620 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
Markowitz in the brain ?
No full textWe review recent brain-scanning (fMRI) evidence that activity in certain sub-cortical structures of the human brain correlate with changes in expected reward, as well as with risk. Risk is measured by variance of payoff, as in Markowitz? theory. The brain structures form part of the dopamine system. This system had been known to regulate learning of expected rewards. New data show that it is also involved in perception, of expected reward, and of risk. The findings suggest that the brain may perform a higherdimensional analysis of risky gambles, as in standard portfolio theory, whereby risk and expected reward are considered separately. That is, the human brain appears to literally record the very inputs that have become a defining part of modern finance theory.neurofinance, neuroeconomics, decision making under uncertainty, Markowitz, portfolio theory, dopaminergic, system
Decisão de investimento: uma proposta de adequação da teoria moderna de portfólio e Life Cycle Investing na previdência complementar
No full textDissertação (mestrado) - Universidade Federal de Santa Catarina, Centro Sócio Econômico, Programa de Pós-Graduação em Administração, Florianópolis, 2013.O paradigma econômico mundial não é mais o mesmo desde a última crise financeira em 2008. Os prejuízos causados para a sociedade são inúmeros e refletem em todos os setores da economia mundial e nacional. Os impactos dessa crise foram enormes para o setor de previdência complementar, uma vez que as Entidades Fechadas de Previdência Complementar aplicam os recursos de seus participantes nos mercados financeiros. Esse contexto de mudanças e riscos aponta para um realinhamento equilibrado e diversificado das carteiras de investimento dos fundos de pensão brasileiros, no intuito de diminuir os riscos e maximizar os retornos. Em seu estudo, Portfolio Selection, Markowitz demonstra como os investidores devem aplicar seus recursos levando em conta a relação risco e retorno esperado. (Teoria Moderna de Portfólio). Enquanto a teoria de Markowitz trata da diversificação dos investimentos em uma carteira, os princípios de Life Cycle Investing propõe essa diversificação também ao longo do tempo. A junção do modelo de Markowitz com Life Cycle Investing demonstrou em seus testes que pode trazer benefícios para as Entidades Fechadas de Previdência Complementar, quando tratamos de seus investimentos. Por meio da análise de dados estatísticos do mercado financeiro brasileiro, juntamente com modelagem e simulações, demonstrou-se a eficácia do modelo proposto para os fundos de pensão brasileiros embasado na Teoria Moderna de Portfólio e os princípios de Life Cycle Investing. <br
An investigation of personality and affect with respect to acute exercise
No full textSubmission original under an indefinite embargo labeled 'Open Access'. The submission was exported from vireo on 2024-09-16 without embargo termsThe student, Erin Markowitz, accepted the attached license on 2024-04-25 at 08:08.The student, Erin Markowitz, submitted this Thesis for approval on 2024-04-25 at 08:41.This Thesis was approved for publication on 2024-04-29 at 15:45.DSpace SAF Submission Ingestion Package generated from Vireo submission #20633 on 2024-09-16 at 00:37:00Introduction: While the relationship between personality and physical activity (PA) behavior is well established, few studies have examined personality and affective states experienced during exercise. The purpose of this study was to investigate whether personality traits [e.g., Conscientiousness (C), Neuroticism (N), and Extraversion (E)] and their corresponding trait facets (e.g., N: Anxiety; Depression; E: Excitement-Seeking) uniquely predict affective states during an acute bout of vigorous physical activity. Methods: 10 participants (21 ± 1.94 yrs, 6 (60%) Female, 10 (100%) current exercisers) completed the International Personality Item Pool to assess personality, a VO2 peak test to determine a unique maximum heart rate, and a 10-minute bout of vigorous cycling. During the acute cycling bout, affective states (e.g., Feeling Scale (FS); Hardy & Rejeski, 1989; Felt Arousal Scale; Svebak & Murgatroyd, 1985) were assessed every 2 minutes. Two multiple linear regressions were conducted to analyze whether C, N, and E uniquely predicted peak affect (highest FS achieved from min-0 to min-10) (Model 1) and valley affect (lowest FS achieved from min-0 to min-10) (Model 2). Two follow-up multiple regressions were conducted to analyze whether C, Anxiety, Depression, and Excitement-Seeking uniquely predicted peak affect (Model 3) and valley affect (Model 4). Results: Personality explained greater variance in peak affect than valley affect (Model 1: R2= .841, 2: R2= .605, 3: R2= .921, 4: R2= .781). Initial regressions indicated that Neuroticism significantly predicted peak (β= -.949, p= 0.003) and valley affect (β = -.752, p= 0.049), while E and C did not (p> 0.05). Follow-up regressions indicated that Depression predicted both peak (β= -.766, p= 0.004) and valley affect (β= -.851, p= 0.021), while C, Anxiety, and Excitement-Seeking did not (p>0.05). Conclusion: Understanding the relationship between personality and affective responses will allow practitioners to target individuals for PA interventions to improve PA behavior
Markowitz in the brain?
