348 research outputs found
Markowitz model with constraints
No full textTitle: Markowitz model with constrains Author: Jan Němec Department: Department of Probability and Mathematical Statistics Supervisor: doc. RNDr. Petr Lachout, CSc. Abstract: Composition of an optimal portfolio from available tradable comodities is very frequntly a discussed issue. One model, which considers not only the yield of the portfolio, but also its risk, is Markowitz model. Bachelor thesis will consider this ap- proach in cases when the searched portfolio is bounded with additional restrictions. This thesis will primarily address the constraints that are determined by legislation to conduct various banking entities investing in the stock market. Keywords: Markowitz model, portfolio constraints, banking regulation
sj-docx-1-jls-10.1177_0261927X231200201 - Supplemental material for Linguistic Markers of Inherently False AI Communication and Intentionally False Human Communication: Evidence From Hotel Reviews
No full textSupplemental material, sj-docx-1-jls-10.1177_0261927X231200201 for Linguistic Markers of Inherently False AI Communication and Intentionally False Human Communication: Evidence From Hotel Reviews by David M. Markowitz, Jeffrey T. Hancock, and Jeremy N. Bailenson in Journal of Language and Social Psychology</p
sj-docx-1-jls-10.1177_0261927X241248646 - Supplemental material for Presence and Pronouns: An Exploratory Investigation into the Language of Social VR
No full textSupplemental material, sj-docx-1-jls-10.1177_0261927X241248646 for Presence and Pronouns: An Exploratory Investigation into the Language of Social VR by Cyan DeVeaux, David M. Markowitz, Eugy Han, Mark Roman Miller, Jeffrey T. Hancock and Jeremy N. Bailenson in Journal of Language and Social Psychology</p
The exercise and mood relation: testing the dual-mode model and self-selected speeds
No full textEvidence indicates that exercise improves mood, but not enough is known about the level of exertion required for optimum mood benefit. The present study examined the nature of the relation between exertion level and mood improvement in the theoretical context of the dual-mode hypothesis and opponent-process theory by testing mood changes in highly active and sedentary college-age participants in both assigned and self-selected conditions. As expected, exercise produced in-task arousal, and post-task mood improvement. As predicted by the dual-mode hypothesis and opponent-process theory, at low levels of exertion, in-task and post-task mood improvement was observed, and at high levels of exertion, in-task mood worsened, but post-task mood improved. Participants chose speeds close to 5% below lactate threshold. Theoretical and practical implications of these findings are discussed.Ph.D.Includes abstractVitaIncludes bibliographical referencesby Sarah Melinda Markowit
Markowitz investment portfolio creation and analysis
No full textInvestēšana akcijās ir ļoti sena un pazīstama investēšanas stratēģija un šī darba ietvaros tiek parādīts, kura investēšanas stratēģija veidojot efektīvu Markovica portfeli nodrošina vislabāko riska un ienesīguma attiecību. Maģistra darba mērķis ir, balstoties uz zinātniskās literatūras un uzņēmumu akcijas analīzi, izveidot trīs diversificētus un efektīvus akciju portfeļus pēc Markovica investīciju portfeļa stratēģijas (B. Grema, Dž. Piotroski un Dž. Grīnblata) un noteikt labāko portfeli pēc riska un ienesīguma attiecības. Darba autors veica B. Grema, Dž. Piotroski un Dž. Grīnblata stratēģiju izpēti un pēc tās atlasīja akcijas ieguldījumu portfelī. Analizējot katru stratēģiju un izvērtējot tās, tika izdarīts secinājums, ka Dž. Piotroski stratēģijai bija vispievilcīgākā riska-ienesīguma attiecība. Šā darba ietvaros tiek veidots priekšstats par analīzes iespējām un tiek sniegti nosacījumi tālākai nākotnes situācijai prognozēšanai attiecībā uz izveidoto portfeli.Investing in stocks is a very old and well-known investment strategy and this work shows which investment strategy for creating an efficient Markowitz portfolio provides the best risk-return ratio. The goal of the Masters work is to create three diversified and efficient stock portfolios based on the analysis of Markowitz investment portfolio strategy (B. Graham, J. Piotroski and J. Greenblatt), based on the analysis of scientific literature and company shares, and to identify the ebst portfolio based on risk-return ratio. Author studied the strategies of B. Graham, J. Piotroski and J. Greenblatt and then selected shares in the investment portfolio. Analyzing and evaluating each strategy, it was concluded that J. Piotroski's strategy had the most attractive risk-return ratio. This work gives an idea of the possibilities of analysis and provides the coniditions for the future forecasting of the created portfolio
