Systemic stress test model for shared portfolio networks
نویسندگان
چکیده
منابع مشابه
A Fuzzy Goal Programming Model for Efficient Portfolio Selection.
This paper considers a multi-objective portfolio selection problem imposed by gaining of portfolio, divided yield and risk control in an ambiguous investment environment, in which the return and risk are characterized by probabilistic numbers. Based on the theory of possibility, a new multi-objective portfolio optimization model with gaining of portfolio, divided yield and risk control is propo...
متن کاملPortfolio Size in Stochastic Portfolio Networks Using Digital Portfolio Theory
The investment portfolio with stochastic returns can be represented as a maximum flow generalized network with stochastic multipliers. Modern portfolio theory (MPT) [1] provides a myopic short horizon solution to this network by adding a parametric variance constraint to the maximize flow objective function. MPT does not allow the number of securities in solution portfolios to be specified. Int...
متن کاملPrediction-based portfolio optimization model using neural networks
This work presents a new prediction-based portfolio optimization model that can capture short-term investment opportunities. We used neural network predictors to predict stocks’ returns and derived a risk measure, based on the prediction errors, that have the same statistical foundation of the mean-variance model. The efficient diversification effects holds thanks to the selection of predictors...
متن کاملShared Processors versus Shared Networks
The time semantics of abstract programming languages is presented. It is based on an assumption that communicating processes do not share processors but that they may share communication network. It means that executions of actions cannot be interrupted during computations but that processes can wait for free communication links. The presented semantics is compared with the semantics based on a...
متن کاملFinancial Linkages, Portfolio Choice and Systemic Risk
Financial linkages smooth the shocks faced by individual components of the system, but they also create a wedge between ownership and decision-making. The classical intuition on the role of pooling risk in raising welfare is valid when ownership is evenly dispersed. However, when the ownership of some agents is concentrated in the hands of a few others, greater integration and diversification c...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Scientific Reports
سال: 2021
ISSN: 2045-2322
DOI: 10.1038/s41598-021-82904-y