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    Wyświetlanie 1-4 z 4
    Tytuł:
    Asset Allocation Strategyin Investment Portfolio Construction – A Comparative Analysis
    Autorzy:
    Dziwok, Ewa
    Powiązania:
    https://bibliotekanauki.pl/articles/522114.pdf
    Data publikacji:
    2014
    Wydawca:
    Uniwersytet Ekonomiczny w Katowicach
    Tematy:
    Strategiczna alokacja aktywów
    Polityka inwestycyjna
    Strategic asset allocation
    Investment policy
    Opis:
    The investment portfolio management process consists of an integrated set of steps to create an appropriate mixture of assets. Since it is highly depending on characteristics of the investor, it is possible to stress three main steps: planning, execution and feedback. The most crucial part of portfolio management is the execution step during which a suitable portfolio is built. The procedure takes into account asset allocation, security analysis and clients’ requirements. The main aim of the article is to present and compare asset allocation procedures used today, such as mean-variance approach, Black–Litterman one and risk based strategies.
    Źródło:
    Journal of Economics and Management; 2014, 18; 124-132
    1732-1948
    Pojawia się w:
    Journal of Economics and Management
    Dostawca treści:
    Biblioteka Nauki
    Artykuł
    Tytuł:
    Forecasting the equity premium: Do deep neural network models work?
    Autorzy:
    Zhou, Xianzheng
    Zhou, Hui
    Long, Huaigang
    Powiązania:
    https://bibliotekanauki.pl/articles/23943440.pdf
    Data publikacji:
    2023
    Wydawca:
    Fundacja Naukowa Instytut Współczesnych Finansów
    Tematy:
    equity premium
    return predictability
    deep neural network
    asset allocation
    forecasting performance
    Opis:
    This paper constructs deep neural network (DNN) models for equity-premium forecasting. We compare the forecasting performance of DNN models with that of ordinary least squares (OLS) and historical average (HA) models. The DNN models robustly work best and significantly outperform both OLS and HA models in both in- and out-of-sample tests and asset allocation exercises. Specifically, DNN models generate monthly out-of-sample R2 of 3.42% and an annual utility gain of 2.99% for a mean-variance investor from 2011:1 to 2016:12. Moreover, the forecasting performance of DNN models is enhanced by adding additional 14 variables selected from finance literature.
    Źródło:
    Modern Finance; 2023, 1, 1; 1-11
    2956-7742
    Pojawia się w:
    Modern Finance
    Dostawca treści:
    Biblioteka Nauki
    Artykuł
    Tytuł:
    How to fly to safety without overpaying for the ticket
    Autorzy:
    Kaczmarek, Tomasz
    Grobelny, Przemysław
    Powiązania:
    https://bibliotekanauki.pl/articles/9252090.pdf
    Data publikacji:
    2023-07-19
    Wydawca:
    Uniwersytet Ekonomiczny w Poznaniu
    Tematy:
    asset allocation strategy
    target volatility
    flight-to-safety
    recurrent neural networks
    machine learning
    Opis:
    For most active investors treasury bonds (govs) provide diversification and thus reduce the risk of a portfolio. These features of govs become particularly desirable in times of elevated risk which materialize in the form of the flight-to-safety (FTS) phenomenon. The FTS for govs provides a shelter during market turbulence and is exceptionally beneficial for portfolio drawdown risk reduction. However what if the unsatisfactory expected return from treasuries discourages higher bonds allocations? This research proposes a solution to this problem with Deep Target Volatility Equity-Bond Allocation (DTVEBA) that dynamically allocate portfolios between equity and treasuries.
    Źródło:
    Economics and Business Review; 2023, 9, 2; 160-183
    2392-1641
    Pojawia się w:
    Economics and Business Review
    Dostawca treści:
    Biblioteka Nauki
    Artykuł
    Tytuł:
    Application of goal programming in the textile apparel industry to resolve production planning problems : a meta-goal programming technique using weights
    Autorzy:
    Malik, Zahid Amin
    Kumar, Rakesh
    Pathak, Govind
    Roy, Haridas
    Powiązania:
    https://bibliotekanauki.pl/articles/2175839.pdf
    Data publikacji:
    2022
    Wydawca:
    Politechnika Wrocławska. Oficyna Wydawnicza Politechniki Wrocławskiej
    Tematy:
    meta-goal programming
    weighted goal programming
    multi-objective decision making
    asset allocation
    textile sector
    sensitivity analysis
    Opis:
    In the present business environment, rapidly developing technology and the competitive world market pose challenges to the available assets of industries. Hence, industries need to allocate and use available assets at the optimum level. Thus, industrialists must create a good decision plan to guide their performance in the production sector. As a result, the present study applies the Meta-Goal Programming technique to attain several objectives simultaneously in the textile production sector. The importance of this study lies in pursuing different objectives simultaneously, which has been almost ignored till now. The production scheduling problem in a textile firm is used to illustrate the practicability and mathematical validity of the suggested approach. Analysis of the results obtained demonstrates that the solution met all three meta-goals with some original goals being met partially. An analysis of the sensitivity of the approach to the weights of the preferences was conducted.
    Źródło:
    Operations Research and Decisions; 2022, 32, 2; 74--88
    2081-8858
    2391-6060
    Pojawia się w:
    Operations Research and Decisions
    Dostawca treści:
    Biblioteka Nauki
    Artykuł
      Wyświetlanie 1-4 z 4

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