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Artigos de revistas sobre o tema "Stocks Rate of return Mathematical models"

Autor: Grafiati

Publicado: 4 de junho de 2021

Última modificação: 19 de fevereiro de 2022

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1

Oygur, Tunc, and Gazanfer Unal. "Evidence of Large Fluctuations of Stock Return and Financial Crises from Turkey: Using Wavelet Coherency and Varma Modeling to Forecast Stock Return." Fluctuation and Noise Letters 16, no. 02 (May 25, 2017): 1750020. http://dx.doi.org/10.1142/s0219477517500201.

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Shocks, jumps, booms and busts are typical large fluctuation markers which appear in crisis. Models and leading indicators vary according to crisis type in spite of the fact that there are a lot of different models and leading indicators in literature to determine structure of crisis. In this paper, we investigate structure of dynamic correlation of stock return, interest rate, exchange rate and trade balance differences in crisis periods in Turkey over the period between October 1990 and March 2015 by applying wavelet coherency methodologies to determine nature of crises. The time period incl

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Lioui, Abraham, and Paulo Maio. "Interest Rate Risk and the Cross Section of Stock Returns." Journal of Financial and Quantitative Analysis 49, no. 2 (March 10, 2014): 483–511. http://dx.doi.org/10.1017/s0022109014000131.

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AbstractWe derive a macroeconomic asset pricing model in which the key factor is the opportunity cost of money. The model explains well the cross section of stock returns in addition to the excess market return. The interest rate factor is priced and seems to drive most of the explanatory power of the model. In this model, both value stocks and past long-term losers enjoy higher average (excess) returns because they have higher interest rate risk than growth/past winner stocks. The model significantly outperforms the nested models (capital asset pricing model (CAPM) and consumption CAPM (CCAPM

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Škrinjarić, Tihana, and Boško Šego. "Using Grey Incidence Analysis Approach in Portfolio Selection." International Journal of Financial Studies 7, no. 1 (December 23, 2018): 1. http://dx.doi.org/10.3390/ijfs7010001.

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Due to the development of financial markets, products, financial and mathematical models, portfolio selection today represents a comprehensive set of activities. Investors take into consideration many different factors, such as the market factors, return distribution characteristics and financial statements information. This research applies a Grey Relational Analysis (GRA) approach to evaluate the performance on a sample of stocks by taking those different factors into consideration. The results based upon a sample of 55 stocks for the trading year 2017 on the Croatian capital market show tha

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4

Lee, Cheng-Wen, and Dolgion Gankhuyag. "Portfolio Optimization in Post Financial Crisis of 2008-2009 in the Mongolian Stock Exchange." Jurnal METRIS 21, no. 01 (June 1, 2020): 47–58. http://dx.doi.org/10.25170/metris.v21i01.2432.

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In this study, we present the Mongolian stock market’s performance post phenomenal financial crisis of 2008-2009, opportunities to invest and the risks problems. For analysis of the study, we used financial portfolio optimization models with restricted structure, mathematical statistic methods and financial methods. First, we considered about portfolio optimization in the Mongolian Stock Exchange using Markowitz’s modern portfolio theory and Telser’s safety first model. We used MSE weekly trading data chosen 50 most traded stocks out of 237 stocks listed at the MSE between 2009 and 2013. We ge

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5

Hatem, Ben Said. "How Can We Measure Stock Market Returns? An International Comparison." International Business Research 10, no. 5 (April 24, 2017): 121. http://dx.doi.org/10.5539/ibr.v10n5p121.

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The aim of our empirical work is to identify how we can measure stock returns. Stocks returns are approximated as the growth rate of market share price. We use two measures of stocks returns; return on assets, ROA, and return on equity, ROE. As a control variable, we use firm age. Our samples consists of 186 firms from United Kingdom and 186 firms from Ukraine studied over a period of 4 years from 2007 to 2010. To this end, we estimate three models. Using the data panels methodology, we conclude that return on equity approximates better socks returns for United kingdom and Ukraine. We could no

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Yuan, Man. "Mathematical Analysis Method for Stock Market Using MA and KDJ Indicator." Asian Business Research 4, no. 2 (June 6, 2019): 21. http://dx.doi.org/10.20849/abr.v4i2.618.

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With the rapid development of Economic Globalization as well as international trade and capital transaction, stock market take a more and more important position in the finance analysis.In this thesis, I combined the MA the KDJ, MA for long term trend analysis and KDJ for short term analysis. First I introduced MA and KDJ separately, their strength and weakness. Then I try to put them together, adjust the parameters to make them suitable for Shanghai Stock Exchange Composite Index.Then I use my model to simulate transaction in real world, estimate the rate of return and comparing with the stoc

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7

Shin, Dong Hoon. "Optimal Pairs Trading Strategy under Geometric Brownian Motion and its Application to the US stocks." International Journal for Innovation Education and Research 9, no. 5 (May 1, 2021): 550–60. http://dx.doi.org/10.31686/ijier.vol9.iss5.3125.

