Purpose – Although the mean-variance portfolio selection model has been investigated in the literature, the difficulty associated with the application of the model when dealing with large-scale problems is limited. The aim of this paper is to close the gap by using the quadratic risk (standard...

Purpose – Although the mean‐variance portfolio selection model has been investigated in the literature, the difficulty associated with the application of the model when dealing with large‐scale problems is limited. The aim of this paper is to close the gap by using the quadratic risk...

The sine and cosine functions used as the bases in Fourier analysis are very smooth (infinitely differentiable) and very broad (nonzero almost everywhere on the real line), and hence they are not effective for representing functions that change abruptly (jumps) or have highly localized support...

Purpose – Value-at-risk (VaR) is a risk measure of potential loss on a specific portfolio. The main uses of VaR are in risk management and financial reporting. Researchers are continuously looking for new and efficient ways to evaluate VaR, and the 2008 financial crisis has given further...

This paper is written with two complementary purposes in mind. The first is to provide estimates of systematic risk for Canadian commodities futures (western barley, canola, flaxseed, feed wheat) using a market portfolio based on a similar weighting scheme suggested by Marcus. The second is to...

This paper presents findings of a pilot study, which evaluates financial ratios in the Indonesian construction firms. The study is an extension of a larger study that is an attempt to explore strategic practices for Indonesian construction firms that generates a competitive advantage. The...