Post-Modern Portfolio Theory

The core innovation of post-modern portfolio theory. Total variability of return. Downside risk optimization. Downside frequency, average deviation and magnitude. Main types of formulas for downside risk. Main features of the Sortino and Sharpe ratio.

Подобные документы

  • Estimate risk-neutral probabilities and the rational for its application. Empirical results of predictive power assessment for risk-neutral probabilities as well as their comparisons with stock-implied probabilities defined as in Samuelson and Rosenthal.

    дипломная работа, добавлен 02.11.2015

  • Верифікація прогнозів, ex post як імітація процесу прогнозування. Схема ретроспективної перевірки точності прогнозу. Коефіцієнт нерівності Тейла. Алгоритм ex post прогнозування. Поняття тенденції, основні способи встановлення наявності тенденції.

    отчет по практике, добавлен 23.10.2017

  • Mergers and acquisitions: definitions, history and types of the deals. Previous studies of post-merger performance and announcement returns and Russian M&A market. Analysis of factors driving abnormal announcement returns and the effect of 2014 events.

    дипломная работа, добавлен 02.11.2015

  • Models and concepts of stabilization policy aimed at reducing the severity of economic fluctuations in the short run. Phases of the business cycle. The main function of the stabilization policy. Deviation in the system of long-term market equilibrium.

    статья, добавлен 19.09.2017

  • Special features of multinational corporations. Out the main objectives of a transfer pricing system. Modernisation of business processes of enterprise, use of innovative technologies. Preparing the profit and loss account of the company of Crystal ltd.

    курсовая работа, добавлен 16.02.2014

  • A theoretic analysis of market’s main rules. Simple Supply and Demand curves. Demand curve shifts, supply curve shifts. The problem of the ratio between supply and demand. Subsidy as a way to solve it. Effects of being away from the Equilibrium Point.

    курсовая работа, добавлен 31.07.2013

  • Resources of income for enterprises. Main ways of decreasing the costs Main ways of increasing the income. Any enterprise’s target is to make profit. In order to make it a company should understand where comes from the income and where goes out costs.

    курсовая работа, добавлен 09.11.2010

  • The definition of Corporate Social Responsibility and main approaches. Stakeholder VS Shareholders. The principles of CSR: features and problems. Sanofi Group Company and its Social Responsibility program. Results and Perspectives, the global need.

    курсовая работа, добавлен 09.03.2015

  • Calculation of accounting and economic profits. The law of diminishing returns. Short-Run production relationships and production costs, it's graphic representation. The long-run cost curve. Average fixed, variable, total costs and marginal costs.

    презентация, добавлен 19.10.2016

  • Понятие арбитража как получения безрисковой прибыли от сделок на разнице цен. Совершение сделок на разных рынках с одинаковыми товарами или финансовыми активами. Характеристика моделей САРМ и АРТ, основные присущие им факторы. Оценка премии за риск.

    презентация, добавлен 30.07.2013

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