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This study is a study on pair trading, a representative market-neutral investment strategy. A general pair trading strategy uses econometric techniques to select a pair of stocks and calculates the trading price level depending on a single variable called the variance of stock returns without any theoretical background. This study applies the optimal pair trading strategy proposed by Liu et al. (2020) to the top US market cap stocks and examines its performance. This strategy proposes a mathematical background for optimally calculating the trading price level. Since the statistical method for

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Neilson, E. T., D. A. MacLean, P. A. Arp, F. R. Meng, C. P.-A. Bourque, and J. S. Bhatti. "Modeling carbon sequestration with CO2Fix and a timber supply model for use in forest management planning." Canadian Journal of Soil Science 86, Special Issue (March 1, 2006): 219–33. http://dx.doi.org/10.4141/s05-081.

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Carbon (C) dynamics and forest management have become integrated in recent years, largely due to the Kyoto Protocol stipulating that forest C changes may be accountable in an emissions framework. A C stock modeling framework for forest managers is introduced in this paper. Empirical growth and yield models are used to develop sustainable timber supply for forest companies. These models use linear programming to solve the complex mathematical problem of timing and allocation of forest harvest and silviculture interventions. In this paper, we evaluated the effects of “business as usual”forest ma

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Setyawati, Ni Putu Eka Cahya, and Gede Merta Sudiartha. "PEMBENTUKAN PORTOFOLIO OPTIMAL MENGGUNAKAN MODEL MARKOWITZ." E-Jurnal Manajemen Universitas Udayana 8, no. 7 (March 10, 2019): 4213. http://dx.doi.org/10.24843/ejmunud.2019.v08.i07.p08.

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Investment can be related to investing some funds in financial assets or real assets such as land, gold, shares, deposits, bonds and other forms. As a party who is make an investment, investors will be faced with a variety of options in investing that has a rate of return and risk-appropriate expectations. The ways that usually used by investors is to diversify through the creation of a portfolio. The aim of this research is to know the stocks that can be inserted into the optimal portofolio as well as the proportions of each of the stocks, that the model established by Markowitz. This researc

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Qudratullah, Mohammad Farhan. "Treynor Ratio to Measure Islamic Stock Performance in Indonesia." Jurnal Fourier 8, no. 1 (April 30, 2019): 1–13. http://dx.doi.org/10.14421/fourier.2019.81.1-13.

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Treynor Ratio merupakan model pioner inovatif ukuran kinerja saham yang dikemukakan Jack Treynor pada tahun 1965 yang terdiri atas 3 (tiga) komponen, yaitu return saham, return bebas risiko, dan beta saham. Banyak penelitian mendekati return bebas risiko dengan suku bunga termasuk saat mengukur kinerja saham syariah, sedangkan suku bunga dilarang dalam konsep keuangan islam. Tulisan ini membahas variabel alternatif untuk mendekati return bebas risiko selain dengan suku bunga (BI-Rate), yaitu dengan 4 (empat) pendekatan, yaitu: menghilangkan suku bunga, mengganti dengan zakat rate, mengganti de

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Tirmizi, Syed Muhammad Ali, Haider Ali, and Sharif Ullah Jan. "Petroleum and Food Sectors Lost Stock Returns against Investments in PSX." Global Management Sciences Review VI, no. I (March 30, 2021): 99–111. http://dx.doi.org/10.31703/gmsr.2021(vi-i).10.

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The impact of exchange rate exposure and market return on stock returns of petroleum and food sectors PSX listed firms has been investigated empirically. Two econometric models formulated based on the Jorion approach of the two-factor model have been analyzed for petroleum and food sectors stock returns, market return and exchange rate (i.e., USD) for the study period 2005-2012, which represent an era of military regime proceeded by the democratic government of Pakistan Peoples Party. A sample of 37 petroleum and food sectors listed firms have been evaluated by applying the unit root test and

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Gusni, Gusni, and Suskim Riantani. "Penggunaan Arbitrage Pricing Theory Untuk Menganalisis Return Saham Syariah." Jurnal Manajemen 9, no. 1 (June 1, 2017): 68–84. http://dx.doi.org/10.31937/manajemen.v9i1.598.

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Arbitrage Pricing Theory (APT) is one of model that can be used to quantify the risk for investors in order to produce capital gain.There are two empirical models are used in implement the APT: the factor loading model (FLM) and the macro variable model (MVM). Model used in this research was MVM as used by Chen, Roll dan Ross (1986), and Chen, Hsieh dan Jordan (1997). The purpose of this study is to capture the application of APT in Jakarta Islamic Index (JII) using macroeconomic variables (inflation, exchange rate, and interest rate) as the determinants of Syariah stock return and found macro

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13

WONG, HOCK TSEN. "REAL EXCHANGE RATE RETURNS AND REAL STOCK PRICE RETURNS IN THE STOCK MARKET OF MALAYSIA." Singapore Economic Review 64, no. 05 (December 12, 2016): 1319–49. http://dx.doi.org/10.1142/s0217590816500387.

