Browsing by Subject "Mean"

Filter results by typing the first few letters
Now showing 1 - 2 of 2
  • Thumbnail Image
    ItemOpen Access
    Application of Markowitz Portfolio Selection Model to Istanbul Stock Exchange, 1990-1992
    (1995) Alkazan, Hande
    In this study, Markowitz Efficient Frontier is constructed by using stock prices in Istanbul stock exchange for the period of 1990-92. This set of efficient portfolios is compared with mutual funds which are randomly chosen for the same period. Comparison is done on the basis of mean-variance criteria. According to the empirical results, chosen mutual funds for the period of 1990-92 are found to be inefficient.
  • Thumbnail Image
    ItemOpen Access
    Computing moments of first passage times to a subset of states in Markov chains
    (SIAM, 2005) Dayar T.; Akar, N.
    This paper presents a relatively efficient and accurate method to compute the moments of first passage times to a subset of states in finite ergodic Markov chains. With the proposed method, the moment computation problem is reduced to the solution of a linear system of equations with the right-hand side governed by a novel recurrence for computing the higher-order moments. We propose using a form of the Grassmann-Taksar-Heyman (GTH) algorithm to solve these linear equations. Due to the form of the linear systems involved, the proposed method does not suffer from the drawbacks associated with GTH in a row-wise sparse implementation. © 2005 Society for Industrial and Applied Mathematics.