In these modern era, it is very easy to create an investment portfolio, portfolio can be formed by buying a shares. By creating investation, our expect score return which makes advantage. However, there also risk value that will obtained when buy the formation of for active investors, expected optimal are many models used portfolio. this final project, discusses use Black-Litterman Model in opt...

This paper establishes a link between firms' capital investment decisions, the quality of the information they provide to a competitive market for their shares, and their cost of capital. We show that, if firms select projects to maximize share price, higher information quality reduces the cost of capital. The intuition is that better information improves the coordination between firms and inve...

This paper develops a two-country OLG model under the assumption that investors are on a Bayesian learning path. While investors from both countries receive identical information ßows, domestic investors start off with less precise prior beliefs concerning foreign fundamentals. On a learning path, differences in beliefs and estimation risk generate portfolio biases similar to those observed emp...

using advanced techniques of econometrics and a metaheuristic optimization approach, this study attempts to evaluate the potential advantages of international portfolio diversification for east asian international investors when investing in the middle eastern emerging markets. overall, the results of both econometric and the metaheuristic optimization methods are supporting each other. finding...

This paper addresses a problem of finding portfolios that perform better than investment funds while showing similar behaviour. The quality of investment portfolio can be measured using various criteria such as the return and some kind of risk measurement. Investors seek to maximize return while minimizing risk. In order to achieve this goal various instruments are considered. One of the possib...

Using airline travel flow between two states as a proxy for geographical accessibility, we demonstrate that geographical accessibility affects the portfolio decisions and performance of both retail and institutional investors. Irrespective of physical proximity, both types of investors tilt their portfolios toward firms located in more geographically accessible states. However, only institution...

This paper introduces a new importance sampling technique to increase the efficiency of rare event simulation. By using a multidimensional rotational invariant auxiliary density, this method can be applied to estimate risk measures for credit risk portfolios where the method of importance sampling via mean shifting is not suitable. The loss distribution of the portfolio is obtained by simulatin...

In these modern era, it is very easy to create an investment portfolio, portfolio can be formed by buying a shares. By creating investation, our expect score return which makes advantage. However, there also risk value that will obtained when buy the formation of for active investors, expected optimal are many models used portfolio. this final project, discusses use Black-Litterman Model in opt...