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This study examines the relationships between real exchange rate returns and real stock price returns in the stock market of Malaysia. The Kwiatkowski, Phillips, Schmidt and Shin (KPSS) and Dickey and Fuller (DF) unit root test statistics show that all the variables examined are found to be stationary in the first differences. The constant conditional correlation (CCC)-multivariate generalized autoregressive conditional heteroskedasticity (MGARCH) model shows that real exchange rate return of Malaysian ringgit against the United States dollar (RM/USD) and real stock price return of Kuala Lumpu

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14

Mehrara, Mohsen, Yazdan Gudarzi Farahani, Farzan Faninam, and Abbas Rezazadeh Karsalari. "The Effect of Macroeconomic Variables on the Stock Market Index of the Tehran Stock Exchange." International Letters of Social and Humanistic Sciences 71 (July 2016): 17–24. http://dx.doi.org/10.18052/www.scipress.com/ilshs.71.17.

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This paper examines the relationship between stock market index and macroeconomic policies (Fiscal and Monetary) on Iran's economy using quarterly data in the period 1999-2013. This study employed cointegration test and vector autoregressive models (VAR) to examine relationships between the stock market index and the macroeconomic variables. The empirical results reveal that a positive money shock can increase stocks return. According to impulse responses, the government expenditure had a slight impact on stocks return in the short term. But the government expenditure has a positive effect on

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15

Stamou, A. I., M. Latsa, and D. Assimacopoulos. "Design of two-storey final settling tanks using mathematical models." Journal of Hydroinformatics 2, no. 4 (October 1, 2000): 235–45. http://dx.doi.org/10.2166/hydro.2000.0021.

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A mathematical model is applied to the design of two-storey final settling tanks. Computations show that the flow and suspended solids (SS) concentration fields for the upper and bottom tanks are similar. The flow field has the ‘two-layer’ structure, observed in real and laboratory settling tanks, consisting of a bottom current and a free surface return current with approximately equal heights. The SS concentration field is governed by the flow field (and vice versa). The SS concentration profiles are uniform in the major part of the tanks. The hydraulic and SS removal efficiencies improve wit

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16

Wijayanti, Delia, and Sishadiyati . "ANALISIS SUKU BUNGA, KURS DAN INFLASI TERHADAP RETURN SAHAM BLUE CHIP SEKTOR PERBANKAN." Jurnal Dinamika Ekonomi Pembangunan 3, no. 1 (January 29, 2020): 276–81. http://dx.doi.org/10.33005/jdep.v3i1.102.

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This study aims to analyze the factors that influence stock returns, especially blue chip stocks in the banking sector. The variables used in this study are interest rates, exchange rates and inflation. This research uses a quantitative approach with multiple linear regression analysis models. The results showed that the variable interest rates, exchange rates and inflation affect the blue chip stock returns of the banking sector. But partially, interest rates do not affect the blue chip stock returns of the banking sector while the exchange rate and inflation affect the blue chip stock return

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17

El-Demerdash, Basma E., Assem A. Tharwat, and Ihab A. A. El-Khodary. "A Unified Mathematical Model for Stochastic Data Envelopment Analysis." International Journal of Service Science, Management, Engineering, and Technology 12, no. 1 (January 2021): 127–41. http://dx.doi.org/10.4018/ijssmet.2021010108.

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Efficiency measurement is one aspect of organizational performance that managers are usually interested in determining. Data envelopment analysis (DEA) is a powerful quantitative tool that provides a means to obtain useful information about the efficiency and performance of organizations and all sorts of functionally similar, relatively autonomous operating units. DEA models are either with a constant rate of return (CRS) or variable return to scale (VRS). Furthermore, the models could be input-oriented or output-oriented. In many real-life applications, observations are usually random in natu

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18

AYUNING TYAS, VIAN RISKA, KOMANG DHARMAWAN, and MADE ASIH. "PENERAPAN MODEL ARBITRAGE PRICING THEORY DENGAN PENDEKATAN VECTOR AUTOREGRESSION DALAM MENGESTIMASI EXPECTED RETURN SAHAM (Studi Kasus: Saham-Saham Kompas100 Periode 2010-2013)." E-Jurnal Matematika 3, no. 1 (January 31, 2014): 17. http://dx.doi.org/10.24843/mtk.2014.v03.i01.p061.

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The Arbitrage Pricing Theory (APT) is an alternative model to estimate the price of securities based of arbitrage concept. In APT, the returns of securities are affected by several factors. This research is aimed to estimate the expected returns of securities using APT model and Vector Autoregressive model. There are ten stocks incorporated in Kompas100 index and four macroeconomic variables, these are inflation, exchange rates, the amountof circulate money (JUB), and theinterest rateof Bank Indonesia(SBI) are applied in this research. The first step in using VAR is to test the stationary of t

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19

Shazhdekeeva, N. K., and A. O. Chanpalova. "SOLUTION OF THE DUAL PROBLEM BY THE BARANKIN-DORFMAN METHOD FOR THE FORMATION OF THE INVESTMENT PORTFOLIO." BULLETIN Series of Physics & Mathematical Sciences 70, no. 2 (June 30, 2020): 130–34. http://dx.doi.org/10.51889/2020-2.1728-7901.20.

