36,632 research outputs found
Human Anti-Chimeric Antibody in Children and Young Adults with Inflammatory Bowel Disease Receiving Infliximab
No full textMarkowitz et CAPM
No full textPour le troisième cours à l’X, sur Markowitz, l'approche moyenne-variance et le CAPM, les slides sont en ligne, ainsi que les énoncés des exercices. Je ferais PC l’après midi, salle 75, bâtiment Paul Levy. Comme toutes les semaines maintenant, un petit complément sur un imprécision lors de la PC... j'avais pensé (espéré) que l'on pourrait avoir un résultat général sur le comportement du portefeuille tangent, lorsque la corrélation évolue. J'ai donc repris* l'exemple de l'exercice, avec 3 ac..
Analysts' dividend forecasts, portfolio selection, and market risk premia
No full textThe most relevant practical impediment to an application of the Markowitz portfolio selection approach is the problem of estimating return moments, in particular return expectations. We analyze the consequences of using return estimates implied by analysts' dividend forecasts under the explicit notion of taxes and non-flat term structures of interest rates and achieve quite good performance results. As a by-product, these results cast some doubt upon the adequacy of estimating market risk premia with implied returns, because estimation techniques with good performance results are hardly suited to describe market expectations. --analysts' forecasts,CAPM,implied returns,market risk premium,portfolio optimization,return estimation
Woud: Trek je even terug in je concentratiebubbel
No full textHet was zo’n zonnige lentedag; heerlijk om lekker buiten te zijn. Ik zat binnen, in een vergadering – met de nodige moeite om mijn aandacht erbij te houden. Liever keek ik door het raam naar kersenbloesems. Afgeleid raken, wegdromen ofjuist onrustig zijn en niet stil kunnen zitten. Herkenbaar? Vast wel; iedereen heeft wel eens moeite om zich te concentreren. Maar voor sommige kinderen is dit een dagelijkse worsteling. Hoe ga je daar op een goede manier mee om in eenklaslokaal, een omgeving met constante prikkels en afleiding? Ontwerper Shion Ito ontwierp een mini-bos waar je je even in kunt terugtrekken om je rust terug te vindenGreen Open Access added to TU Delft Institutional Repository ‘You share, we take care!’ – Taverne project https://www.openaccess.nl/en/you-share-we-take-care Otherwise as indicated in the copyright section: the publisher is the copyright holder of this work and the author uses the Dutch legislation to make this work public.Human-Centered DesignDesign Aesthetic
THE COMPLEMENTARITY OF MARKOV CHAINS METHODOLOGY AND MARKOWITZ PORTFOLIO OPTIMIZATION MODEL
No full textAnaliza portfelja i efikasno ulaganje u iste već je dugi niz desetljeća u središtu pozornosti investitora na različitim financijskim tržištima. Markowitzev model kao najpopularniji koncept moderne teorije portfelja dobro je poznat u domaćoj i stranoj literaturi. S druge strane, metodologija Markovljevih lanaca rijetko je korištena u području investiranja. U domaćoj literaturi ostalaje zanemarena, dok se u stranoj koristi za predviđanje budućih kretanja cijena ili prinosa dionica. Međutim, u literaturi ne postoji poveznica između dva spomenuta pristupa analizi dionica. Ovaj rad prvi je takve naravi, koji rabi rezultate Markovljevih lanaca nad prinosima dionica prilikom optimizacije Markowitzeva modela. Provedena je empirijska analiza 26 dionica Zagrebačke burze za razdoblje od 2. siječnja do 12. studenog 2013. godine. Rezultati ukazuju da, iako je diverzifikacija u Markowitzevom smislu superiornija, uključivanje drugih faktora u analizu moglo bi poboljšati prediktivnu moć same metodologije Markovljevih lanaca.Portfolio analysis and efficient investing have been in the center of attention of many investors for decades. The Markowitz model is the most famous concept of the Modern Portfolio Theory and it is very known both in domestic and foreign research. On the other hand, the Markov chain methodology is rarely used in the field of investing. Domestic research has neglected the aforementioned methodology, whilst the foreign research uses Markov chains in order to predict future movements of stock prices or returns. However, a link between two mentioned approaches to stock price (return) analysis does not exist. This paper is the first in this field, because it uses the results from Markov chain modeling while optimizing Markowitz model. An empirical analysis was performed on 26 stocks from the Zagreb Stock Exchange. The results show that although the diversification in terms of Markowitz is superior, the inclusion of other factors in analysis could enhance the predictive power of Markov chains methodology
Adaptive parameter estimations of Markowitz model for portfolio optimization
No full textTento článek se zaměřuje na modifikaci tradičního Markowitzova modelu volby optimálního portfolia. Jedním ze základních faktorů, které ovlivňují kvalitu volby optimálního portfolia, je metoda odhadu výnosnosti aktiv, rizikovosti aktiv a kovariance mezi jednotlivými aktivy. Vzhledem k tomu, že procesy akciového trhu mají nestacionární chování lze očekávat, že pokud při odhadech základních statistických charakteristik aktiv budou stanoveny priority z aktuálnějších informací, dojde ke zlepšení odhadů a k lepším výsledků celého modelu. Pro tento účel byl navržen modifikovaný algoritmus odhadu kovarianční matice, který akcentuje časový faktor realizovaných výnosů. Navržený algoritmus byl implementován v rámci programového řešení, které umožňuje stahovat informace o historických cenách aktiv přímo z internetu a na základě takto získaných časových řad odhadovat výnosnosti, rizikovosti aktiv a vzájemné kovariance. Získané výsledky byly porovnány s odhady používanými v klasickém Markowitzově modelu a ukázaly přínosnost nově navrženého postupu.This article is focused on a stock market portfolio optimization. The used method is a modification