Gotowe bibliografie tematyczne / Loser portfolios

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Gotowa bibliografia na temat „Loser portfolios”

Autor: Grafiati

Data publikacji: 3 czerwca 2025

Data aktualizacji: 31 lipca 2025

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Artykuły w czasopismach na temat "Loser portfolios"

Miswanto, Miswanto, and Anisah Azzahra Ananda Putri. "Investigation of winner-loser portfolio anomalies and size effect anomalies in LQ45 index, Indonesia stock exchange." International Journal of Management and Sustainability 12, no. 4 (2023): 602–18. http://dx.doi.org/10.18488/11.v12i4.3558.

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This study investigates the anomalies of winner-loser portfolios and anomalies of size effect on LQ45 stocks in the Indonesia Stock Exchange (IDX), period 2015-2020. The paired sample t-test (parametric) and Wilcoxon test (non-parametric) are used to test samples. Sample selection is carried out using the non-probability and purposive sampling methods. The shares of companies that met the sample criteria were 26. The primary data used cumulative abnormal returns and market capitalization as proxies for a company's stock size. The anomaly of the winner-loser effect phenomenon is observed by div

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Kusmayadi, Iwan, Djoko Suprayetno, Laila Wardani, Zainal Abidin, and Muhammad Ahyar. "CONTRARIAN STRATEGY: EVIDENCE OF PRICE REVERSAL ON WINNER-LOSER PORTFOLIOS." Distribusi - Journal of Management and Business 12, no. 2 (2024): 259–70. http://dx.doi.org/10.29303/distribusi.v12i2.583.

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This study aims to analyze the effectiveness of the contrarian strategy by demonstrating the existence of price reversal phenomena in winner-loser stock portfolios on the Indonesia Stock Exchange (IDX). This research differs from previous studies by comprehensively exploring the Indonesian stock market (IDX), which has characteristics distinct from developed countries. Thus, this research contributes new insights to the investment literature in emerging markets. The research approach is quantitative, utilizing monthly data in the form of stock closing prices from all companies listed on the ID

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Truong, Loc Dong, Giang Ngan Cao, H. Swint Friday, and Nhien Tuyet Doan. "Overreaction in a Frontier Market: Evidence from the Ho Chi Minh Stock Exchange." International Journal of Financial Studies 11, no. 2 (2023): 58. http://dx.doi.org/10.3390/ijfs11020058.

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The purpose of the study is to investigate the overreaction hypothesis in relation to the Ho Chi Minh Stock Exchange (HOSE). The data used in this study consist of a monthly price series of 392 stocks traded on the HOSE, covering the period starting on 5 January 2004 through to 30 June 2021. The findings derived from the tests examining the differences in excess returns across the winner and loser portfolios confirm that the overreaction phenomenon exists in the HOSE. More specifically, following the creations of the portfolios, the loser portfolio outperformed the winner portfolio by 1.80% an

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Rádóczy, Klaudia, and Ákos Tóth-Pajor. "Investors’ Reactions to Extreme Events in the Hungarian Stock Market." Financial and Economic Review 20, no. 3 (2021): 5–30. http://dx.doi.org/10.33893/fer.20.3.530.

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This paper examines investors’ reactions to extreme events in the Hungarian stock market. We seek to answer the research question whether following extreme events any overreaction of investors can be observed on the Budapest Stock Exchange. With a view to answering the research question, we identify extreme events based on extreme returns on the market portfolio and then – using an event study – we examine abnormal returns on winner and loser equities. After examining investors’ reactions, we inspect the performance of the contrarian strategy in the created event windows. The main result of ou

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Abebe Assefa, Tibebe, Omar A. Esqueda, and Emilios C. Galariotis. "Overreaction evidence from large-cap stocks." Review of Accounting and Finance 13, no. 4 (2014): 310–25. http://dx.doi.org/10.1108/raf-05-2013-0072.

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Purpose – The purpose of this paper is to assess the performance of a contrarian investment strategy focusing on frequently traded large-cap US stocks. Previous criticisms that losers’ gains are not due to overreaction but due to their tendency to be thinly traded and smaller-sized firms than winners are addressed. Design/methodology/approach – Portfolios based on past performance are constructed and it is examined whether contrarian returns exist. The Capital Asset Pricing Model (CAPM), Fama and French three-factor model and the Carhart’s (1997) momentum portfolio are used to test whether exc

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Maiz Jiménez, Jaime González, and Edgar Ortiz Calisto. "Testing the overreaction hypothesis in the mexican stock market." Contaduría y Administración 65, no. 1 (2019): 153. http://dx.doi.org/10.22201/fca.24488410e.2019.1794.

