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Optimal portfolio using volatility anomaly concept and Sharpe optimisation technique

Mitra, Pradip Kumar; Mascarenhas, Edward - In: International journal of business excellence : IJBEX 25 (2021) 4, pp. 474-490

Persistent link: https://www.econbiz.de/10012798425

A multiple objective stochastic portfolio selection problem with random Beta

Ben Abdelaziz, Fouad; Masmoudi, Meryem - In: International transactions in operational research : … 21 (2014) 6, pp. 919-933

Persistent link: https://www.econbiz.de/10010440687

Parallel optimization of sparse portfolios with AR-HMMs

Sipos, I. Róbert; Ceffer, Attila; Levendovszky, János - In: Computational economics 49 (2017) 4, pp. 563-578

Persistent link: https://www.econbiz.de/10011762135

Artificial intelligence model for building investment portfolio optimization mix using historical stock prices data

Adebiyi, Sulaimon Olanrewaju; Ogunbiyi, Oludayo Olatosimi; … - In: Rajagiri management journal 16 (2022) 1, pp. 36-62

investment portfolio exploring data set from stocks of firms listed on the Nigerian exchange market. To provide a research … approach enables an investor to take a calculated risk in selecting and investing in an investment portfolio best minimizes the … risks and maximizes returns. The investor can make a sound investment decision based on expected returns suggested from the …

Persistent link: https://www.econbiz.de/10013202382

Spanning analysis of stock market anomalies under prospect stochastic dominance

Arvanitis, Stelios; Scaillet, Olivier; Topaloglou, Nikolas - 2020 - This version: April 2020

We develop and implement methods for determining whether introducing new securities or relaxing investment constraints … improves the investment opportunity set for prospect investors. We formulate a new testing procedure for prospect spanning for …

Persistent link: https://www.econbiz.de/10012219063