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Indian stock market has undergone a significant transformation after globalization. The most significant changes which has happened in the Indian stock Market that FII has been allowed to invest in the Indian market. Currently the extent of stock price volatility is being influenced by integration between the domestic and international capital markets as well as the regulatory framework governing...
This overview paper reviews covariance estimation problems and related issues arising in the context of portfolio optimization. Given several assets, a portfolio optimizer seeks to allocate a fixed amount of capital among these assets so as to optimize some cost function. For example, the classical Markowitz portfolio optimization framework defines portfolio risk as the variance of the portfolio return,...
The aim of this paper is to present an alternative method to obtain the efficient portfolio in Roy's model starting from the concepts of critical return and risk which are introduced here. This method will permit resolution of the main problem of Roy's model, that is to say, the impossibility of obtaining the portfolio in certain situations. The introduction of these new concepts will also allow the...
The paper presents a short-term market risk model based on the Markowitz mean-variance method for spatial electricity markets. The spatial nature is captured using the correlation of geographically separated markets and the consideration of wheeling administration. The model also includes transaction costs and other practical constraints, resulting in a mixed integer programming (MIP) model. The incorporation...
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