The Role of Alcohol and Drug Consumption in Determining Physical Fights and Weapon Carrying by Teenagers
No full textThe purpose of this study is to examine the question of whether alcohol or drug use causes teenagers to engage in violent behaviors as measured by physical fighting, carrying a gun, or carrying other types of weapons. Simple OLS estimation of the effects of drug and alcohol consumption on violence may be biased because of the possibility that both behaviors are determined by unmeasured individual traits. Two-stage least squares estimates are employed to establish causality. This method first predicts consumption using the prices of beer, marijuana and cocaine and then enters predicted consumption in the violence equation. This technique allows the consumption measures to be purged of their correlation with unobserved characteristics. Data come from the National School-Based Youth Risk Behavior Surveys, which are nationally representative samples of high school students. Results indicate that beer and marijuana consumption do cause teens to engage in more physical fights, while cocaine use appears to have no relationship. None of the substances lead to increased probabilities of carrying a gun or other weapon.
The Price of Alcohol, Wife Abuse, and Husband Abuse
No full textAlcohol consumption has been frequently linked to family violence. The purpose of this paper is to examine the direct relationship between the price of alcohol, which determines consumption, and violence towards spouses. The data come from the 1985 cross section and the 1985-1987 panel of the National Family Violence Survey. The 1985 data are a nationally representative sample while the panel oversamples violent individuals. Dichotomous indicators of severe violence towards wives and husbands are used. A reduced for violence equation is estimated, and individual-level fixed effects are used to control for unobserved characteristics in the panel. A consistent result that emerges from this paper is that an increase in the pure price of alcohol, as measured by a weighted average of the price of alcohol from beer, wine, and liquor, will serve to reduce severe violence aimed at wives. By contrast, the evidence on the propensity of an increase in the price of alcohol to lower violence towards husbands is mixed. When individual level characteristics are not controlled for, the price is not a predictor of violence towards men. However, once the individual traits are controlled for, a negative relationship between the price and violence emerges.
Performance Analysis and Optimal Portfolio Disversfication of Fifthteen Stocks of LQ-45 Index Period 2007 - 2012 Using Markowitz Modern Portfolio Theory
No full textThe main theme of this research is Capital Market and focus on finding an Efficient and Optimal Portfolio based on the Markowitz Modern Portfolio Theory. Markowitz Modern Portfolio Theory explains that risk could be minimized by diverse the asset as a portfolio. It also explains than an optimal portfolio is a portfolio that gives highest return in a point of risk, or also meaning a portfolio with highest Sharpe ratio.  To find an optimal portfolio, the author made a portfolio simulation. In that simulation, there were 25 portfolios that made from stocks which were established in Jakarta Composite Index. 14 stocks were chosen in the simulation, these stocks were a stock that listed in LQ-45 Index in the January 2nd 2007 up to January 2nd 2012 period. The author uses Solver Add-ins in the process of making the portfolio. From the portfolios that were made, the author compares the portfolios performance with the Jakarta Composite Index performance. The compartment includes risk, return, beta, Sharpe ratio, and Treynor ratio. The portfolio number 3 which had highest Sharpe ratio shows a better performance than the JCI, while had higher risk. The weight proportion of the Portfolio number 3 was 50.95% ASII, 33.42% BBCA, 9.06% PGAS, 3.98% BBRI and 2.59% PTBA. The result of the Sharpe ratio is 147.49%, the beta was 1.2 and the Treynor ratio is 60.31%. Expected return of this portfolio was 79.34% while giving 48.95% risk. Keywords: Stocks, LQ-45 Index, Risk and Return, Portfolio, Sharpe Ratio, Treynor Ratio, Solver, Efficient Frontier, Markowitz Modern Portfolio Theor
Educating for justice: A history of John Jay College of Criminal Justice. [Third edition].