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The article focuses on the consideration of econometric models of stock quotes of large domestic companies based on modeling the securities portfolio and predicting its behavior using mathematical modeling using elements of probability theory and mathematical statistics. It is also shown how the problem of choosing the optimal portfolio can be reduced to the problem of convex quadratic programming. In this article, based on the Markowitz model, a model of an optimal investment portfolio with bilateral restrictions on variables associated with the requirements of the law is developed. An exampl

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20

Patalay, Sandeep, and Madhusudhan Rao Bandlamudi. "Decision Support System for Stock Portfolio Selection Using Artificial Intelligence and Machine Learning." Ingénierie des systèmes d information 26, no. 1 (February 28, 2021): 87–93. http://dx.doi.org/10.18280/isi.260109.

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Investing in stock market requires in-depth knowledge of finance and stock market dynamics. Stock Portfolio Selection and management involve complex financial analysis and decision making policies. An Individual investor seeking to invest in stock portfolio is need of a support system which can guide him to create a portfolio of stocks based on sound financial analysis. In this paper the authors designed a Financial Decision Support System (DSS) for creating and managing a portfolio of stock which is based on Artificial Intelligence (AI) and Machine learning (ML) and combining the traditional

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21

Phuong, Lai Cao Mai. "Investor Sentiment by Money Flow Index and Stock Return." International Journal of Financial Research 12, no. 4 (March 18, 2021): 33. http://dx.doi.org/10.5430/ijfr.v12n4p33.

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Factors affecting stock prices have been studied by many scholars on different stock markets. However, the number of empirical studies applying technical analysis indicators to measure investor sentiment is quite limited. To explore this interesting topic, this study uses the Money Flow Index (MFI) indicator to measure an investor's sentiment by various thresholds and to test its effect on the excess return on Vietnam stock market. Data series including market, interest rate, finance and transaction data of 138 companies listed on the Ho Chi Minh City Stock Exchange from 2015 to June 2020 are

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Srivastava, Suresh C., Shahid Hamid, and Askar H. Choudhury. "Stock And Bond Market Linkage In The Empirical Study Of Interest Rate Sensitivity Of Bank Returns." Journal of Applied Business Research (JABR) 15, no. 1 (August 31, 2011): 47. http://dx.doi.org/10.19030/jabr.v15i1.5689.

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<span>The bank stocks equilibrium pricing relation is the traditional CAPM augmented by a second factor to account for the unexpected changes in the interest rates. This paper examines the methodological issue of constructing an interest rate variable that is orthogonal to the market index. We test a new approach in which the interest rate variable and the market return are treated as the components of a bivariate vector, a suitable vector ARMA model is determined, and then the appropriate whitened residuals are used as the interest rate factor in the two-factor model. Results are compar

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23

Wei, Jun. "Optimal Combination of Currency Assets and Algorithm Simulation under Exchange Rate Risk." Complexity 2020 (November 2, 2020): 1–10. http://dx.doi.org/10.1155/2020/8816382.

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The excess money supply did not lead to a rapid rise in the price index, which in turn triggered inflation. In this case, the redetermination of the demand for money is particularly important. At the same time, with the continuous expansion of the capital market and the rapid development of the virtual economy, the virtual economy is gradually deviating from the real economy. When selecting assets, microentities often incorporate virtual economic assets into investment considerations. Therefore, it is necessary to establish a money demand model that considers the impact of virtual economic ass

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Hampton, John, and John Gunn. "Exploitation and movements of yellowfin tuna (Thunnus albacares) and bigeye tuna (T. obesus) tagged in the north-western Coral Sea." Marine and Freshwater Research 49, no. 6 (1998): 475. http://dx.doi.org/10.1071/mf97210.

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Yellowfin tuna (Thunnus albacares) and bigeye tuna (T. obesus) were tagged and released in the north-western Coral Sea off northern Queensland in 1991 and 1992. Over the next five years, recaptures were reported by Australian longline vessels based in Cairns and fishing in the release area, and by industrial tuna fleets fishing in the adjacent western Pacific region, thus demonstrating clear links between the tuna stocks in these areas. Some southerly movements of yellowfin, in particular, further suggested links with stocks supporting the longline fishery in the south-eastern Australian Fishi

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25

Moon, Sungjeh, and Joonhyuk Song. "Cross Section of KOSPI Returns Based on Cash Flow Risk Factors." Journal of Derivatives and Quantitative Studies 26, no. 3 (August 31, 2018): 311–43. http://dx.doi.org/10.1108/jdqs-03-2018-b0002.