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The objective of this work is to test the overreaction hypothesis in the Mexican Stock Market for the period of 2002-2015, using monthly data and applying the Cumulative Average Residuals (CAR) methodology via the CAPM model and the three-factor model proposed by Fama and French. The CAR model is applied to test how winner and loser portfolios perform during the period under analysis. Overall, the evidence shows that average CAR for the loser portfolio is 0.706%, whereas CAR for the winner portfolio is 0.364%, and that are statistically different; nevertheless, both portfolios are co-

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Wiranata, Jessica Willa, and Anastasia Sri Mendari. "ANALISIS ABNORMAL RETURN PORTOFOLIO WINNER - LOSER PADA PERUSAHAAN YANG TERDAFTAR DI INDEKS KOMPAS 100." Manajemen : Jurnal Ekonomi 3, no. 1 (2021): 88–97. http://dx.doi.org/10.36985/manajemen.v3i1.22.

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This study aims to analyze whether there is a difference in abnormal return average of stock portfolios in winner and loser categories during two different periods namely formation and testing periods to test winner-loser anomaly occurrence. The population of this study was the companies listed in the Kompas 100 Index of Indonesia Stock Exchange from February 2015 to July 2019. A number of 44 companiesused as the samples of this study which selected by using the purposive sampling technique. Parametric paired sample t-test and nonparametric Wilcoxon signed ranks test were used to analyze the d

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Hsieh, Heng-Hsing, and Kathleen Hodnett. "The Timing Of Equity Mean Reversion In Relation To The Global Economic Cycle." Journal of Applied Business Research (JABR) 28, no. 3 (2012): 291. http://dx.doi.org/10.19030/jabr.v28i3.7155.

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Investor overreaction results in the systematic overshooting of stock prices and their subsequent mean reversion. International studies on the overreaction hypothesis generally find that the mean reversion of stock returns take place a

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Gumanti, Tatang Ary, Mareita Dewi Kasprianti, and Ana Mufidah. "MARKET OVERREACTION SAHAM LQ-45 TERHADAP PENGUMUMAN ASIAN GAMES KE-18." Wahana: Jurnal Ekonomi, Manajemen dan Akuntansi 22, no. 2 (2019): 186–203. http://dx.doi.org/10.35591/wahana.v22i2.157.

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Sports events are now a big concern for management and sports tourism and have become a big business opportunity that has an impact on the economy, especially for countries that host the event. The Asian Games is one of the biggest sports events in Asia that are held every four years. Indonesia is the country chosen to host the 18th Asian Games which was announced on July 25, 2014. The purpose of this study is to analyze LQ-45 stock whether after Indonesia was announced to host the 18th Asian Games there was a market overreaction and was followed by the emergence of price reversals. The final

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Rozprawy doktorskie na temat "Loser portfolios"

Li, Yao. "Examination of long-run performance of momentum portfolios: Implications for the sources and profitability of momentum." Diss., Virginia Tech, 2019. http://hdl.handle.net/10919/93958.

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This dissertation investigates the long-term performance of momentum portfolios. Its results show striking asymmetries for winners and losers and imply potentially different causes for the winner and loser components of momentum. After separately examining winners and losers relative to their respective benchmark portfolios with no momentum, we find winner momentum is smaller in magnitude, persists only for six months, and its higher return fully reverses. This is consistent with the notion that winner momentum is an overreaction to positive news and potentially destabilizing. Loser momentum i

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Portmann, Thomas. "Lower partial moments : unter besonderer Berücksichtigung ihres Zeithorizontverhaltens /." Bern [etc.] : P. Haupt, 1999. http://aleph.unisg.ch/hsgscan/hm00005996.pdf.

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Diss. Wirtsch.-wiss. St. Gallen, 1999 ; Nr. 2306. En librairie dans la collection "Bank- und finanzwirtschaftliche Forschungen", Bd. 306. Titel der Buchhandelsausg: Zeithorizontverhalten von Lower Partial Moments. Literaturverz.

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Mazibas, Murat. "Dynamic portfolio construction and portfolio risk measurement." Thesis, University of Exeter, 2011. http://hdl.handle.net/10036/3297.

