This study empirically investigates a central tension in quantitative finance: the divergence between theoretically optimal and robust portfolio construction under real-world estimation uncertainty. Using a dynamic, time-varying optimization framework, we compare the performance of three...

This paper examines how assets from emerging and developed stock markets can be efficiently allocated during periods of financial crisis by integrating traditional portfolio theory with Extreme Value Theory (EVT), using the Generalized Pareto Distribution (GPD) and Generalized Extreme Value...

This study develops and evaluates an equity selection pipeline that converts quarterly fundamentals into a monthly frequency, constructs profitability, leverage, liquidity, and growth characteristics, and learns a linear ranking model via a genetic algorithm (GA). The GA is trained to maximize...