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This paper introduces two risk factors which are the covariance between long-run consumption growth and cash flows and the duration of cash flow, and investigates how these factors serve to explain the KOSPI return risk premiums. Based on our empirical results comparing the proposed two-factor cash flow model with the standard benchmark models such as CAPM and Fama-French 3-factor model (FF-3F), using KOSPI equity including de-listed stocks, the cash flow model explains 74.7% of the cross-section of equity risk premium while CAPM and FF-3F model explains 41.9% and 64.1% to the maximum, respect

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Teplova, T. V., T. V. Sokolova, A. Fasano, and V. A. Rodina. "Determinants of return rates of Russian equity and bond mutual funds: Active investment strategies and commissions." Voprosy Ekonomiki, no. 9 (September 5, 2020): 40–60. http://dx.doi.org/10.32609/0042-8736-2020-9-40-60.

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In our paper, we study the impact of active investment strategies and factors of their success in the Russian market of collective investment — self-confidence of managers, commissions of management companies (MC) — on return rates of mutual funds. For the first time, not only equity mutual funds, but also bond mutual funds are considered as an object of study; the time period is since 2012. Our study is based on data on the structure of mutual fund portfolios provided by Investfunds. We propose a number of original indicators of an active management style and consider the profitability of mut

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Lei, Bolin, Boyu Zhang, and Yuping Song. "Volatility Forecasting for High-Frequency Financial Data Based on Web Search Index and Deep Learning Model." Mathematics 9, no. 4 (February 5, 2021): 320. http://dx.doi.org/10.3390/math9040320.

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The existing index system for volatility forecasting only focuses on asset return series or historical volatility, and the prediction model cannot effectively describe the highly complex and nonlinear characteristics of the stock market. In this study, we construct an investor attention factor through a Baidu search index of antecedent keywords, and then combine other trading information such as the trading volume, trend indicator, quote change rate, etc., as input indicators, and finally employ the deep learning model via temporal convolutional networks (TCN) to forecast the volatility under

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Turner, C. M. R., N. Aslam, and C. Dye. "Replication, differentiation, growth and the virulence ofTrypanosoma bruceiinfections." Parasitology 111, no. 3 (September 1995): 289–300. http://dx.doi.org/10.1017/s0031182000081841.

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SUMMARYThis study had 2 objectives: first, to investigate how the processes of slender form replication, of differentiation from dividing slender to non-dividing stumpy forms, and of stumpy mortality, combine to determine the initial (acute-phase) growth rate ofTrypanosoma bruceipopulations; second, to determine how acute-phase growth rates influence parasite densities during the subsequent, chronic phase of infection. During the acute phase, slender and stumpy populations both grew approximately exponentially, the latter more slowly than the former. Mathematical models showed how this differe

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Chen, Yu, Yantai Chen, Yanlin Guo, and Yanfei Xu. "Research on the Coordination Mechanism of Value Cocreation of Innovation Ecosystems: Evidence from a Chinese Artificial Intelligence Enterprise." Complexity 2021 (February 24, 2021): 1–16. http://dx.doi.org/10.1155/2021/7629168.

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This paper models the game process of the value cocreation of enterprises based on evolutionary game theory (EGT). The factors influencing value cocreation are found through mathematical analysis. Taking iFLYTEK as an example, a representative enterprise of artificial intelligence (AI) in China, six factors affecting value cocreation are verified, which are the excess return rate, the distribution coefficient of the excess return rate, coordination costs in the system, the cost-sharing coefficient, imitation costs, and penalties. These six factors have a profound impact on value cocreation in

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Zhang, Bin, Haocen Hong, Min Yu, and Huayong Yang. "Leakage analysis and ground tests of knife edge indium seal to lunar sample return devices." Proceedings of the Institution of Mechanical Engineers, Part G: Journal of Aerospace Engineering 233, no. 6 (April 18, 2018): 2010–22. http://dx.doi.org/10.1177/0954410018768425.

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This work deals with the lunar sample return project, which requires lunar samples to be returned back to the ground without contamination. In this paper, a knife edge indium seal is proposed as a primary sealing form, where indium–silver alloy is welded into an annular groove of a cylindrical container firstly and then extruded by an annular knife edge of a cylindrical lid. The analysis of the leakage and sealing reliability of knife edge indium seal is the main aim of this paper. Firstly, the pretreatment of knife edge indium seal is discussed. Key techniques on indium welding are studied to

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Edirisinghe, Mahesh, Raul Montaño, Vernon Cooray, and F. Roman. "Performance Comparison of Varistor Models under High Current Derivative Impulses." International Letters of Chemistry, Physics and Astronomy 11 (September 2013): 40–53. http://dx.doi.org/10.18052/www.scipress.com/ilcpa.11.40.