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The research presented in this thesis addresses different aspects of dynamic portfolio construction and portfolio risk measurement. It brings the research on dynamic portfolio optimization, replicating portfolio construction, dynamic portfolio risk measurement and volatility forecast together. The overall aim of this research is threefold. First, it is aimed to examine the portfolio construction and risk measurement performance of a broad set of volatility forecast and portfolio optimization model. Second, in an effort to improve their forecast accuracy and portfolio construction performance,

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Viegas, Ricardo Manuel Ramos. "Quantitative easing as a perspective for lower interest rates." Master's thesis, Instituto Superior de Economia e Gestão, 2017. http://hdl.handle.net/10400.5/15311.

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Mestrado em Finanças A dissertação estuda o impacto do "quantitative easing" e das medidas de compras de ativos implementada pelos centrais, fucando-se na zona Euro. O "portfolio balance channel" foca-se em dois pontos, o "duration risk" e o "capital relief". O primeiro é, o aumento do risco por se ter uma obrigação de maior maturidade, o que com as compras por parte do bancos centrais, vai reduzir o "duration risk" existente no mercado. O segundo relaciona-se com, a compra por parte dos bancos centrais vai aumentar os preços desses ativos e dos seus substitutos, quem for detentor dos mesm

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Tawil, Dima. "Performance evaluation of portfolio insurance strategies." Thesis, Rennes 1, 2015. http://www.theses.fr/2015REN1G017/document.

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Cette thèse a pour objectif d’évaluer et de comparer la performance des stratégies d’assurance de portefeuille pour tenter de définir quelles stratégies doivent être privilégiées par les investisseurs. Nous comparons de nombreuses stratégies d’assurance (OBPI, CPPI, put synthétique et Stop-loss) entre elles mais également avec quelques autres stratégies de référence. Nous utilisons différents critères de comparaison qui comprennent: 1. Les distributions de pay-off, le niveau de protection, la dominance stochastique et le coût d’assurance dans différentes conditions de marché identifiées par de

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Huber, Florian, and Maria Teresa Punzi. "The shortage of safe assets in the US investment portfolio: Some international evidence." WU Vienna University of Economics and Business, 2017. http://epub.wu.ac.at/5460/1/wp243.pdf.

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This paper develops a Bayesian Global VAR (GVAR) model to track the international transmission dynamics of two stylized shocks, namely a supply and demand shock to US-based safe assets. Our main findings can be summarized as follows. First, we find that (positive) supply-sided shocks lead to pronounced increases in economic activity which spills over to foreign countries. The impact of supply-sided shocks can also be seen for other quantities of interest, most notably equity prices and exchange rates in Europe. Second, a demand-sided shock leads to an appreciation of the US dollar and generall

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Nilsson, Sara, and Jennifer Ramare. "What does it cost to invest with preferences? : What does investors lose/gain on investing in sin-stocks versus SRI investing?" Thesis, Högskolan Väst, Avd för juridik, ekonomi, statistik och politik, 2021. http://urn.kb.se/resolve?urn=urn:nbn:se:hv:diva-17337.

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This paper analyses the difference in risk-adjusted returns between Sin-stocks and SRI-investing for the period 2001-2021. The analysis was conducted by creating two optimally risky portfolios according to the Modern Portfolio Theory, one comprised of only Sin-stocks and one with only high ESG scoring companies. The Sin-stocks contained stocks from four different sectors, alcohol, gambling, tobacco and weapons while the companies for the SRI-portfolio was chosen from the FTSE4Good index. The regression models were chosen to follow both the CAPM, and the Fama & French three factor model and

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Kato, Fernando Hideki. "Análise de carteiras em tempo discreto." Universidade de São Paulo, 2004. http://www.teses.usp.br/teses/disponiveis/12/12139/tde-24022005-005812/.

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Nesta dissertação, o modelo de seleção de carteiras de Markowitz será estendido com uma análise em tempo discreto e hipóteses mais realísticas. Um produto tensorial finito de densidades Erlang será usado para aproximar a densidade de probabilidade multivariada dos retornos discretos uniperiódicos de ativos dependentes. A Erlang é um caso particular da distribuição Gama. Uma mistura finita pode gerar densidades multimodais não-simétricas e o produto tensorial generaliza este conceito para dimensões maiores. Assumindo que a densidade multivariada foi independente e identicamente distribuída (

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Yu, Li-Fang, and 游莉芳. "A Duration Based Analysis on Winner and Loser Portfolios of Momentum Strategy." Thesis, 2013. http://ndltd.ncl.edu.tw/handle/80964020489541732142.

