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Asymptotic independence in more than two dimensions and its implications on risk management

Canadian Journal of Statistics, EarlyView.
Abstract In extreme value theory, the presence of asymptotic independence signifies that joint extreme events across multiple variables are unlikely. Although well understood in a bivariate context, the concept remains relatively unexplored when addressing the nuances of simultaneous occurrence of extremes in higher dimensions.
Bikramjit Das, Vicky Fasen‐Hartmann
wiley   +1 more source

Artificial intelligence in financial market prediction: advancements in machine learning for stock price forecasting. [PDF]

Front Artif Intell
Rohan A, Hossen MD, Pranto MN, Hossain B, Yoshi AM, Islam R.   +5 more
europepmc   +1 more source

An integrated TOPSIS and ARAS method multi-criteria decision-making approach for optimizing investment portfolios using goal programming and genetic algorithm model. [PDF]

Sci Rep
Pisal P, Reddy KK, Kishore J, Jonnalagadda RR, Kumar M, Band G, Joshi BP.   +6 more
europepmc   +1 more source

Evaluating the introduction of workplace-based learning in a paediatric training programme: experience from Myanmar. [PDF]

BMJ Paediatr Open
Wootton M, Linn K, Myo K, Maconochie I, Sajjanhar T, Han A.   +5 more
europepmc   +1 more source

A machine learning approach to risk based asset allocation in portfolio optimization. [PDF]

Sci Rep
Agal S, Raulji K, Odedra ND.
europepmc   +1 more source

A novel portfolio construction strategy based on the core- periphery profile of stocks. [PDF]

Sci Rep
Ansari I, Sharma C, Agrawal A, Sahni N.
europepmc   +1 more source

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Portfolio Selection with Regularization

Asia-Pacific Journal of Operational Research, 2021
We study the Markowitz mean-variance portfolio selection model under three types of regularizations: single-norm regularizations on individual stocks, mixed-norm regularizations on stock groups, and composite regularizations that combine the single-norm and mixed-norm regularizations.
Zhang, Ning, Chen, Jingnan, Dai, Gengling   +2 more
openaire   +1 more source

Robust Portfolio Selection Problems

Mathematics of Operations Research, 2003
In this paper we show how to formulate and solve robust portfolio selection problems. The objective of these robust formulations is to systematically combat the sensitivity of the optimal portfolio to statistical and modeling errors in the estimates of the relevant market parameters.
Goldfarb, D., Iyengar, G.
openaire   +2 more sources