Search Results - subject:"Mean–variance"

Costs for conventional and renewable fuels and electricity in the worldwide transport sector: a mean-variance portfolio approach

Marrero, Gustavo A.; Puch, Luis A.; Guerrero-Lemus, Ricardo - Facultad de Ciencias Económicas y Empresariales, … - 2012

combinations in the road transport sector by means of the Mean-Variance Portfolio Theory. The results suggest big gains in …

Persistent link: https://www.econbiz.de/10010778716

Diversification of Equity with VIX Futures: Personal Views and Skewness Preference

Alexander, Carol; Korovilas, Dimitris - Henley Business School, University of Reading - 2012

diversification into VIX futures is ex-ante optimal for standard mean-variance investors, then extend this to include (a) skewness …

Persistent link: https://www.econbiz.de/10010838039

Comparing Black Litterman Model and Markowitz Mean Variance Model with Beta Factor, Unsystematic Risk and Total Risk

Caliskan, Tuncer - In: Business and Economics Research Journal 3 (2012) 4, pp. 43-43

This study aims to compare Black Litterman Model and Markowitz Mean Variance Model with beta factor, unsystematic risk … between 2003 and 2009. By using Markowitz Mean Variance Model and Black Litterman Model, totally 26 portfolios are formed …

Persistent link: https://www.econbiz.de/10010991058

Evaluation of Different Hedging Strategies for Commodity Price Risks of Industrial Cogeneration Plants

Madlener, Reinhard; Palzer, Andreas; Westner, Günther - Institut für Future Energy Consumer Needs and Behavior … - 2012

are used to determine the value-at-risk (VaR) of the individual strategies, which are in a final step combined in a mean-variance …

Persistent link: https://www.econbiz.de/10010991185

A NEW GENETIC ALGORITHM TO SOLVE KNAPSACK PROBLEMS

TURFAN, Derya; ALADAG, Cagdas Hakan; YENIAY, Ozgur - In: Journal of Social and Economic Statistics 1 (2012) 2, pp. 40-47

The volatility of currency exchange rates can be considered as an useful measure of uncertainty about the economic environment of a country.The paper aims to investigate the evolution of the daily RON/EURO exchange rate between January 5th, 2009 and October 12, 2012. Several appropriate models...

Persistent link: https://www.econbiz.de/10010929590

COMPARATIVE YIELD RISK CALCULATIONS OF SOUR CHERRY AND PEAR VARIETIES REGARDING RISK AVERSION

Persely, Szilvia; Ertsey, Imre; Ladanyi, Marta - In: APSTRACT: Applied Studies in Agribusiness and Commerce 06 (2012)

Fruit production in the world is increasing continuously. Though in the past few years China and some South-American countries have extended their fruit producing areas, Europe remains to be one of the greatest fruit producers in the world. In the middle of Europe Hungary has to face several...

Persistent link: https://www.econbiz.de/10011149596

Choice of Optimal Planting and Marketing Decisions for Fresh Vegetable Producers: A Mathematical Programming Approach

Vassalos, Michael; Dillon, Carl R.; Coolong, Tim - Southern Agricultural Economics Association - SAEA - 2012

This study combines whole farm economic analysis with biophysical simulation techniques in order to achieve a twofold objective. First, the study seeks to develop a multiple enterprise vegetable farm model with a production and marketing decision interface and, second, to determine optimal...

Persistent link: https://www.econbiz.de/10009421101

Is the Market Portfolio Efficient? A New Test of Mean-Variance Efficiency when All Assets Are Risky.

OOSTERLINCK, Kim; Szafarz, Ariane; Briere, Marie; Drut, … - Centre Emile Bernheim, Solvay Brussels School of … - 2012

The market portfolio efficiency remains controversial. This paper develops a new test of portfolio mean-variance … portfolio from the efficient frontier. Monte Carlo simulations show that our test outperforms the previous mean-variance … the U.S. equity market highlights that the market portfolio is not mean-variance efficient, and so invalidates the zero …

Persistent link: https://www.econbiz.de/10009645495

Risks and Returns to Educational Fields: A Financial Asset Approach to Vocational and Academic Education

Glocker, Daniela; Storck, Johanna - DIW Berlin (Deutsches Institut für Wirtschaftsforschung) - 2012

Applying a financial assets approach, we analyze the returns and earnings risk of investments into different types of human capital. Even though the returns from investing in human capital are extensively studied, little is known about the properties of the returns to different types of human...

Persistent link: https://www.econbiz.de/10010568503

Tests of Mean-Variance Spanning

Kan, Raymond; Zhou, Guofu - In: Annals of Economics and Finance 13 (2012) 1, pp. 139-187

In this paper, we conduct a comprehensive study of tests for mean-variance spanning. Under the regression framework of …

Persistent link: https://www.econbiz.de/10009358969