No full textWe review recent rain-scanning (fMRI) evidence that activity in certain sub-cortical structures of the human brain correlate with changes in expected reward, as well as with risk. Risk is measured by variance of payoff, as in Markowitz' theory. The brain structures form part of the dopamine system. This system had been known to regulate learning of expected rewards. New data show that it is also involved in perception, of expected reward, and of risk. The findings suggest that the brain may perform a higher-dimensional analysis of risky gambles, as in standard portfolio theory, whereby risk and expected reward are considered separately. That is, the human brain appears to literally record the very inputs that have become a defining part of modern finance theory.SFI-P
Markowitz in the brain?
No full textWe review recent brain-scanning (fMRI) evidence that activity in certain sub-cortical structures of the human brain correlate with changes in expected reward, as well as with risk. Risk is measured by variance of payoff, as in Markowitz’ theory. The brain structures form part of the dopamine system. This system had been known to regulate learning of expected rewards. New data show that it is also involved in perception, of expected reward, and of risk. The findings suggest that the brain may perform a higher-dimensional analysis of risky gambles, as in standard portfolio theory, whereby risk and expected reward are considered separately. That is, the human brain appears to literally record the very inputs that have become a defining part of modern finance theory
Reevaluating the carcinogenicity of ortho-toluidine: A new conclusion and its implications
No full textThe aromatic amine ortho-toluidine has been recognized by IARC as an animal carcinogen for the past decade. Three recent epidemiological studies of worker populations have now implicated this chemical as a human bladder carcinogen. In a study by E. Ward, A. Carpenter, S. Markowitz, D. Roberts, and W. Halperin ((1991), J. Natl. Cancer Inst. 83, 501-506), workers definitely exposed to ortho-toluidine for at least 10 years experienced a Standardized Incidence Ratio (SIR) of 27.2 (90% CI = 11.8-53.7). The other major exposure was to aniline, which significant epidemiological studies have failed to confirm as a human carcinogen. In retrospect, studies by G. F. Rubino, G. Scansetti, G. Piolatto ((1982) Environ. Res. 27, 241-254) and M. J. Stasik ((1988) Int. Arch. Occup. Environ. Health 60, 21-24) also support the hypothesis that ortho-toluidine is a human bladder carcinogen. Animal studies of both ortho-toluidine and its possible confounders in these epidemiological investigations further confirm this hypothesis. When evaluated in a suitably comprehensive way, according to the traditional standards for assessing causality outlined by A. B. Hill ((1977) A Short Textbook of Medical Statistics, pp. 288-294, Lippincott, Philadelphia) the evidence that ortho-toluidine causes human bladder cancer has become much more conclusive. In this case, animal tests have proven a good predictor of human carcinogenicity. © 1992
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
FCIC staff audiotape of interview with Harry Markowitz, University of California San Diego
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