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碩士 國立中央大學 財務金融學系 101 Frequent trading may result in high trading costs and prevent the execution of profitable momentum strategy. This thesis tries to examine the turnover frequency of stocks in long-short portfolio of momentum strategy. Empirical results first provide the evidence that momentum strategy is profitable. Second, there are 39.21% (40.21%) winner (loser) stocks retaining their rankings in the next month based on six-month price return performances and the average turnover rate is 86.41% (87.73%) for winner (loser) portfolios in six-month/six-month momentum strategy. Th

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Huang, Yu-Li, and 黃玉利. "An application of portfolios selection using lower partial moments and polynomial goal programming." Thesis, 2007. http://ndltd.ncl.edu.tw/handle/23968649702778094540.

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碩士 正修科技大學 經營管理研究所 95 Previous studies Chunhachinda, et al., (1997) and Prakash et al., (2003) applied the portfolio selection model using goal programming and incorporating the skewness of the return distributions to obtain the optimal portfolio. However, that portfolio selection model used variance as the measure of investment risk. In fact, asymmetrical return distributions will render the variance a deficient measure of investment risk, since it punishes the desirable upside movements as hard as the undesirable downside movements. Therefore, this study proposed a new portfolio s

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Książki na temat "Loser portfolios"

Kaye, Michael. The Standard & Poor's guide to selecting stocks: Finding the winners and weeding out the losers. McGraw-Hill, 2006.

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DraKoln, Noble. Winning the trading game: Why 95% of traders lose and what you must do to win. John Wiley & Sons, 2008.

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Allentuck, Andrew. Bonds for Canadians: How to build wealth and lower risk in your portfolio. John Wiley and Sons Canada, 2006.

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DraKoln, Noble. Winning the trading game: Why 95% of traders lose and what you must do to win. J. Wiley, 2008.

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Mackintosh, Charles Rennie. Charles Rennie Mackintosh: Drawings for his House for an art lover : print portfolio : Glasgow School of Art. Pomegranate Publications, 1990.

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Brian, Livingston. Muscular portfolios: The investing revolution for superior returns with lower risk. 2018.

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Wallick, Daniel W., Daniel B. Berkowitz, Andrew S. Clarke, Kevin J. DiCiurcio, and Kimberly A. Stockton. Getting More from Less in Defined Benefit Plans. Oxford University Press, 2018. http://dx.doi.org/10.1093/oso/9780198827443.003.0004.

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As global interest rates hover near historic lows, defined benefit pension plan sponsors must grapple with the prospect of lower investment returns. We examine three levers that can enhance portfolio outcomes in a low-return world: increased contributions; reduced investment costs; and increased portfolio risk. We use portfolio simulations based on a stochastic asset class forecasting model to evaluate each lever according to two criteria: the magnitude of impact and the certainty that this impact will be realized. We show that increased contributions have the greatest and most certain impact.

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Allentuck, Andrew. Bonds for Canadians: How to Build Wealth and Lower Risk in Your Portfolio. Wiley & Sons, Incorporated, John, 2008.

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Bonds for Canadians: How to Build Wealth and Lower Risk in Your Portfolio. Wiley, 2007.

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Allentuck, Andrew. Bonds for Canadians: How to Build Wealth and Lower Risk in Your Portfolio. Wiley & Sons, Incorporated, John, 2009.

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Części książek na temat "Loser portfolios"

Lleo, Sebastien, and William T. Ziemba. "The Swiss Black Swan Unpegging Bad Scenario: The Losers and the Winners." In Portfolio Construction, Measurement, and Efficiency. Springer International Publishing, 2016. http://dx.doi.org/10.1007/978-3-319-33976-4_17.

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De Luca, Giovanni, and Paola Zuccolotto. "Time Series Clustering on Lower Tail Dependence for Portfolio Selection." In Mathematical and Statistical Methods for Actuarial Sciences and Finance. Springer International Publishing, 2014. http://dx.doi.org/10.1007/978-3-319-02499-8_12.

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Banda, Geoffrey, Cecilia Wanjala, Veronica Manduku, and Dinar Kale. "Realistic Ambitions: Technology Transfer for Biologics Platform Technologies." In Cancer Care in Pandemic Times: Building Inclusive Local Health Security in Africa and India. Springer International Publishing, 2024. http://dx.doi.org/10.1007/978-3-031-44123-3_10.

