Paper Information

Title: 

A STOCASTIC EFFICIENT FRONTIER METHOD FOR RESOURCE ALLOCATION WITH DEFERENT TIME CYCLES

Type: PAPER
Author(s): ESKANDARPOUR A.*,SADJADI S.J.
 
 *
 
Name of Seminar: INTERNATIONAL CONFERENCE OF IRANIAN OPERATIONS RESEARCH SOCIETY
Type of Seminar:  CONFERENCE
Sponsor:  OPERATIONS RESEARCH SOCIETY
Date:  2008Volume 1
 
 
Abstract: 

THIS PAPER PRESENTS A NEW EXTENDED EFFICIENT FRONTIER PROBLEM. THE NEW METHOD ASSUMES THAT ALL RISKY ASSETS HAVE DIFFERENT TIME CYCLE FOR THEIR RETURNS. THE PRIMARY ASSUMPTION IS THAT THE RETURN FOR EACH ASSET IS STOCHASTIC IN ITS NATURE. WE SOLVE THE PROBLEM AND DISCUSS THE RESULTS WITH SOME NUMERICAL EXAMPLES.

 
Keyword(s): 
 
Yearly Visit 13   pdf-file tarjomyar
 
Latest on Blog
Enter SID Blog