIAS ECONÓMICASefficienportfolio
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