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AbstractThis chapter argues that the recent international support for expanding vaccine production in African countries offers local policymakers and industrialists an opportunity that should be seized, to transition local manufacturing capabilities to produce biologics. Biologics offer a broader portfolio of cancer therapies. Biologics such as monoclonal antibodies represent an incremental innovation for vaccine manufacturers, with lower learning and transition costs than those that would be faced by manufacturers of chemical drugs seeking to move into biologics. However, biologics production

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Casado, L. G., B. G.-Tóth, E. M. T. Hendrix, and F. Messine. "On Monotonicity Detection in Simplicial Branch and Bound over a Simplex." In Computational Science and Its Applications – ICCSA 2022 Workshops. Springer International Publishing, 2022. http://dx.doi.org/10.1007/978-3-031-10562-3_9.

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Abstract The concept of exploiting proven monotonicity for dimension reduction and elimination of partition sets is well known in the field of Interval Arithmetic Branch and Bound (B &B). Part of the concepts can be applied in simplicial B &B over a box. The focus of our research is here on minimizing a function over a lower simplicial dimension feasible set, like in blending and portfolio optimization problems. How can monotonicity be detected and be exploited in a B &B context? We found that feasible directions can be used to derive bounds on the directional derivative. Specifica

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Stark, Sarah. "“I’ll Create My Own Precedents”: Female Rakugo Performers on Tokyo’s Yose Stages." In Gender in Japanese Popular Culture. Springer International Publishing, 2023. http://dx.doi.org/10.1007/978-3-031-12942-1_3.

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AbstractRakugo is a Japanese stage art originating in the seventeenth century, and was initially popular with the lower classes. For the majority of its history, rakugo stories have been performed by men for (mostly) male audiences. The misogynistic and/or male-centered characters of the stories are not the only obstacle female performers are faced with; they also have to confront the male-centered community and audience expectations. With few senior female master-performers, there is a lack of role models and younger female performers have to find strategies regarding their portfolio, voice p

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Zhang, Qiansheng, and Qimin Chen. "A Fuzzy Portfolio Decision Model Based on Credibilistic Mean, Lower-Semi Absolute Deviation and ESG Level." In Communications in Computer and Information Science. Springer Nature Singapore, 2025. https://doi.org/10.1007/978-981-96-1904-7_27.

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Dabbeeru, Madan Mohan, Kalyanmoy Deb, and Amitabha Mukerjee. "Product Portfolio Selection of Designs Through an Analysis of Lower-Dimensional Manifolds and Identification of Common Properties." In Multi-objective Evolutionary Optimisation for Product Design and Manufacturing. Springer London, 2011. http://dx.doi.org/10.1007/978-0-85729-652-8_5.

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Szturz, Petr, and Jan B. Vermorken. "Systemic Treatment Sequencing and Prediction of First-line Therapy Outcomes in Recurrent or Metastatic Head and Neck Cancer." In Critical Issues in Head and Neck Oncology. Springer International Publishing, 2023. http://dx.doi.org/10.1007/978-3-031-23175-9_13.

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AbstractIn the palliative management of patients with recurrent and/or metastatic squamous cell carcinoma of the head and neck who are not candidates for a complete resection or full-dose radiotherapy, systemic treatment has seen important advances over the past several decades. In general, there are six major factors impacting on the decision-making process. Four of them belong to a class of continuous functions and include overall health status (from fitness to frailty), disease burden (from high to low), pace of the disease (from fast to slow), and expression of programmed-death ligand 1 (P

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González, María de la O., Francisco Jareño, and Frank S. Skinner. "Portfolio Effects of Cryptocurrencies During the COVID-19 Crisis." In A New World Post COVID-19. Fondazione Università Ca’ Foscari, 2020. http://dx.doi.org/10.30687/978-88-6969-442-4/011.

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We investigate the performance of optimised three asset portfolios comprised of stocks, bonds and a cryptocurrency or gold for the period immediately before and during the Covid-19 financial crisis. We compare the performance of these portfolios with a two-asset cash portfolio comprised of stocks and bonds. Cryptocurrencies have the potential to control risk as most portfolios that include cryptocurrencies consistently experienced risk no greater than 50 basis points above the risk experienced by cash portfolios. However, there is no free lunch. While three asset portfolios can control risk, t

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Balduzzi, Pierluigi, Giuseppe Bertola, and Silverio Foresi. "Asset Price Dynamics and Infrequent Feedback Trades." In New Research in Financial Markets. Oxford University PressOxford, 2002. http://dx.doi.org/10.1093/oso/9780199243211.003.0007.

