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Mirza Sikalo, Almira Arnaut-Berilo and Azra Zaimovic
In this paper, we compared the models for selecting the optimal portfolio based on different risk measures to identify the periods in which some of the risk measures dominated over others. For decades, the best known return-risk model has been Markowitz?...
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Marcelo Picolotto Corso, Fabio Luis Perez, Stéfano Frizzo Stefenon, Kin-Choong Yow, Raúl García Ovejero and Valderi Reis Quietinho Leithardt
Contamination on insulators may increase the surface conductivity of the insulator, and as a consequence, electrical discharges occur more frequently, which can lead to interruptions in a power supply. To maintain reliability in an electrical distributio...
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Parnian Ghasemi, Mohamad Aslani, Derrick K. Rollins and R. Christopher Williams
The dynamic modulus of hot mix asphalt (HMA) is a fundamental material property that defines the stress-strain relationship based on viscoelastic principles and is a function of HMA properties, loading rate, and temperature. Because of the large number o...
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Zhenzhen Zhu, Zhidong Bai, João Paulo Vieito, Wing-Keung Wong
Pág. 5 - 30
We analyze the impact of the most recent global financial crisis (GFC) on the seven most important Latin American stock markets. Our mean-variance analysis shows that the markets are significantly less volatile and, in general, investors prefer to invest...
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Lijing Zhu, Peize Wang and Sha Xi
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Aekkachai Nittayagasetwat,Jiroj Buranasiri
Pág. 562 - 567
This research paper investigates the benefit of risk diversification under the increase in the integration of AEC countries? capital markets during 1999 and 2016. The evidences from the correlation and mean-variance analysis confirm the higher stock mark...
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Adam Zaremba
Pág. 18 - 36
The study concentrates on the benefits of passive commodity investments in the context of the phenomenon of financialization. The research investigates the implications of increase in the correlation coefficients between equity and commodity investments ...
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Yongwon Seo, Sun Young Park and Young-Oh Kim
A rainwater harvesting system (RWHS) is an alternative water resource that collects and stores rainwater from rooftops. It helps smooth out variations in water supply and sustainable water resources management. In this study, we investigated the potentia...
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Eihab M. Fathelrahman, James C. Ascough II, Dana L. Hoag, Robert W. Malone, Philip Heilman, Lori J. Wiles and Ramesh S. Kanwar
This study applied a broad continuum of risk analysis methods including mean-variance and coefficient of variation (CV) statistical criteria, second-degree stochastic dominance (SSD), stochastic dominance with respect to a function (SDRF), and stochastic...
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João Frois Caldeira,Marcelo Savino Portugal
Pág. 469 - 504
The traditional models to optimize portfolios based on mean-variance analysis aim to determine the portfolio weights that minimize the variance for a certain return level. The covariance matrices used to optimize are difficult to estimate and ad hoc meth...
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