The amount of capital necessary to support a portfolio of debt securities depends on the probability distribution of the portfolio loss. Consider a portfolio of loans, each of which is subject to default resulting in a loss to the lender. Suppose the portfolio is financed partly by equity capital and partly by borrowed funds. The credit quality of the lender's notes will depend on the probabili...

In this study, we use a Dynamic Stochastic General Equilibrium (DSGE) model to investigate the household portfolio channel of monetary and credit shocks transmission in Iran. In this regard, we developed a canonical New Keynesian DSGE model with financial and banking sectors. The model is estimated by Bayesian method for the period 1990-2012. The result showed that the current and expected pric...

In the science of operation research and decision theory, selection is the most important process. Selection is a process that studies multiple qualitative and quantitative criteria, related to the science of management, which are mostly incompatible with each other. The multi criteria selection of a renewable energy portfolio is one of the main issues considered in multi criteria literatur...

Portfolio optimization is one of the most important issues for effective and economic investment. There is plenty of research in the literature addressing this issue. Most of these pieces of research attempt to make the Markowitz’s primary portfolio selection model more realistic or seek to solve the model for obtaining fairly optimum portfolios. An efficient frontier in the ...

Traditional portfolio optimization has often been criticized for not taking estimation risk into account. Estimation risk is mainly driven by the parameter uncertainty regarding the expected asset returns rather than their variances and covariances. The global minimum variance portfolio has been advocated by many authors as an appropriate alternative to the classical mean-variance optimal portf...

The purpose of this study was to identify the relationship of LMS log and teaching portfolio. The elements of teaching portfolio for different universities were analyzed. The analyzed results would support designing and developing logic relationship between LMS log and professional teaching portfolio. Eight major elements were drawn as an integrated type of professional teaching portfolio. For ...

Cover’s celebrated theorem states that the long run yield of a properly chosen “universal” portfolio is as good as the long run yield of the best retrospectively chosen constant rebalanced portfolio. The “universality” pertains to the fact that this result is model-free, i.e., not dependent on an underlying stochastic process. We extend Cover’s theorem to the setting of stochastic portfolio the...

T he purpose of this study is to analyze the effect of foreign direct investment and portfolio investment on the convergence occurrence of economic growth of countries in the ASEAN + 3 region and to determine the time or speed required to achieve convergence. The type of data used in this research is secondary data panel which is combination between time series data and cross-section...

Abstract—Constructing a portfolio of investments is one of the most significant financial decisions facing individuals and institutions. In accordance with the modern portfolio theory maximization of return at minimal risk should be the investment goal of any successful investor. In addition, the costs incurred when setting up a new portfolio or rebalancing an existing portfolio must be include...