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Abstract Investors routinely rebalance their portfolios in response to changes in prices. In order to hold portfolio weights constant, for example, investors would buy losers and sell winners, a typical negative-feedback or contrarian strategy.1 Alternatively, investors may implement positive-feedback strategies: buy stocks when their prices rise, and sell them when their prices fall. These strategies include portfolio choice based on extrapolative expectations (trend-chasing), the use of stop-loss orders, and portfolio insurance.

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Streszczenia konferencji na temat "Loser portfolios"

Pergher, Kevin Gabriel Ramisch, John Soldera, and Jacob Scharcanski. "Dynamic Orthogonal Lower Dimensional Projections for Improving Hierarchical Risk Allocation and Out of Sample Portfolio Returns." In 2025 IEEE Symposium on Computational Intelligence for Financial Engineering and Economics Companion (CiFer Companion). IEEE, 2025. https://doi.org/10.1109/cifercompanion65204.2025.10980404.

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Philipp, A. "Longer Lifecycles with Duplex Stainless Steels and Innovative Concepts of Combining Different Materials." In CONFERENCE 2023. AMPP, 2023. https://doi.org/10.5006/c2023-19526.

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Abstract Looking at different stainless-steel families, we find lower alloyed ferritic stainless steels, high alloyed austenitic, and duplex stainless steels. All different grades are used in a wide range of temperatures, corrosion environments, and applications. The challenge is developing different materials and product forms in a way that they can outperform their standard property portfolio to increase process efficiency and equipment lifetime and reduce costs. How is this achievable? Duplex stainless steels with an austenitic and ferritic phase show excellent corrosion resistance and doub

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Maknickienė, Nijolė, Raimonda Martinkutė-Kaulienė, and Lina Rapkevičiūtė. "FAMILIARITY BIAS INVESTIGATIO IN PORTFOLIO CREATION." In 12th International Scientific Conference „Business and Management 2022“. Vilnius Gediminas Technical University, 2022. http://dx.doi.org/10.3846/bm.2022.775.

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The prevailing opinion exists that investors include to their portfolio what they know or what is located around them. Investment decision, which is impacted by familiarity bias, avoid including international companies to portfolio which might lead to lower performance compared to portfolio which has both, local and international, stocks in a portfolio. The aim of this study is to analyse the impact of familiarity bias on investment decision, to form port-folios from the stocks listed on the Nasdaq Baltic stock exchange and compare their performance to global portfolios, which are formed from

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Nakagawa, Kei, Shuhei Noma та Masaya Abe. "RM-CVaR: Regularized Multiple β-CVaR Portfolio". У Twenty-Ninth International Joint Conference on Artificial Intelligence and Seventeenth Pacific Rim International Conference on Artificial Intelligence {IJCAI-PRICAI-20}. International Joint Conferences on Artificial Intelligence Organization, 2020. http://dx.doi.org/10.24963/ijcai.2020/629.

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The problem of finding the optimal portfolio for investors is called the portfolio optimization problem. Such problem mainly concerns the expectation and variability of return (i.e., mean and variance). Although the variance would be the most fundamental risk measure to be minimized, it has several drawbacks. Conditional Value-at-Risk (CVaR) is a relatively new risk measure that addresses some of the shortcomings of well-known variance-related risk measures, and because of its computational efficiencies, it has gained popularity. CVaR is defined as the expected value of the loss that occurs be

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Dabbeeru, Madan Mohan, and Amitabha Mukerjee. "Product Platform Selection in Lower-Dimensional Manifold Spaces." In ASME 2009 International Design Engineering Technical Conferences and Computers and Information in Engineering Conference. ASMEDC, 2009. http://dx.doi.org/10.1115/detc2009-87486.

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Product portfolios need to present the widest coverage of user requirements with minimal product diversity. User requirements may vary along multiple performance measures, comprising the objective space, whereas the design variables constitute the design space, which is usually far higher in dimensionality. Here we consider the set of possible performances of interest to the user, and use multi-objective optimization to identify the non-domination or the pareto-front. The designs lying along this front are mapped to the design space; we show that these “good designs” are often restricted to a

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Zafar, Madiha, and Muhammad Owais Qarni. "UNCOVERING DIVERSIFICATION BENEFITS: RETURN SPILLOVERS IN USA ESG AND NON-ESG ORIENTED BANKS." In International Conference on Business, Economics, Law, Language & Psychology, 18-19 June 2024, London. Global Research & Development Services, 2024. http://dx.doi.org/10.20319/icssh.2024.328329.