of traditional Markowitz model which extends the original one for adaptive approaches of parameter estimations. One of the basic factors which significantly influence optimal portfolio is the method of estimations of return on assets, risk and covariance between them. Since the stock market processes tend to be not stationary we can expect that prioritization of recent information will lead to improvement of these parameter estimations and thus to better results of the entire model. For this purpose a modified algorithm was design to estimate expected return and correlation matrix more stable. For implementation and verification of this algorithm we needed to build a program which was able to download historical stock market data from the internet and compute optimal portfolio using either traditional Markowitz model and its modified approach. Obtained results will be compared to the traditional Markowitz model provided real data
Londen laat zien: verstedelijking kun je privaat bekostigen
No full textSimon van Zoest en Tom Daamen doen bij de leerstoel Gebiedsontwikkeling onderzoek naar de financiering en bekostiging van grootstedelijk openbaar vervoer. Zij kijken daarbij voorbij de instrumenten en verdiept zich in de motieven en succesfactoren achter de invoer van alternatieve bekostiging. Zo maakt Londen duidelijk dat een private bijdrage aan ov-investeringen mogelijk én wenselijk kan zijnPractice Chair Urban Area DevelopmentUrban Development Managemen
Applications of the Markowitz portfolio theory to capital markets
No full textNazev prace: Aplikace Markowitzovy tcorie portfolia na kapitalovc trhy Autor: Tomas Tyl Katedra : Katedra pravdcpodobnosti a matematicke statistiky Vedouci diplomove prace: Doc. RNDr. Jan Hurt, CSc. e-mail vedouciho: [email protected] Abstrakt: Prace pojednava o Markowitzove teorii portfolia a jeho aplikaci na realnych historickych datech pfi pouziti zakladnfch tri'd aktiv (jednotlive svetove akciove a dluhopisove trhy, hotovost, komodity). Cflem bude porovnat optimalm portfolia sestavena ze vstupnich udaju v historickych obdobich s ruznymi charakteristikami vynosu a rizika. Vysledkem by melo byt potvrzcnf, nebo vyvraceni hypotezy, ze pfi pouziti historickych dat je Markowitzuv model prakticky uzitecny pro bezncho investora. Prace se zameff na testovani Markowitzova modelu pro tfi typy drobnych investoru - konzcrvativniho, vyvazeneho a dynamickeho. Markowitzova teorie bude testovana pro rocnf a petilete vynosy. Klfcova slova:Teorie portfolia, Investovani, Skladba portfolia Title: Applications of the Markowitz portfoliotheory to capital markets Author: Tomas Tyl Department: Department of Probability and Mathematical Statistics Supervisor: Doc. RNDr. Jan Hurt, CSc. Supervisor's e-mail address: [email protected] Abstract: This work discusses the Markowitz's stock portfolio theory and its application for..
Tam Tam in je broekzak
No full textDit is het eindverslag van de stage "Tam Tam in je broekzak", die wij hebben uitgevoerd in het kader van IN3405 Bachelorproject. Deze stage is uitgevoerd bij Tam Tam B.V. te Rijswijk.Technische InformaticaComputer ScienceElectrical Engineering, Mathematics and Computer Scienc
Application of the Markowitz model to selected regional capital markets
No full textUspješno upravljanje financijskim instrumentima u smislu što većeg prinosa i svođenja prihvatljivog rizika na što niže razine ključna je problematika u odlučivanju svakog investitora. Harry Markowitz je iznošenjem moderne teorije portfelja kvantificirao rizik te omogućio kreiranje optimalnog portfelja. Prilikom kreiranja portfelja nužno je diversificirati ulaganja po djelatnostima i teritorijalno kako bi se rizik sveo na što nižu razinu. Slijedom navedenog rad se temelji na usporedbi optimalnih portfelja temeljenih na burzovnim indeksima triju različitih tržišta kapitala i jednog kombiniranog portfelja sastavljenog od najuspješnijih sastavnica pojedinih burzovnih indeksa. Burzovni indeksi korišteni pri kreiranju optimalnih portfelja su CROBEX kao službeni indeks Zagrebačke burze, SBITOP kao službeni indeks Ljubljanske burze i BUX kao službeni indeks Budimpeštanske burze. Temeljni cilj ovog rada je svođenje rizika na što niže razine diversifikacijom portfelja i dostizanje maksimalnog mogućeg prinosa promjenom udjela vrijednosnica u portfelju. Slijedom navedenom optimiziranje portfelja bitna je stavka u odlučivanju svakog investitora koji pokušava postići maksimalni mogući prinos uz istodobno prihvaćanje najnižeg mogućeg rizika.Successful management of financial instruments in terms of maximizing returns and reducing acceptable risk to the lowest possible levels is a key issue in the decision-making of every investor. By presenting modern portfolio theory, Harry Markowitz quantified risk and enabled the creation of an optimal portfolio. When creating a portfolio, it is necessary to diversify investments across asset classes and territorially in order to reduce the risk to the lowest possible level. Consequently, the paper is based on a comparison of optimal portfolios based on stock exchange indices of three different capital markets and one combined portfolio composed of the most successful components of individual stock exchange indices. The stock exchange indices used in creating optimal portfolios are CROBEX as the official index of the Zagreb Stock Exchange, SBITOP as the official index of the Ljubljana Stock Exchange and BUX as the official index of the Budapest Stock Exchange. The basic goal of this paper is to reduce the risk to the lowest possible level by diversifying the portfolio and achieving the maximum possible return by changing the share of securities in the portfolio. Consequently, portfolio optimization is an important item in the decision-making of any investor who tries to achieve the maximum possible return while accepting the lowest possible risk
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