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Surge protective devices (SPD) testing procedures are mainly performed with standard current pulse types. However, none of these standard current waveforms reproduce the very fast rise time and the large peak current derivatives observed in subsequent return strokes. In the literature there are several mathematical models to represent metal oxide varistor that have been developed based on standard impulse conditions. These models are being used routinely in the analysis of the various electronic circuits under transient conditions. In this paper, a study was conducted to have a performance com

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Armitage, John J., Alexander C. Whittaker, Mustapha Zakari, and Benjamin Campforts. "Numerical modelling of landscape and sediment flux response to precipitation rate change." Earth Surface Dynamics 6, no. 1 (February 15, 2018): 77–99. http://dx.doi.org/10.5194/esurf-6-77-2018.

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Abstract. Laboratory-scale experiments of erosion have demonstrated that landscapes have a natural (or intrinsic) response time to a change in precipitation rate. In the last few decades there has been growth in the development of numerical models that attempt to capture landscape evolution over long timescales. However, there is still an uncertainty regarding the validity of the basic assumptions of mass transport that are made in deriving these models. In this contribution we therefore return to a principal assumption of sediment transport within the mass balance for surface processes; we ex

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Deng, Xue, Tao Lin, and Chuangjie Chen. "Comparison and Research on Diversified Portfolios with Several Entropy Measures Based on Different Psychological States." Entropy 22, no. 10 (October 4, 2020): 1125. http://dx.doi.org/10.3390/e22101125.

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In previous studies, there were few portfolio models involving investors’ psychological states, market ambiguity and entropy. Some entropy can make the model have the effect of diversifying investment, which is very important. This paper mainly studies four kinds of entropy. First, we obtained four definitions of entropy from the literature, and gave the function of fuzzy entropy in different psychological states through strict mathematical proof. Then, we construct a fuzzy portfolio entropy decision model based on the investor’s psychological states, and compared it with the possibilistic mea

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Ivanyuk, Vera. "Formulating the Concept of an Investment Strategy Adaptable to Changes in the Market Situation." Economies 9, no. 3 (June 23, 2021): 95. http://dx.doi.org/10.3390/economies9030095.

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The study aims to develop a dynamic model for the management of a strategic investment portfolio, taking into account the impact of crisis processes on asset value. A mathematical model of a dynamic portfolio strategy is developed, and guidelines for framing a long-term investment strategy based on the current state of the investment market are formalized. An efficient method of long-term ensemble forecasting to increase the accuracy of predicting financial time series is elaborated. A methodology for constructing and rebalancing a dynamic strategic investment portfolio based on a changing por

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Suzuki, Kenji, Sho Akazawa, and Yohichi Nakao. "Development of Cam-Drive Type Proportional Valve for Water Hydraulics." International Journal of Automation Technology 6, no. 4 (July 5, 2012): 450–56. http://dx.doi.org/10.20965/ijat.2012.p0450.

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This paper describes the development of water hydraulic proportional valves. These valves are spooltype and the spool is driven by a positive cam mechanism with an appropriate motor, such as a stepping motor or servo motor, depending on the application. The cam is placed precisely between two cam followers so that no gap is left between the cam and followers. Accordingly, no return spring is required. The rotational angle of the cam and the displacement of the spool are linear. Mathematical models of static characteristics of the valves are derived. Experimental results for the static characte

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Kler, Alexander, Pavel Zharkov, Yulia Potanina, Andrey Marinchenko, and Nikolai Epishkin. "The Effect of the Carbon Tax Value on the Optimal Parameters and Characteristics of Coal Power Plants." Environmental and Climate Technologies 24, no. 3 (November 1, 2020): 104–11. http://dx.doi.org/10.2478/rtuect-2020-0089.

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AbstractThe paper investigates the effect of the carbon tax on the optimal parameters and indicators of two coal power plants: a steam turbine power unit with coal dust burning in a steam boiler and an internal gasification combined cycle power plant. Sufficiently detailed mathematical models have been developed for the considered plants that are focused on calculating the flow rates of working fluids and coolants and thermodynamic parameters at all points of the flowcharts, as well as the structural characteristics of the plant elements. The problems of optimizing the parameters of these plan

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Mitchell, Derek. "Thermal efficiency extends distance and variety for honeybee foragers: analysis of the energetics of nectar collection and desiccation by Apis mellifera." Journal of The Royal Society Interface 16, no. 150 (January 2019): 20180879. http://dx.doi.org/10.1098/rsif.2018.0879.

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The desiccation of nectar to produce honey by honeybees ( Apis mellifera L.) is an energy-intensive process, as it involves a quasi-isothermal change in the concentration of sugars from typically 20 to 80% by vaporization (honey ripening). This analysis creates mathematical models for: the collected nectar to honey ratio; energy recovery ratio; honey energy margin; and the break-even distance, which includes the factors of nectar concentration and the distance to the nectar from the nest; energetics of desiccation and a new factor, thermal energy efficiency (TEE) of nectar desiccation. These m

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Wnuczak, Paweł. "Voluntary liquidation: When is it financially profitable?" Journal of Management and Financial Sciences, no. 34 (July 27, 2019): 51–75. http://dx.doi.org/10.33119/jmfs.2018.34.3.