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Financial products are interconnected through the balance sheet and affect the overall economic system by connectedness. Investors are interested in the connectedness of markets, so our study investigated spillover dynamics and their influence on ESG and non-ESG-oriented banks in the USA. Our dataset comprises 2319 observations from January 1, 2015, to November 22, 2023. We employed the spillover index of Diebold and Yilmaz (2012) to conduct an extensive analysis of ESG-oriented and non-ESG-oriented banks in the USA. The study uncovered significant differences in interconnectedness and spillov

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García-Martínez, Arturo, and Antonio García-Amate. "UNDERSTANDING BANK DIVESTMENT IN FOSSIL FUELS. AN APPROACH FROM VAR AND MONTE CARLO SIMULATION." In BuPol London 2024–International Conference on Business, Economics & Policy, 20-21 February. Global Research & Development Services, 2024. http://dx.doi.org/10.20319/icssh.2024.192193.

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The energy transition is one of the most relevant priorities in the context of the current production and consumption system. Finance, through Sustainable Finance, must start redirecting money flows towards projects with less impact on the environment. Through portfolio construction, this paper conducts an analysis based on Monte Carlo Simulation and Value at Risk. Based on a sample of 40 international banks, distributed by those that invest more in fossil fuels vs. those that invest less, the main objective of this work is to know the financial viability of the different portfolios considerin

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Liu, Yanwu, and Zhongzhen Zhang. "Pivoting Algorithm for Mean Lower Semi-Absolute Deviation Portfolio Optimization Model." In 2010 Second International Conference on Multimedia and Information Technology. IEEE, 2010. http://dx.doi.org/10.1109/mmit.2010.83.

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Matosovic, Marko, and Zeljko Tomsic. "Power generation mix optimization using mean-lower partial moments (LPM) portfolio theory." In 2014 IEEE International Energy Conference (ENERGYCON). IEEE, 2014. http://dx.doi.org/10.1109/energycon.2014.6850448.

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Luo, Di, Weiheng Liao, and Rui Yan. "Lower Risks, Better Choices: Stock Correlation Based Portfolio Selection in Stock Markets." In WWW '23: The ACM Web Conference 2023. ACM, 2023. http://dx.doi.org/10.1145/3543873.3587298.

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Raporty organizacyjne na temat "Loser portfolios"

Goldberg, Linda S., and Oliver Hannaoui. Drivers of Dollar Share in Foreign Exchange Reserves. Federal Reserve Bank of New York, 2024. http://dx.doi.org/10.59576/sr.1087.

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The share of U.S. dollar assets in the official foreign exchange reserve portfolios of central banks is sometimes taken as an indicator of dollar status. We show that the observed decline in the aggregate share of U.S. dollar assets does not stem from a systematic shift in currency preferences away from holding dollar assets. Instead, a small group of countries with large foreign exchange reserve balances drive the dollar share decline observed in aggregate statistics. This arises either due to countries conducting monetary policy vis-à-vis the euro or due to preference shifts away from dollar

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Cruces, Lidia, Isabel Micó-Millán, and Susana Párraga. Female Financial Portfolio Choices and Marital Property Regimes. Banco de España, 2024. http://dx.doi.org/10.53479/37794.

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This paper studies the relationship between married couples’ portfolio choices and property division rules. Using rich household survey data, we exploit the regional variation in marital laws across Spain to estimate the causal effects of property division rules on household financial investment. We find that separate-property couples hold riskier financial portfolios than community-property ones when wives take charge of the household finances. To understand this gap in risky asset holdings, we develop a financial portfolio choice model where couples are subject to divorce risk but differ in

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Cavallo, Eduardo A., and Eduardo Fernández-Arias. External Crisis Vulnerability in Latin America and the Caribbean. Inter-American Development Bank, 2023. http://dx.doi.org/10.18235/0005010.

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This paper assesses the vulnerability of Latin American and Caribbean (LAC) economies to external crises. It shows that while the average LAC economy has made significant strides to reduce vulnerability to crises to its historical minimum, there is still considerable room for improvement, compared to both advanced and non-advanced economies. When compared to other non-advanced economies, the average LAC economy displays a higher level of vulnerability, mainly due to slower improvements in portfolio composition and less accumulation of international reserves since 2000. Advanced economies have

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Gálvez, Julio, and Gonzalo Paz-Pardo. Richer earnings dynamics, consumption and portfolio choice over the life cycle. Banco de España, 2022. http://dx.doi.org/10.53479/23686.

