Results 31 to 40 of about 2,901,594 (253)
Jurnal Derivat, 2022 The purpose of this research is to analyze the formation of the optimal portfolio on the Jakarta Islamic Index 30 (JII30) stocks during the new normal period. The model used is a single index model.
Miftahul Huda +6 more
doaj +1 more source
Analisis Pembentukan Portofolio Optimal pada Indeks Saham LQ-45 dengan Metode Safety First Criterion
Jambura Journal of MathematicsAn optimal portfolio of stocks is a combination of various stock investment assets chosen to provide the maximum level of return for a specified level of risk or provide a minimal level of risk for a specified level of return.
Disya Recita Amalia +2 more
doaj +1 more source
Hierarchical Clustering as a Dimension Reduction Technique for Markowitz Portfolio Optimization
Моделирование и анализ информационных систем, 2020 Optimal portfolio selection is a common and important application of an optimization problem. Practical applications of an existing optimal portfolio selection methods is often difficult due to high data dimensionality (as a consequence of the large ...
Anatoliy Y. Poletaev +1 more
doaj +1 more source
Deep deterministic portfolio optimization
The Journal of Finance and Data Science, 2020 Can deep reinforcement learning algorithms be exploited as solvers for optimal trading strategies? The aim of this work is to test reinforcement learning algorithms on conceptually simple, but mathematically non-trivial, trading environments. The environments are chosen such that an optimal or close-to-optimal trading strategy is known.
Ayman Chaouki +4 more
openaire +3 more sources
Sharia stocks optimal portfolio analysis using single index model
JPPI (Jurnal Penelitian Pendidikan Indonesia), 2022 This study is aimed to analyze the optimal portfolio of Jakarta Islamic Index within December 2016 to November 2019 period. The research samples that were being used in this study were the stocks that are consistently included in JII during the study ...
Gatot Hendra Prakoso +1 more
doaj +1 more source
Optimal trend-following portfolios
Journal of Investment Strategies, 2023 This paper derives an optimal portfolio that is based on trend-following signal. Building on an earlier related article, it provides a unifying theoretical setting to introduce an autocorrelation model with the covariance matrix of trends and risk premia. We specify practically relevant models for the covariance matrix of trends.
openaire +2 more sources
Portfolio Evaluation with the Vector Distance Based on Portfolio Composition
Mathematics, 2023 We propose a novel portfolio evaluation method, a distance-based approach, which directly evaluates the portfolio composition rather than portfolio returns.
Heonbae Jeon +4 more
doaj +1 more source
PENERAPAN METODE SAFETY FIRST CRITERION PADA SELEKSI SAHAM UNTUK PEMBENTUKAN PORTOFOLIO OPTIMAL
E-Jurnal Matematika, 2023 The formation of an optimal portfolio can be done with the Safety First Criterion method which is based on down side risk, namely the risk of causing a loss.
HAMITA HAKMI +2 more
doaj +1 more source
On the Diversity Constraints for Portfolio Optimization [PDF]
Entropy, 2013 In the literature, Markowitz’s mean-variance model and its variants have been shown to yield portfolios that put excessive weights on only a few assets. Many diversity constraints were proposed and added to these models to avoid such overly concentrated portfolios.
openaire +1 more source
Advanced Materials, EarlyView.This review highlights the role of self‐assembled monolayers (SAMs) in perovskite solar cells, covering molecular engineering, multifunctional interface regulation, machine learning (ML) accelerated discovery, advanced device architectures, and pathways toward scalable fabrication and commercialization for high‐efficiency and stable single‐junction and
Asmat Ullah, Ying Luo, Stefaan De Wolf
wiley +1 more source