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Jelena Z. Stankovic,Evica Petrovic,Ksenija Dencic-Mihajlov
Pág. 017 - 026
Despite its wide use in practice, Modern Portfolio Theory and Markowitz?s approach to optimization, which is based on quadratic programming and the first two moments of the probability distribution of returns as major parameters, was faced with criticism...
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Unbreen Arif,Muhammad Tayyab Sohail
Pág. 243 - 255
The development of asset pricing model is attributed to Markowitz (1952) which initiated towards Modern Portfolio Theory (MPT). The whole concept of MPT based on normality of returns assumption but in emerging economies volatility of returns is an import...
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Varvara Piterska, Oleh Lohinov, Liliia Lohinova
Pág. 59 - 67
The subject matter of the article is the methods, models and mechanisms of project-oriented management of the educational activities of higher education institutions. The goal of the work is to develop a conceptual model for managing the educational acti...
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Varvara Piterska, Oleh Lohinov, Liliia Lohinova
Pág. 99 - 108
The subject matter of the article is the methods, models and mechanisms of forming a portfolio of research projects of higher education institutions. The goal of the work is to develop a mechanism for managing a portfolio of research projects of a higher...
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Karen Yukari Yokoyama,Alfredo Sarlo Neto,Cláudio Márcio Pereira da Cunha
Pág. 523 - 550
Given the recent expansion of real estate securities in the Brazilian market, the present study examines Brazilian REITs (FIIs) returns? exposure to underlying market returns (real estate, stock and bond) in order to assess evidence of diversification po...
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AMIR KHAN, YASIR BIN TARIQ, MUHAMMAD KAMRAN KHAN
Pág. Page:45 - 52Abstract
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Munyaradzi Chawana
AbstractA number of researchers have sought to test the theoretical prediction of Modern Portfolio Theory that asserts that Socially Responsible Investing (SRI) under-performs conventional investing. In contrast to the majority of literature, which focus...
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Ailton Cassetari
Pág. pp. 271 - 300
In this work, a capital allocation methodology base don the Principle of Maximum Entropy was developed. The Shannons entropy is used as a measure, concerning the Modern Portfolio Theory, are also discuted. Particularly, the methodology is tested making a...
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J. L.R. Retief,J. F. Affleck-Graves,W. D. Hamman
AbstractA key problem in estimating the cost of capital for an unlisted company has been the determination of its beta coefficient. Market prices for such companies are not available, therefore the traditional regression methods for estimation are not po...
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