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...

In this paper, the investment portfolio is formed based on the data mining algorithm of CHAID on the basis of the risk status criteria. In the next step, the second investment portfolio is created based on the decision rules extracted by the DEA-BCC model. The final portfolio is created through a two-objective mathematical programming model based on the Imperialist Competitive algorithm.

this paper presents dynamic portfolio model based on the merton's optimal investment-consumption model, which combines dynamic synthetic put option using risk-free and risky assets. this paper is extended version of methodological paper published by yuan yao (2012) cite{26}. because of the long history of the development of foreign financial market, with a variety of financial derivatives, the ...

The classical portfolio problem is a problem of distributing capital to a set of securities. By generalizing the set of securities to a set of investment strategies (or security-rule pairs), this study proposes an investment strategy portfolio problem, which becomes a problem of distributing capital to a set of investment strategies. Since the investment strategy portfolio problem can be formul...

At paper we investigate problem of the investment portfolio selection from one risky asset and one risk-free asset. We use the probability criterion for the investment portfolio selection. The possibility of rebalancing of the investment portfolio is used for diversi cation of the portfolio. We nd an approximate analytical solution of the problem using the law of total probability. The investme...

The returns and risks of investment portfolio in a financial system was investigated by constructing a theoreticalmodel based on the Hestonmodel. After the theoreticalmodel and analysis of portfolio were calculated and analyzed, we find the following: (i) The statistical properties (i.e., the probability distribution, the variance and loss rate of equity portfolio return) between simulation res...

The portfolio optimization is one of the fundamental problems in asset management that aims to reduce the risk of an investment by diversifying it into assets expected to fluctuate independently. A portfolio is a grouping of financial assets such as stocks, bonds, commodities, currencies and cash equivalents, as well as their funds counterparts, including mutual, exchange- traded and closed fun...

This paper uses a grey forecasting model GM(1,1) on improving the investment performance of classical Markowitz efficiency frontier’s investment portfolio using the component markets’ indexes of MSCI World Index from 1999 to 2005 as the samples. Using grey Markowitz efficiency frontier’s investment portfolio models, we establish a more stable and correct connection between ex-ante model and ex-...