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The evolution of project portfolio selection methods: from incremental to radical innovation

Ximena Alejandra Flechas Chaparro, Leonardo Augusto de Vasconcelos Gomes, Paulo Tromboni de Souza Nascimento
2019 REGE Revista de Gestão  
Design/methodology/approach -Given the nature of the research question, the authors perform a systematic literature review method and analyze 48 portfolio selection approaches.  ...  The current literature offers a number of selection approaches with different and, in some cases, conflicting nature.  ...  Based on Cooper et al.'s (1999) portfolio selection methods classification, we defined 12 taxonomy categories to classify the PPS approaches.  ... 
doi:10.1108/rege-10-2018-0096 fatcat:qtlzmlihxndc5mijyymtsd45am

The methods for selection of shares for investment portfolio on example of companies in the stock exchange in Warsaw

Monika MIŚKIEWICZ-NAWROCKA, University of Economics in Katowice
2020 Scientific Papers of Silesian University of Technology. Organization and Management Series  
One of the new approaches is the use of deterministic chaos to determine the composition of the portfolio.  ...  Practical implications: The application in portfolio analysis. Originality/value: The WAI measures used to create a company ranking and build a portfolio of shares based on it.  ...  The use of nonlinear dynamic systems tools such as the Hurst exponent seems to be an important element of portfolio analysis research.  ... 
doi:10.29119/1641-3466.2020.149.38 fatcat:fsggb73hsrbb7em5yhykx4sram

An Incremental-Hybrid-Yager's Entropy Model for Dynamic Portfolio Selection with Fuzzy Variable

Yin Li, Jian Tao, Yazhi Song
2018 Discrete Dynamics in Nature and Society  
Different from the traditional multiperiod portfolio, we design the ratio threshold to divide asset price into different time interval and use state instead of time point to model the dynamic portfolio  ...  In addition, fuzzy variables are utilized to represent prices of assets, while historical data based on Markov chain is exploited to estimate membership functions of fuzzy prices.  ...  In brief, the price return, risk, and portfolio process are defined as the state-based equations. Consider a dynamic-selection-based portfolio selection problem with m risky assets.  ... 
doi:10.1155/2018/7387210 fatcat:qzblbt57mnfsjf26hldg53scsi

A systematic review on supplier selection and order allocation problems

Sourour Aouadni, Ismahene Aouadni, Abdelwaheb Rebaï
2019 Journal of Industrial Engineering International  
The review presented in this paper focuses on the supplier selection problems (SSP) and order allocation from year 2000 to 2017 in which a new structure and classification of the existing research streams  ...  The supplier selection and order allocation are two key strategic decisions in purchasing problem.  ...  Ahmad and Mondal (2016) developed a mathematical model based on mixed integer nonlinear programming (MINLP) to solve dynamic supplier selection problem (DSSP).  ... 
doi:10.1007/s40092-019-00334-y fatcat:yii2jrf6ofe53ewpmabca4ubum

Bootstrap order selection for SETAR models

Livio Fenga, Dimitris N. Politis
2013 Journal of Statistical Computation and Simulation  
in the non bootstrap world and, in Section 7, by means of a novel approach based on Artificial Neural Networks.  ...  This is especially true for the practitioners which, in addition, can benefit from a huge selection of software packages usually featured with a rich portfolio of linear models.  ... 
doi:10.1080/00949655.2013.811507 fatcat:ywdef2grwzbbrcx3s625fwp6g4

On the optimal allocation of assets in investment portfolio with application of modern portfolio and nonlinear dynamic chaos theories in investment, commercial and central banks [article]

Dimitri O. Ledenyov, Viktor O. Ledenyov
2013 arXiv   pre-print
diagram in agreement with the dynamic chaos theory.  ...  management in the nonlinear dynamic financial system.  ...  mathematical approach to represent the complex behavior of a simple nonlinear system.  ... 
arXiv:1301.4881v2 fatcat:l3gt2dox3rcahaqb2t345ynqe4

Venture Capital Optimal Investment Portfolio Strategies Selection in Diffusion - Type Financial Systems in Global Capital Markets with Nonlinearities

Dimitri O. Ledenyov, Viktor O. Ledenyov
2013 Social Science Research Network  
These nonlinearities have to be taken to an account during the venture capital optimal investment portfolio strategies selection process, which is all about making the right investment choices with the  ...  The condensed research article presents some innovative research results on the venture capital optimal investment portfolio strategies selection in the diffusion-type financial systems in the imperfect  ...  Ledenyov D O, Ledenyov V O 2013a On the optimal allocation of assets in investment portfolio with application of modern portfolio management and nonlinear dynamic chaos theories in investment, commercial  ... 
doi:10.2139/ssrn.2592989 fatcat:kplpldgaprct7m4yge3krkyrri

