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  1. Robust portfolio optimization
    a stochastic evaluation of worst-case scenarios
    Autor*in: Rotella Junior, Paulo; Rocha, Luiz Célio Souza; Peruchi, Rogério Santana; Aquila, Giancarlo; Janda, Karel; Pamplona, Edson de Oliveira
    Erschienen: [2022]
    Verlag:  Institute of Economic Studies, Faculty of Social Sciences, Charles University in Prague, Prague

    This article presents a new approach for building robust portfolios based on stochastic efficiency analysis and periods of market downturn. The empirical analysis is done on assets traded on the Brazil Stock Exchange, B3 (Brasil, Bolsa, Balcão). We... mehr

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    Standort:
    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
    Signatur:
    DS 167
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    This article presents a new approach for building robust portfolios based on stochastic efficiency analysis and periods of market downturn. The empirical analysis is done on assets traded on the Brazil Stock Exchange, B3 (Brasil, Bolsa, Balcão). We start with information on the assets from periods of market downturn (worst-case) and we group them using hierarchical clustering. Then we do stochastic efficiency analysis on these data using the Chance Constrained Data Envelopment Analysis (CCDEA) model. Finally, we use a classical model of capital allocation to obtain the optimal share of each asset. Our model is able to accommodate investors who exhibit different risk behaviors (from conservatives to risky investors) by varying the level of probability in fulfilling the constraints (1-αi) of the CCDEA model. We show that the optimal portfolios constructed with the use of information from periods of market downturns perform better for the Sharpe ratio (SR) in the validation period. The combined use of these approaches, using also fundamentalist variables and information on market downturns, allows us to build robust portfolios, with higher cumulative returns in the validation period, and portfolios with lower beta values.

     
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    Quelle: Verbundkataloge
    Sprache: Englisch
    Medientyp: Buch (Monographie)
    Format: Online
    Weitere Identifier:
    hdl: 10419/249913
    Schriftenreihe: IES working paper ; 2022, 3
    Schlagworte: Robust optimization; Stochastic evaluation; Chance Constrained DEA; Worst-case markets; Portfolios
    Umfang: 1 Online-Ressource (circa 36 Seiten), Illustrationen
  2. Contemporary approaches to dissertation development and research methods
    Beteiligt: Storey, Valerie Anne (HerausgeberIn); Hesbol, Kristina (HerausgeberIn)
    Erschienen: [2016]; © 2016
    Verlag:  IGI Global, Hershey, Pennsylvania

    "This book is a pivotal reference source that focuses on current models used for doctoral dissertations and how these techniques impact future research and knowledge in various scholarly fields"--Provided by publisher. The consequential relationship... mehr

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    Hochschule Aalen, Bibliothek
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    Staats- und Universitätsbibliothek Bremen
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    Technische Universität Chemnitz, Universitätsbibliothek
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    Sächsische Landesbibliothek - Staats- und Universitätsbibliothek Dresden
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    Standort:
    Universitäts- und Landesbibliothek Sachsen-Anhalt / Zentrale
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    Technische Informationsbibliothek (TIB) / Leibniz-Informationszentrum Technik und Naturwissenschaften und Universitätsbibliothek
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    Bibliothek LIV HN Sontheim
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    ZBW - Leibniz-Informationszentrum Wirtschaft, Standort Kiel
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    Hochschule für Technik, Wirtschaft und Kultur Leipzig, Hochschulbibliothek
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    Otto-von-Guericke-Universität, Universitätsbibliothek
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    Universitätsbibliothek Mannheim
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    Hochschule Offenburg, University of Applied Sciences, Bibliothek Campus Offenburg
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    E-Book IGI
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    keine Ausleihe von Bänden, nur Papierkopien werden versandt

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    Universitätsbibliothek der Eberhard Karls Universität
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    Ostfalia Hochschule für angewandte Wissenschaften, Bibliothek
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    "This book is a pivotal reference source that focuses on current models used for doctoral dissertations and how these techniques impact future research and knowledge in various scholarly fields"--Provided by publisher. The consequential relationship between doctoral course design and capstone design / Valerie A. Storey, John Fulton -- The role of theory in EdD programs and dissertations in practice / Debby Zambo, Ron Zambo -- Identity, commitment, and change agency: bedrock for bridging theory and practice in doctoral education / Carol A. Kochhar-Bryant -- Alternative dissertation formats: preparing scholars for the academy and beyond / Doris L. Watson, Kimberly Nehls -- Dissertation redesign for scholarly practitioners in educational leadership: increasing impact through dissemination-ready sections / Cynthia J. MacGregor, Jennifer Fellabaum -- Creating an EdD structure, program, and process fulfilling the needs of doctoral candidates and the communities they will serve: applying lessons learned from the redesign of a principal preparation program / Marla Susman Israel [and 3 others] -- Adapting and advocating for an online EdD program in changing times and "sacred" cultures / Elan Nicole Paulson -- Practice as research: developing the workplace project / Stan Lester -- Guiding principles for quality professional practice dissertations / Kara Dawson, Swapna Kumar -- Becoming practitioner-scholars: the role of practice-based inquiry dissertations in the development of educational leaders / Sharon M. Ravitch, Susan L. Lytle -- Enacting a cycle of inquiry capstone research project in doctoral-level leadership preparation / Shelby Cosner, Steve Tozer, Paul Zavitkovsky --

     
    Export in Literaturverwaltung   RIS-Format
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    Volltext (lizenzpflichtig)
    Quelle: Verbundkataloge
    Beteiligt: Storey, Valerie Anne (HerausgeberIn); Hesbol, Kristina (HerausgeberIn)
    Sprache: Englisch
    Medientyp: Ebook
    Format: Online
    ISBN: 9781522504467
    Weitere Identifier:
    Schriftenreihe: Advances in knowledge acquisition, transfer, and management (AKATM) book series
    Schlagworte: Education; Doctor of education degree; Dissertations, Academic; Dissertations, Academic; Doctor of education degree; Education; Doctor of education degree; Dissertations, Academic; Education ; Research ; Methodology; Alternative dissertation formats; Course design; Design-based research; Education doctorates; Educational evaluation; Online doctorate programs; Portfolios
    Umfang: Online-Ressource (PDFs (360 pages).)
    Bemerkung(en):

    Includes bibliographical references and index

    Restricted to subscribers or individual electronic text purchasers

    Also available in print.

    Conducting a design-based research EdD dissertation / Stanley Pogrow -- An adaptive model for a rigorous professional practice doctorate: the disquisition / Robert Crow, Kofi Lomotey, Kathleen Topolka-Jorissen -- Educational leaders and the program evaluation dissertation with logic model / Tricia J. Stewart -- Addressing critical problems through leadership portfolios: a content analysis / Joan L. Buttram, Doug Archbald, Elizabeth Nash Farley-Ripple -- Assessing the performance of a cohort-based model using domestic and international practices / Lou L. Sabina [and 4 others] -- Principles of discussion in qualitative educational research / Shaoan Zhang -- Supporting scholar-practitioners toward doctoral degree attainment: intentional strategies for dissertation completion / Sarah Marie Marshall, Barbara A. Klocko -- The scholarly practitioner as steward of the practice / Jill Alexa Perry