Results 31 to 40 of about 4,917 (191)
International Journal of Business and Management, 2011 The aim of this study is to evaluate the functionality and effect of portfolio management of investment companies, which have had the active portfolio in Tehran stock exchange from 2005-2010. In order to do so, and assess their performance based on modern and post modern portfolio theories; this has been carried out by using Sharp, Sortino and Sterling
Pegah Kolbadi, Hamed Ahmadinia
openaire +1 more source
Two-Stage Robust Optimization Model for Uncertainty Investment Portfolio Problems
Journal of Mathematics, 2021 Investment portfolio can provide investors with a more robust financial management plan, but the uncertainty of its parameters is a key factor affecting performance.
Dongqing Luan +3 more
doaj +1 more source
Two-Stage Portfolio Optimization Integrating Optimal Sharp Ratio Measure and Ensemble Learning
IEEE Access, 2023 The traditional portfolio theory has relied heavily on historical asset returns while ignoring future information. Based on ensemble learning and maximum Sharpe ratio portfolio theory, this paper proposes a two-stage portfolio optimization method by ...
Zhongbao Zhou +3 more
doaj +1 more source
Formulating Cryptocurrencies Dynamic Portfolio with Consumption Sectors’ Stocks
Media Ekonomi dan Manajemen, 2022 This study was conducted to analyze the performance of the portfolio formed with different asset classes. The instrument used is the consumption sector index with 5 cryptocurrencies.
Naufal Dwinanda Narra Putra +2 more
doaj +1 more source
A novel dynamic asset allocation system using Feature Saliency Hidden Markov models for smart beta investing [PDF]
, 2019 The financial crisis of 2008 generated interest in more transparent, rules-based strategies for portfolio construction, with Smart beta strategies emerging as a trend among institutional investors.
Dawson, Paula +4 more
core +2 more sources
Application of Multi-Armed Bandit Algorithm in Quantitative Finance [PDF]
ITM Web of ConferencesThe volatility and diversity of financial markets make it challenging for a single portfolio achieve better returns, therefore, adjustable portfolios based on the risk tolerance of clients are highly demanded.
Chen Chengxun +3 more
doaj +1 more source
International Journal of Finance &Economics, EarlyView.ABSTRACT One of the critical risks associated with cryptocurrency assets is the so‐called downside risk, or tail risk. Conditional Value‐at‐Risk (CVaR) is a measure of tail risks that is not normally considered in the construction of a cryptocurrency portfolio.
Xinran Huang +3 more
wiley +1 more source
Diversifying Environmental, Social and Governance Portfolios: Evidence From China
International Journal of Finance &Economics, EarlyView.ABSTRACT This study extends traditional portfolio optimization methods by incorporating Environmental, Social and Governance (ESG) performance measures into diversification strategies, specifically focusing on data from the Chinese stock market. By integrating ESG scores and their constituent components (E, S and G), the study examines portfolio ...
Danyang Li +3 more
wiley +1 more source
Covariance Prediction in Large Portfolio Allocation
Econometrics, 2019 Many financial decisions, such as portfolio allocation, risk management, option pricing and hedge strategies, are based on forecasts of the conditional variances, covariances and correlations of financial returns.
Carlos Trucíos +3 more
doaj +1 more source
Economica, EarlyView.Abstract The foundational nature of expectations‐based theories and the prominence of symmetric unimodal stochastic assumptions in economic research render the expected outcome the go to locational focus throughout its many realms. When symmetric unimodality prevails, expected and most likely outcomes are identical; however, when it does not, they are ...
Gordon Anderson
wiley +1 more source