201,281 research outputs found
A MODEL OF CONSTRUCTION OF A MINIMUM RISK PORTFOLIO BASED ON MARKOWITZ PORTFOLIO THEORY. APPLICATION ON BUCHAREST STOCK EXCHANGE
No full textIn this paper, the authors test a model of an efficient portfolio with minimum risk, starting from the analysis of one year portfolio payoff and risk of ten securities from Bucharest Stock Exchange. In accordance with the modern portfolio theory, maximization of returns at minimal risk should be the main objective of every investor. We show, using a mathematical methodology based on Markowitz portfolio theory and on Lagrange function, which is the exact amount of stocks to be purchased from a Bucharest Stock Exchange sample of securities in order to have an efficient portfolio with minimum risk at a given return.efficient portfolio, risk, return, Markowitz portfolio theory, Bucharest Stock Exchange
Aplicação da teoria de Markowitz em um plano de benefício definido – caso ELOS
No full textTCC (graduação) - Universidade Federal de Santa Catarina. Centro Sócio-Econômico. Economia.As Entidades Fechadas de Previdência Complementar vêm apresentando déficits crescentes desde 2010 até os dias atuais. Na prática, os déficits representam um grande problema para os Fundos de Pensão, pois estes não irão conseguir cumprir com o seu principal objetivo que é complementar a perda de renda ocasionada pela aposentadoria. Na literatura moderna há diversas teorias de otimização de carteiras que podem auxiliar os gestores da Fundação a minimizar estes impactos. O modelo escolhido foi o de Markowitz, já que é o primeiro a tratar de otimização de carteiras e é apresentado como o mais conhecido de otimização. Resumidamente, o modelo propõe encontrar a máxima rentabilidade média para um determinado nível de risco. O presente estudo visa avaliar a aplicabilidade do modelo de Markowitz em um Plano de Benefício Definido e consequentemente dar suporte ao gestor nas decisões. Foram utilizadas três estratégias e, todas tiveram resultados satisfatórios tanto em retorno absoluto quanto melhor relação risco/retorno
Supplemental Material “All the Makings of an Eventual NFL Starter:” Racial/Ethnic Disparities in a Decade of National Football League Draft Profiles as Revealed by Natural Language Processing
No full textSupplemental Material for “All the Makings of an Eventual NFL Starter:” Racial/Ethnic Disparities in a Decade of NFL Draft Profiles as Revealed by Natural Language Processing by David M. Markowitz in Communication & Sport</p
sj-docx-1-jls-10.1177_0261927X231154911 - Supplemental material for Words for Sale: Linguistic Complexity Associates with Higher Housing Prices in Online Realty Advertisements
No full textSupplemental material, sj-docx-1-jls-10.1177_0261927X231154911 for Words for Sale: Linguistic Complexity Associates
with Higher Housing
Prices in Online Realty Advertisements by David M. Markowitz in Journal of Language and Social Psychology</p
sj-docx-1-crx-10.1177_00936502221097041 – Supplemental material for Toward a Deeper Understanding of Prolific Lying: Building a Profile of Situation-Level and Individual-Level Characteristics
No full textSupplemental material, sj-docx-1-crx-10.1177_00936502221097041 for Toward a Deeper Understanding of Prolific Lying: Building a Profile of Situation-Level and Individual-Level Characteristics by David M. Markowitz in Communication Research</p
sj-docx-1-jls-10.1177_0261927X221117497 - Supplemental material for Deceptive (De)humanization: How Lying About Perceived Outgroups is Revealed in Language
No full textSupplemental material, sj-docx-1-jls-10.1177_0261927X221117497 for Deceptive (De)humanization: How Lying About Perceived Outgroups is Revealed in Language by David M. Markowitz in Journal of Language and Social Psychology</p
Risk forecasting models and optimal portfolio selection.
No full textThis study analyses, from an investor's perspective, the performance of several risk forecasting models in obtaining optimal portfolios. The plausibility of the homoscedastic hypothesis implied in the classical Markowitz model is dicussed and more general models which take into account assymetry and time varying risk are analysed. Specifically, it studies whether ARCH-type based models obtain portfolios whose risk-adjusted returns exceed those of the classical Markowitz model. The same analysis is performed with models based on the Lower Partial Moment (LPM) which take into account the assymetry in the distribution of returns. The results suggest that none of the models achieve a clearly superior average performance. It is also found that models based on semivariance perform as well as those based on the variance, but not better than, even if the evaluation criterion is based on the Reward-to-Semivariance ratio. When attention turns to the analysis of worst case performance, the results are clearly different. Models which employ LPM with a high degree of risk aversion (n>2) as the risk measure are consistently superior to those which employ a symmetric measure, either homoscedastic or heteroscedastic.
Lies and Language: A Context‐Contingent Approach to Verbal Cues of Deceit
No full textThis chapter appears in the Handbook of Language Analysis in Psychology. A proper citation for this chapter is: Markowitz, D. M., & Hancock, J. T. (2022). Lies and language: A context-contingent approach to verbal cues of deceit. In M. Dehghani & R. L. Boyd (Eds.), Handbook of language analysis in psychology (pp. 274-284). Guilford Press. The handbook can be purchased here: https://www.guilford.com/books/Handbook-of-Language-Analysis-in-Psychology/Dehghani-Boyd/978146254843
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