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Households face earnings risk which is non-normal and varies by age and over the income distribution. We show that allowing for these rich features of earnings dynamics, in the context of a structurally estimated life-cycle portfolio choice model, helps to better understand the limited participation of households in the stock market and their low holdings of risky assets. Because households are subject to more background risk than previously considered, the estimated model implies a substantially lower coeffcient of risk aversion and a lower optimal risky share for older workers with low wealt

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Gálvez, Julio, and Gonzalo Paz-Pardo. Richer earnings dynamics, consumption and portfolio choice over the life cycle. Banco de España, 2022. http://dx.doi.org/10.53479/23706.

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Households face earnings risk which is non-normal and varies by age and over the income distribution. We show that, in the context of a structurally estimated life-cycle portfolio choice model, allowing for these rich features of earnings dynamics helps to better understand the limited participation of households in the stock market and their low holdings of risky assets. Because households are subject to more background risk than previously considered, the estimated model implies a substantially lower coefficient of risk aversion and a lower optimal risky asset share for older workers with lo

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Avi-Yonah, Reuven S. Globalization and Tax Competition: Implications for Developing Countries. Inter-American Development Bank, 2001. http://dx.doi.org/10.18235/0008545.

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The current age of globalization can be distinguished from the previous one by the much higher mobility of capital than labor. The mobility of capital has led to tax competition, in which sovereign countries lower their tax rates on income earned by foreigners within their borders in order to attract both portfolio and direct investment. Tax competition, in turn, threatens to undermine the individual and corporate income taxes, which remain major sources of revenue for all modern states. This paper argues that if government service programs are to be maintained in the face of globalization, it

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Cabrera, Wilmar, Santiago Gamba, Camilo Gómez, and Mauricio Villamizar-Villegas. Examining Macroprudential Policy through a Microprudential Lens. Banco de la República, 2022. http://dx.doi.org/10.32468/be.1212.

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In this paper, we examine the financial and real effects of macroprudential policies with a new identifying strategy that exploits borrower-specific provisioning levels for each bank. Locally, we compare similar firms just below and above regulatory thresholds established in Colombia during 2008--2018 for the corporate credit portfolio. Our results indicate that the scheme induces banks to increase the provisioning cost of downgraded loans. This implies that, for loans with similar risk but with a discontinuously lower rating, banks offer a lower amount of credit, demand higher quality guarant

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Micco, Alejandro, Andrew Powell, and Arturo Galindo. Loyal Lenders or Fickle Financiers: Foreign Banks in Latin America. Inter-American Development Bank, 2005. http://dx.doi.org/10.18235/0010962.

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We suggest that foreign banks may represent a trade-off for their developing country hosts. A portfolio model is developed to show that a more diversified international bank may be one of lower, overall risk and less susceptible to funding shocks but may react more to shocks that affect expected returns in a particular host country. Foreign banks have become particularly important in Latin America where we find strong support for these theoretical predictions using a dataset of individual Latin American banks in 11 countries. Moreover, we find no significant difference between the size of the

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Piza, Caio, Tulio Cravo, Simon Lodato, and Jose Claudio Linhares Pires. Evaluation of the Opportunities for the Majority Initiative. Inter-American Development Bank, 2012. http://dx.doi.org/10.18235/0010433.

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The Opportunities for the Majority Initiative (OMJ) was originally set up for three years as a time-bound pilot initiative. The OMJ team has worked diligently to test the Base of the Pyramid model and develop the OMJ portfolio, and from that standpoint the initiative has been successful. Regarding OMJ's operational objectives, its achievements on targeting, innovation, learning, and replication have been mixed. OMJ has not found a unique market niche that cannot be served by another IDB Group private sector window with significant operational advantages over OMJ. In light of the findings, the

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Lee, Donggyu. Quantitative Easing and Inequality. Federal Reserve Bank of New York, 2024. http://dx.doi.org/10.59576/sr.1108.

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This paper studies how quantitative easing (QE) affects household welfare across the wealth distribution. I build a Heterogeneous Agent New Keynesian (HANK) model with household portfolio choice, wage and price rigidities, endogenous unemployment, frictional financial intermediation, an effective lower bound (ELB) on the policy rate, forward guidance, and QE. To quantify the contribution of the various channels through which monetary policy affects inequality, I estimate the model using Bayesian methods, explicitly taking into account the occasionally binding ELB constraint and the QE operatio

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