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The aim of this article is to offer insight into a concept making it possible to assess the financial rationality of the voluntary liquidation of businesses. The author of the study presents a decision-making algorithm that should be applied before deciding to voluntarily liquidate a business entity. The algorithm is based on the concept of Value Based Management (VBM), and the related calculations have been performed following the basic rules of mathematical finance. The presented solution is also based on the calculation of free cash flow generated by an enterprise for its owners and on inve

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Jati, Kumara, and Aziza Rahmaniar Salam. "FUNDAMENTALS OF INTEGRATED COMMERCIAL BANK IN MACROECONOMIC AND SHARIA PERSPECTIVE IN INDONESIA." Journal of Islamic Monetary Economics and Finance 3, no. 2 (March 28, 2018): 349–87. http://dx.doi.org/10.21098/jimf.v3i2.895.

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This research analyses the fundamentals of integrated commercial bank in macroeconomic and sharia perspective in Indonesia. Based on the calculation of Vector Autoregression (VAR), the impact of macroeconomic variables (Jakarta Stock Islamic Index / JKSII, Indonesian Stock Price Composite Index / JKSE, Crude Oil Price, and Exchange Rate) on stock prices of commercial banks vary. These shocks indicate an indirect price transmission through exchange rate channels and economic growth. From the Structrural Time Series Model (STSM), JKSII, JKSE, and commercial bank share price prediction will gener

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Safitri, Kristika, Tarno Tarno, and Abdul Hoyyi. "PENGUKURAN KINERJA PORTOFOLIO OPTIMAL SAHAM LQ45 MENGGUNAKAN METODE CAPITAL ASSET PRICING MODEL (CAPM) DAN LIQUIDITY ADJUSTED CAPITAL ASSET PRICING MODEL (LCAPM)." Jurnal Gaussian 10, no. 2 (May 31, 2021): 230–40. http://dx.doi.org/10.14710/j.gauss.v10i2.29414.

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Investment is planting some funds to get profit and the stock is one of the type of investment in fincancial that the most interested for investors. To avoid the risk of investing, investors try to diversify their invesments by using portfolio. Stock portfolio is investment which comprised of various stocks from different companies, with the expect when the price of one stock decreases, while the other increases, then the investments do not suffer losses. Models that can be used to make a portfolio, one of them is Capital Asset Pricing Model (CAPM) and Liquidity Adjusted Capital Asset Pricing

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Zhang, Tao, and Yuxiang Peng. "Construction of Control Rights Allocation Index of Listed Companies Based on Neural Network and Machine Learning." Mathematical Problems in Engineering 2021 (March 22, 2021): 1–13. http://dx.doi.org/10.1155/2021/6628916.

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Control power is a core issue that every listed company pays great attention to. The company’s shareholding structure directly affects the allocation of control rights. Therefore, the shareholding structure of listed companies is analyzed, and various factors related to the allocation of company control rights are discussed. It is very important to build indicators of control allocation of listed companies and improve the governance model of listed companies. Based on this, this article proposes to use neural networks and machine learning techniques to build related models and solve related pr

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Hadi, Ali Hasan, and Kadhim Raheim Erzaij. "Determination a Reasonable Concession Period for (PPP) Projects." Civil Engineering Journal 5, no. 6 (June 24, 2019): 1235–48. http://dx.doi.org/10.28991/cej-2019-03091328.

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Public Private Partnership (PPP) are agreements where public bodies enter into long term contractual with private entities for construction or management the public sector facilities, or provision services to the community. Internal rate of return (IRR), pay back regime or tariff, and the concession period (CP) are essential items to success (PPP) projects. This research presents a systematic approach for a win-win partnership contract determined on a quantitative basis, by informing the partnership parties how long contract period should be made. Essence of the proposed methodology is that pr

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Hui, Eddie Chi Man, Otto Muk Fai Lau, and Kak Keung Lo. "A FUZZY DECISION‐MAKING APPROACH FOR PORTFOLIO MANAGEMENT WITH DIRECT REAL ESTATE INVESTMENT." International Journal of Strategic Property Management 13, no. 2 (June 30, 2009): 191–204. http://dx.doi.org/10.3846/1648-715x.2009.13.191-204.

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This study incorporated expert knowledge into the classical quadratic programming approach, i.e., Modern Portfolio Theory (MPT), through fuzzy set theory; in obtaining portfolio return optimization involving direct real estate investment. Two fuzzy mathematical programming models were uniquely specified and estimated in this study, namely, Zimmer‐mann's (2001) fuzzy tactical asset allocation (FTAA) flexible programming model and Ramik and Rimanek's (1985) FTAA robust programming model. These approaches try to overcome the drawbacks of traditional asset allocation models by including expert adj

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Wiggs, Giles F. S. "Desert dune processes and dynamics." Progress in Physical Geography: Earth and Environment 25, no. 1 (March 2001): 53–79. http://dx.doi.org/10.1177/030913330102500103.

