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61
A diversified portfolio of tokenised revenue streams can provide hedging opportunities for renewable electricity generators
Published 2023-12-01“…The simulation uses Multiportfolio Theory — an extension of Modern Portfolio Theory — to optimise the RevTok holdings of all generators simultaneously. …”
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62
Product models selection based on portfolio optimization
Published 2023“…A Mean-Variance mathematical model is constructed via introducing the Modern Portfolio Theory in the financial field, along with the product model’s features weight allocation analysis via Analytic Hierarchy Process in the engineering field. …”
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Thesis-Master by Coursework -
63
Does risk culture matter for sustaining the business? evidence from Malaysian environmentally sensitive listed companies
Published 2020“…Drawing on the post-modern portfolio theory and stakeholder theory, the model in this study is empirically validated by means of the partial least squares approach to structural equation modelling (PLS-SEM) based on survey data from environmentally sensitive companies in Malaysia. …”
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64
Viability of Risk-return Trade-off within a South African Context
Published 2022-08-01“…Theoretical contribution/Originality: This paper indicated that the principle of the modern portfolio theory (MPT) should not be accepted as general truth. …”
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65
Asset selection based on estimating stress-strength probabilities: The case of returns following three-parameter generalized extreme value distributions
Published 2024-01-01“…Therefore, rather than the conventional approach of comparing the expected values of $ X $ and $ Y $ based on modern portfolio theory, we delve into the metric $ P(X < Y) $ as an alternative parameter for assessing better returns.…”
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66
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67
ABM simulations of housing portfolios in normal and bubble times
Published 2020“…In finance, the most popular method regarded for portfolio management is through Modern Portfolio Theory (MPT). Hence, our goals are to gain insight on the effectiveness of MPT strategy in the housing market and investor’s housing portfolio in both normal and bubble times. …”
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Final Year Project (FYP) -
68
The application of Hamilton's principle in the financial market
Published 2015“…The outline of this report is as such that the first part goes to the operation of the financial market by going through the concepts of stock, stock option, stock volatility, forward contract, modern portfolio theory, the Greek letters and hedging etc. …”
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Final Year Project (FYP) -
69
Stock-Bond Correlations In Asean-5: The Roles Of Financial Integration And Financial Development
Published 2020“…Based on Markowitz’s (1952) modern portfolio theory, studies of stock-bond correlation have gained considerable attention in academia as it explores the extent of asset diversification benefit between stock and bond markets. …”
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Thesis -
70
Revisiting investability of heritage properties through indexation and portfolio frontier analysis
Published 2021“…Subsequently, its diversification effect was examined through the Efficient Frontier (EF), derived from the Modern Portfolio Theory (MPT). The findings have proven the optimization of the conventional portfolio by enabling investments in heritage properties where the return is higher than other investment assets at the same risk level. …”
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Article -
71
Landscape diversity and the resilience of agricultural returns: a portfolio analysis of land-use patterns and economic returns from lowland agriculture
Published 2013-01-01“…</p> <p>Methods</p> <p>We used agricultural gross margin (GM) forecasts from 1966 to 2010 and remote sensing data from agricultural landscapes in the lowland UK, in conjunction with modern portfolio theory, to test the hypothesis that decreasing land-use diversity results in landscapes that provide higher, but more volatile, economic returns. …”
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72
Robust Optimization of Power Grid Investment Decision-Making Considering Regional Development Stage Uncertainties
Published 2023-11-01“…First, investment risk constraints are constructed based on the modern portfolio theory. Then, a box uncertainty set is used to characterize uncertainties in regional development stage, and a robust optimization model for power grid investment decision-making considering uncertainties in development stage is established. …”
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73
Urban Climate Risk Mitigation via Optimal Spatial Resource Allocation
Published 2022-03-01“…Finally, building on our derivations, we develop a new algorithm for <i>spatial resource allocation</i>, which is useful for DMs and is based on <i>modern portfolio theory</i>. We implemented the tool and used it to illustrate its operation on a practical case of the large-scale area of Singapore using a WRF climate model.…”
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Article -
74
Revisiting Investability of Heritage Properties through Indexation and Portfolio Frontier Analysis
Published 2021-05-01“…Subsequently, its diversification effect was examined through the Efficient Frontier (EF), derived from the Modern Portfolio Theory (MPT). The findings have proven the optimization of the conventional portfolio by enabling investments in heritage properties where the return is higher than other investment assets at the same risk level. …”
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75
Management of investment portfolios employing reinforcement learning
Published 2023-12-01“…Furthermore, it challenges conventional notions of market efficiency and modern portfolio theory, offering practical implications. …”
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76
A Study of the Services Risks of the Libraries Affiliated with Iran Public Libraries Foundation
Published 2019-12-01“…Purpose: To study, identify and evaluate the services risks of the public libraries affiliated with Iran Public Libraries Foundation and to provide a solution based on the modern portfolio theory. Method: This is an applied research in terms of purpose and a qualitative study in terms of the data collection method, which has been carried out by applying the cross-mix method. …”
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77
Building a stock portfolio
Published 2014“…The objective functions used in portfolio optimization are mainly based on the Harry Markowitz’s Modern Portfolio Theory (MPT). He won the 1990 Nobel Memorial Prize in Economics Sciences with his work on MPT. …”
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Final Year Project (FYP) -
78
Assessing the incentives and financial compensation of agroforestry considering the uncertainty of price and yield
Published 2023-02-01“…On the basis of Harry Markowitz’s modern portfolio theory, this study evaluated the economic compensation for converting planting a single-type crop to a portfolio of rice, corn, and the Taiwan Acacia; and determined their optimal weights with the minimal risk. …”
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Article -
79
Portfolio Construction: A Network Approach
Published 2023-11-01“…Results are compared against two benchmarks: the index DJIA, and the Markowitz portfolio based on Modern Portfolio Theory. The key findings are as follows: (1) Peripheral portfolios of low centrality stocks based on Pearson correlation network are the best in the long-term, achieving an extremely high cumulative return of around 3000% as well as high risk-adjusted return; (2) Markowitz portfolio is the safest in the long-term, while on the contrary, central portfolios of high centrality stocks based on Pearson correlation network are the riskiest; (3) In times of crisis, no portfolio is always the best. …”
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