Nonlinear Dynamics in Financial Systems: Advances and Perspectives

Chuangxia Huang, Fenghua Wen, Jianping Li, Taishan Yi, Xiaodong Lin
2014 Discrete Dynamics in Nature and Society  
Portfolio Selection and Optimization. J.  ...  Wang et al. proposed a timevarying correlation network-based approach to investigate dynamics of foreign exchange (FX) networks. Financial Diagnosis and Control. X.  ...  We hope that problems discussed and investigated in this issue may be inspiration and motivation to discover new, innovative, and novel applications in all areas of nonlinear financial dynamics.  ... 
doi:10.1155/2014/275750 fatcat:rfc3wdckvvf5fotvtmwb4ue5qa

Market Characteristics and Chaos Dynamics in Stock Markets: An International Comparison

Gianluca Mattarocci
2006 Social Science Research Network  
The chaos theory assumes that the returns dynamics are not normally distributed and more complex approaches have to be used to study these time series.  ...  Using a large sample of world stock indexes, I try to identify the main market characteristics that influence returns dynamics.  ...  of portfolio re-balances and a lower volume of transactions 45 .  ... 
doi:10.2139/ssrn.928796 fatcat:j75yaz23lnaepn4epfok4u54ei

3. International comparison [chapter]

1997 Coated metal roofing and cladding  
The chaos theory assumes that the returns dynamics are not normally distributed and more complex approaches have to be used to study these time series.  ...  Using a large sample of world stock indexes, I try to identify the main market characteristics that influence returns dynamics.  ...  of portfolio re-balances and a lower volume of transactions 45 .  ... 
doi:10.1680/cmrac.26209.0003 fatcat:nxo6bi7p4fbsrhzxqsdbjwrli4

International comparison [chapter]

2008 Petroleum Taxation  
The chaos theory assumes that the returns dynamics are not normally distributed and more complex approaches have to be used to study these time series.  ...  Using a large sample of world stock indexes, I try to identify the main market characteristics that influence returns dynamics.  ...  of portfolio re-balances and a lower volume of transactions 45 .  ... 
doi:10.4324/9780203927892.axc fatcat:kjxmpegwsfeldkt26szv7gi2da

International Comparison [chapter]

2014 Encyclopedia of Quality of Life and Well-Being Research  
The chaos theory assumes that the returns dynamics are not normally distributed and more complex approaches have to be used to study these time series.  ...  Using a large sample of world stock indexes, I try to identify the main market characteristics that influence returns dynamics.  ...  of portfolio re-balances and a lower volume of transactions 45 .  ... 
doi:10.1007/978-94-007-0753-5_102079 fatcat:dwpdr67ijfaqbaprhsd4enz7vi

International comparison [chapter]

2008 Petroleum Taxation  
The chaos theory assumes that the returns dynamics are not normally distributed and more complex approaches have to be used to study these time series.  ...  Using a large sample of world stock indexes, I try to identify the main market characteristics that influence returns dynamics.  ...  of portfolio re-balances and a lower volume of transactions 45 .  ... 
doi:10.4324/9780203927892.axd fatcat:ajibfayxuvdydl57ximkkxevci

Approach to Assess and Select Small and Medium Enterprises (SMEs) for Incubation on the Base of Angel Model – a Case on Developing Economies and ENGINE Program

Joseph Asare
2017 British Journal of Economics, Management & Trade  
Also, a careful study of business theories and common approaches used by institutions to select SMEs for incubation has well established that many factors contribute to SMEs success.  ...  This study through the use of the Project Angel Model and the Chaos Theory [1, 2] has conducted a careful study into what determines SMEs success and found that no single business document can be used  ...  Further, the Resource-Base approach view competitive advantage of a firm and its success as the result of the portfolio of resources it is able to connect for its performance within the industry.  ... 
doi:10.9734/bjemt/2017/31399 fatcat:ftmevfyhzvcwbaclsqhcmqdrka

Chaos and Nonlinear Dynamics: Application to Financial Markets

DAVID A. HSIEH
1991 Journal of Finance  
What Is Chaos? Chaos is a nonlinear deterministic process which "looks" random.  ...  Based on these critical values, the only series to pass the BDS diagnostic is the smallest decile portfolio, DEC1.  ... 
doi:10.1111/j.1540-6261.1991.tb04646.x fatcat:kljsjvjdxjeetlci46odquxuv4
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