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This article reviews the advances made and problems encountered in the measurement, modelling and understanding of desert dune dynamics and processes in the last two decades. The main findings of three methods of investigation are reviewed: field studies, wind tunnel studies and mathematical modelling. Whilst major advances in field techniques have allowed an appreciation of the aerodynamic nature of sand dunes, particular problems with field research are evident in the measurement of aeolian processes on dune surfaces. Specifically, it is shown that attempts to ascertain shear stresses on dun

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Tyurina, E. A., A. S. Mednikov, and P. Yu Elsukov. "Modular plants for combined biomass-based production of electricity and synthetic liquid fuel." Power engineering: research, equipment, technology 22, no. 1 (April 30, 2020): 113–27. http://dx.doi.org/10.30724/1998-9903-2020-22-1-113-127.

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The high costs of qualified liquid fuels in remote areas of Siberia and the Far East, as well as significant stocks of wood biomass in these areas determine the relevance of the presented studies. The integrated processing of woody biomass into synthetic liquid fuel and electricity will increase the energy and economic efficiency of processing technological waste, as well as improve the environmental situation in these areas. The aim of the work is technical and economic optimization of parameters modular installations of the combined production of electricity and methanol from woody biomass.

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Perevaryukha, A. Yu. "Development and scenario experiments with the new model of rapid bioresources crisis under expert control." Mathematical machines and systems 1 (2021): 116–25. http://dx.doi.org/10.34121/1028-9763-2021-1-116-125.

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This paper continues a series of studies dedicated to the analysis of the nonlinear dynamics of complex environmental processes through the use of computational methods. The construction of a computational structure that uses the forms of the hybrid time and the logic of redefined behavior of solutions of the special system of equations to describe important nonlinear phenomena in the man-agement of unstable biosystems is considered in the article. The difference between the described ap-proaches to building a model is that computational experiments based on differential equations and re-defin

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Simonson, W., P. Ruiz-Benito, F. Valladares, and D. Coomes. "Modelling above-ground carbon dynamics using multi-temporal airborne lidar: insights from a Mediterranean woodland." Biogeosciences 13, no. 4 (February 19, 2016): 961–73. http://dx.doi.org/10.5194/bg-13-961-2016.

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Abstract. Woodlands represent highly significant carbon sinks globally, though could lose this function under future climatic change. Effective large-scale monitoring of these woodlands has a critical role to play in mitigating for, and adapting to, climate change. Mediterranean woodlands have low carbon densities, but represent important global carbon stocks due to their extensiveness and are particularly vulnerable because the region is predicted to become much hotter and drier over the coming century. Airborne lidar is already recognized as an excellent approach for high-fidelity carbon map

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Alzate, Santiago, Bonie Restrepo-Cuestas, and Álvaro Jaramillo-Duque. "Municipal Solid Waste as a Source of Electric Power Generation in Colombia: A Techno-Economic Evaluation under Different Scenarios." Resources 8, no. 1 (March 13, 2019): 51. http://dx.doi.org/10.3390/resources8010051.

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This work evaluates the techno-economic prefeasibility of waste to energy projects in Colombia using four different conversion technologies of incineration, gasification, anaerobic digestion and landfill gas. Three study cases were selected to represent typical urban centers in Colombia, which were namely Guayatá, Andes and Pasto. After feasible technologies were identified for each case, their energy recovery potential was calculated based on the mathematical models and publicly available information about the composition of the wastes produced in these three municipalities. A subsequent econ

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Lundström, T., Hans Åkerstedt, I. Larsson, Jiri Marsalek, and Maria Viklander. "Dynamic Distributed Storage of Stormwater in Sponge-Like Porous Bodies: Modelling Water Uptake." Water 12, no. 8 (July 22, 2020): 2080. http://dx.doi.org/10.3390/w12082080.

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An innovative concept of dynamic stormwater storage in sponge-like porous bodies (SPBs) is presented and modelled using first principles, for down-flow and up-flow variants of SPBs. The rate of inflow driven by absorption and/or capillary action into various porous material structures was computed as a function of time and found to be critically dependent on the type of structure and the porous material used. In a case study, the rates of inflow and storage filling were modelled for various conditions and found to match, or exceed, the rates of rainwater inflow and volume accumulation associat

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Azaza, Mohamed S., and Mohamed N. Dhraief. "Modeling the Effects of Water Temperature on Growth Rates, Gastric Evacuation and the Return of Appetite in Juvenile Nile Tilapia, Oreochromis niloticus L." Journal of Agricultural Science 12, no. 8 (July 15, 2020): 191. http://dx.doi.org/10.5539/jas.v12n8p191.

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Optimized aquafeeds have long been a major concern of the sustainable aquaculture development. Not only should the feed composition meet the nutritional requirements of the fish, it should also be reasonably managed (feed ration and feeding frequency) to enhance the feed utilisation efficiency, growth performance and decrease the amount of wastes. At present there is no detailed information on how rearing temperature impacts gastric evacuation rate, return of appetite (RA) and daily feed ration among tilapias, considered as one of the leading fish species for worldwide aquaculture production.

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