Results 1 to 10 of about 30,830 (162)
Covid-19 and Optimal Portfolio Selection for Investment in Sustainable Development Goals [PDF]
Finance Research Letters, 2021 Naoyuki Yoshino +1 more
exaly +2 more sources
Measuring value at risk using short-term and long-term memory of GARCH models based on switching approach to form an optimal stock portfolio [PDF]
Iranian Journal of Finance, 2021 Value at Risk model based on a switching regime approach was used in this study to optimize portfolios consisting of industry index (petroleum products, investment, chemical products, and metal products).
Shaghayegh Mahboubi Zadeh +1 more
doaj +1 more source
Optimization of investment portfolio management [PDF]
Serbian Journal of Management, 2019 The task of creating an investment portfolio by a financial institution is considered. Funds for creating a portfolio are taken from two sources: enterprise's equity funds and borrowed funds. Optimization of the created portfolio is performed.
Viktor Oliinyk, Olga Kozmenko
doaj +2 more sources
Analisis Portofolio Optimal Markowitz dan Single Index Model pada Jakarta Islamic Index [PDF]
Ekonomi dan Bisnis, 2021 This research is a quantitative descriptive study which aims to determine the optimal portfolio composition of stocks that are consistently listed on the Jakarta Islamic Index (JII) from the 2018 – November 2020 period.
Irsyaad Rachmatullah +2 more
doaj +1 more source
Artificial intelligence model for building investment portfolio optimization mix using historical stock prices data [PDF]
Rajagiri Management Journal, 2022 Purpose – The purpose of this paper is to implement a genetic algorithmic geared toward building an optimized investment portfolio exploring data set from stocks of firms listed on the Nigerian exchange market.
Sulaimon Olanrewaju Adebiyi +2 more
doaj +1 more source
Humanities & Social Sciences Communications, 2023 The purpose of the article was to examine the superiority and efficacy of Sharpe’s single-index model of portfolio optimisation. The study has attempted to build an optimal portfolio of Indian mid-cap companies using William Sharpe’s single-index model ...
Janki Mistry, Ritesh Ashok Khatwani
doaj +1 more source
Bitcoin and Portfolio Diversification: Portfolio Optimization Approach [PDF]
SSRN Electronic Journal, 2020 This study investigates the performance of Bitcoin as a diversifier under different constraining portfolio optimization frameworks. The study employs different constraining optimization frameworks that seek to maximize risk-adjusted returns (Sharpe ratio) of the portfolio by optimizing allocations to each asset class (asset allocation). The performance
Walid Bakry +3 more
openaire +3 more sources
Regularizing portfolio optimization [PDF]
New Journal of Physics, 2010 The optimization of large portfolios displays an inherent instability to estimation error. This poses a fundamental problem, because solutions that are not stable under sample fluctuations may look optimal for a given sample, but are, in effect, very far from optimal with respect to the average risk.
Susanne Still, Imre Kondor
openaire +3 more sources
Functional Portfolio Optimization in Stochastic Portfolio Theory
SIAM Journal on Financial Mathematics, 2022 In this paper we develop a concrete and fully implementable approach to the optimization of functionally generated portfolios in stochastic portfolio theory. The main idea is to optimize over a family of rank-based portfolios parameterized by an exponentially concave function on the unit interval. This choice can be motivated by the long term stability
Steven Campbell, Ting-Kam Leonard Wong
openaire +3 more sources
E-Jurnal Matematika, 2022 The stock portfolio is a combination of several stocks that can help reduce investment risk. Risk can be measured using Value at Risk. This study aims to form an optimal portfolio in which stock risk is estimated using VaR with Generalized Extreme Value ...
YOHANA Th.V. SERAN +2 more
doaj +1 more source