No full textRevision of the previously updated edition Educating for justice. 2004. Includes an interview with Jeremy Travis, the fourth President of John Jay College of Criminal Justice conducted June 5, 2008.
TOC: Introduction. The making of John Jay College; 1965-1970. The era of open admissions: 1970-1976. The crisis: 1976. The development of criminal justice: 1976-1989. The student takeovers of 1989-1991. The quest for equity. John Jay comes of age. Epilogue. Index
The Theory and Practice of Rational Investing : Risk-Return Analysis
No full textThe two most important words Harry Markowitz ever wrote are "portfolio selection." In 1952, when everyone in the stock market was looking for the next hot stock, as a doctoral candidate, he proposed to look at many, diverse stocks--a portfolio. He laid the first cornerstone of Modern Portfolio Theory and defended the idea that strategic asset growth means factoring in the risk of an investment. More than 60 years later, the father of modern finance revisits his original masterpiece, describes how his theory has developed, and proves the vitality of his risk-return analysis in the current global economy.
Risk-Return Analysis opens the door to a groundbreaking four-book series giving readers a privileged look at the personal reflections and current strategies of a luminary in finance. This first volume is Markowitz\u27s response to what he calls the "Great Confusion" that spread when investors lost faith in the diversification benefits of MPT during the financial crisis of 2008. It demonstrates why MPT never became ineffective during the crisis, and how you can continue to reap the rewards of managed diversification into the future. Economists and financial advisors will benefit from the potent balance of theory and hard data on mean-variance analysis aimed at improving decision-making skills. Written for the academic and the practitioner with some math skills (mostly high school algebra), this richly illustrated guide arms you with:
Concrete steps to accurately select and apply the right risk measures in a given circumstance
Rare surveys of a half-century of literature covering the applicability of MPT
Empirical data showing mean and riskmeasure used to maximize return in the long term
PRAISE FOR RISK-RETURN ANALYSIS
"Harry Markowitz invented portfolio analysis and presented the theory in his famous 1952 article and 1959 book. Nobody has greater insight into the process than Harry. No academic or practitioner can truly claim to understand portfolio analysis unless they have read this volume." -- Martin J. Gruber, Professor Emeritus and Scholar in Residence, Stern School of Business, New York University
"Surveying the vast literature inspired by [Markowitz\u27s] own 1959 book has stimulated an outpouring of ideas. He builds on the strengths and limitations of the important papers in order to come up with a position that should silence a lot of critics." -- Jack Treynor, President, Treynor Capital Management
"The authors do not overlook various criticisms of the MPT, but rather address them convincingly. This excellent book is an essential reference for academics and practitioners alike." -- Haim Levy, Miles Robinson Professor of Finance, Hebrew University, Jerusalem, Israel
"Markowitz’s groundbreaking publications on Portfolio Selection prescribe a methodology that a rational decision-maker can follow to optimize his investment portfolio in a risky world. . . . This challenging new book clarifies many common misconceptions about modern portfolio theory." -- Roger C. Gibson, author of Asset Allocation and Chief Investment Officer, Gibson Capital, LLC
"Contain[s] great wisdom that every economist, portfolio manager, and investor should savor page by page." -- Andrew W. Lo, Charles E. and Susan T. Harris Professor and Director, Laboratory for Financial Engineering, MIT Sloan School of Management
"[Markowitz\u27s] monumental work in the 1950s would be sufficient to qualify as a lifetime achievement for most mortals, but he keeps spouting fresh insights like lightning flashes year after year, and penetrating ever deeper into the theory, mathematics, and practice of investing." -- Martin Leibowitz, Managing Director, Global Research Strategy, Morgan Stanley
"Risk–Return Analysis is a wonderful work in progress by a remarkable scholar who always has time to read what matters, who has the deepest appreciation of scientific achievement, and who has the highest aspirations for the future." -- Enterprising Investor (CFA Institute
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