Search Results - subject:"Portfolio Optimization"

Robust portfolio selection under model ambiguity using deep learning

Miri, Sadegh; Salavati, Erfan; Shamsi, Mostafa - 2025

In this study, we address the ambiguity in portfolio optimization, particularly focusing on the uncertainty related to …

Persistent link: https://www.econbiz.de/10015338300

Cryptocurrency portfolio allocation under credibilistic CVaR criterion and practical constraints

Ghanbari, Hossein; Mohammadi, Emran - In: Risks : open access journal 12 (2024) 10, pp. 1-23

introduces a novel portfolio optimization model tailored for the cryptocurrency market, leveraging a credibilistic CVaR framework … sophisticated portfolio optimization techniques to digital assets, providing a robust framework for managing risk in an increasingly …

Persistent link: https://www.econbiz.de/10015135746

Centrality-based equal risk contribution portfolio

Patki, Shreya; Kwon, Roy H.; Lawryshyn, Yuri - In: Risks : open access journal 12 (2024) 1, pp. 1-17

This article combines the traditional definition of portfolio risk with minimum-spanning-tree-based "interconnectedness risk" to improve equal risk contribution portfolio performance. We use betweenness centrality to measure an asset's importance in a market graph (network). After filtering the...

Persistent link: https://www.econbiz.de/10014480924

Quadratic unconstrained binary optimization approach for incorporating solvency capital into portfolio optimization

Turkalj, Ivica; Assadsolimani, Mohammad; Braun, Markus; … - In: Risks : open access journal 12 (2024) 2, pp. 1-17

In this paper, we consider the inclusion of the solvency capital requirement (SCR) into portfolio optimization by the … companies (and therefore, not taken into account during portfolio optimization), employing more feasible proxy models provides a …

Persistent link: https://www.econbiz.de/10014497399

The integration of environmental, social and governance criteria in portfolio optimization : an empirical analysis

Abate, Guido; Basile, Ignazio; Ferrari, Pierpaolo - In: Corporate social responsibility and environmental management 31 (2024) 3, pp. 2054-2065

Persistent link: https://www.econbiz.de/10014531130

Portfolio optimization and risk management through Hierarchical Risk Parity and Logic Learning Machine : a case study applied to the Turkish stock market

Gaggero, Giacomo; Giribone, Pier Giuseppe; Muselli, Marco; … - In: Risk management magazine 19 (2024) 1, pp. 26-49

This study explores an innovative approach to portfolio optimization, bridging traditional Modern Portfolio Theory (MPT … financial theories with modern Machine Learning tools marks a significant advancement in investment management and portfolio … optimization, emphasizing the importance of clarity and ease of understanding in complex financial portfolio models. …

Persistent link: https://www.econbiz.de/10014555705

Portfolio optimization with Entropy-CRITIC-IDDWS-PROMETHEE model in BIST Retail Trade Sector

Çilek, Arif; Seyranlıoğlu, Onur - In: International journal of economics and financial issues … 14 (2024) 6, pp. 23-35

Persistent link: https://www.econbiz.de/10015085349

Lufthansa : a century of international growth

Schmid, Stefan; Xia, Zhengtian - 2024

Over the last century, the passenger airline industry has undergone a series of transformations, with Lufthansa being a key player not only in Europe, but also worldwide. This case study traces Lufthansa's development, from its origins up until its current status, and outlines its expansion by...

Persistent link: https://www.econbiz.de/10014634473

Quantum computing approach to realistic esg-friendly stock portfolios

Catalano, Francesco; Nasello, Laura; Guterding, Daniel - In: Risks : open access journal 12 (2024) 4, pp. 1-20

finance, often addressed through Markowitz portfolio theory (MPT). While traditional portfolio optimization is carried out in … explores portfolio optimization on quantum annealers, establishing a mapping between continuous and discrete Markowitz … portfolio optimization with ESG (environmental, social, governance) ratings for EURO STOXX 50 index stocks. We introduce a …

Persistent link: https://www.econbiz.de/10014636503

Exploring entropy-based portfolio strategies : empirical analysis and cryptocurrency impact

Giunta, Nicolò; Orlando, Giuseppe; Carleo, Alessandra; … - In: Risks : open access journal 12 (2024) 5, pp. 1-26

This study addresses market concentration among major corporations, highlighting the utility of relative entropy for understanding diversification strategies. It introduces entropic value at risk (EVaR) as a coherent risk measure, which is an upper bound to the conditional value at risk (CVaR),...

Persistent link: https://www.econbiz.de/10014636599