Results 31 to 40 of about 2,761,486 (133)
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
Portfolio optimization based on garch-evt-vinecopula via information ratio, sharpe ratio and sortino index [PDF]
, 2023 This study employs an ARMA-GARCH-EVT modeling approach to capture marginal features and Vine copula models to understand tail dependence in a portfolio of 60 stocks listed on the Brazilian stock market, specifically the Ibovespa. Throughout this analysis,
Siqueira, Reinaldo Vieira
core
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
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Sustainability as a Defensive Strategy: ESG, Risk Exposure, and Returns in US Stocks
Business Strategy and the Environment, EarlyView.ABSTRACT We analyzed the relationship between environmental, social, and governance (ESG) metrics, financial risk, and expected returns in the US stock market, using data from S&P 500 companies over the period from 2007 to 2022 using aggregate ESG scores from Refinitiv (LSEG).
Gabriel da Rosa Janone +2 more
wiley +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
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
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
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Carbon Performance, Climate Governance, and Equity Risk
International Journal of Finance &Economics, EarlyView.ABSTRACT This paper examines the relationship between carbon performance, climate governance, and equity risk. Using a sample of companies listed in the S&P500 index for the period 2009–2023, our results show that better carbon performance reduces equity risk, indicating that proactive carbon management reduces uncertainty and is beneficial to firms ...
Malafronte Irma +2 more
wiley +1 more source
International Journal of Finance &Economics, EarlyView.ABSTRACT This study investigates the evolving integration of 10 major Asian stock markets with key global and regional financial centres, namely, the U.S., China, the E.U., and a constructed Asia centroid. Incorporating all four statistical moments (mean, variance, skewness, and kurtosis), we compute pairwise Euclidean distances to evaluate the degree ...
Burak Korkusuz +3 more
wiley +1 more source
Volatility ≠ Risk: When Timing Alpha in Crypto Markets Reflects Mispricing
Financial Review, EarlyView.ABSTRACT Volatility timing in cryptocurrency markets generates significant alpha, but only during periods of loose monetary policy and high uncertainty. Analyzing S&P crypto indices (2017–2023) dominated by large‐cap assets, we show realized volatility can reflect noise‐driven speculative flows, not risk compensation. This effect is strongest for small‐
Arben Kita, Yue Zhang
wiley +1 more source