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Robust portfolio optimization : a stochastic evaluation of worst-case scenarios

Rotella Junior, Paulo; Rocha, Luiz Célio Souza; … - 2022

This article presents a new approach for building robust portfolios based on stochastic efficiency analysis and periods … varying the level of probability in fulfilling the constraints (1-αi) of the CCDEA model. We show that the optimal portfolios …, allows us to build robust portfolios, with higher cumulative returns in the validation period, and portfolios with lower beta …

Persistent link: https://www.econbiz.de/10012807295

Artificial Intelligence in Financial Decision Making

Huang, Allen; You, Haifeng - 2022

Artificial intelligence (AI), powered by machine learning algorithms, is capable of extracting information efficiently from big data and, therefore, has great potential for improving financial decision-making. In this chapter, we summarize several important applications of AI in this context....

Persistent link: https://www.econbiz.de/10014236782

Improving Portfolios Global Performance with Robust Covariance Matrix Estimation : Application to the Maximum Variety Portfolio

Emmanuelle, Jay - 2018

This paper presents how the most recent improvements made on covariance matrix estimation and model order selection can be applied to the portfolio optimisation problem. The particular case of the Maximum Variety Portfolio is treated but the same improvements apply also in the other optimisation...

Persistent link: https://www.econbiz.de/10012918912

Inflation and Individual Equities

Brière, Marie; Ang, Andrew; Signori, Ombretta - Université Paris-Dauphine (Paris IX) - 2012

stock inflation betas is substantial. This makes it difficult to construct portfolios of stocks that are good inflation … hedges out of sample. This is true for portfolios constructed on past inflation betas, sector portfolios, and portfolios …

Persistent link: https://www.econbiz.de/10010707935

Feature Selection in Jump Models

Nystrup, Peter; Kolm, Petter N.; Lindstrom, Erik - 2021

Jump models switch infrequently between states to fit a sequence of data while taking the ordering of the data into account. We propose a new framework for joint feature selection, parameter and state-sequence estimation in jump models. Feature selection is necessary in high-dimensional settings...

Persistent link: https://www.econbiz.de/10013239050

Systematic Pricing and Trading of Municipal Bonds

Kolm, Petter N.; Purushothaman, Sudar - 2021

that the resulting portfolios generate significant excess returns and positive alpha relative to the Vanguard Long-Term Tax …

Persistent link: https://www.econbiz.de/10013215300

Saving Markowitz : A Risk Parity Approach Based on the Cauchy Interlacing Theorem

Fernandes, Fernando - 2020

It is well known that Markowitz Portfolio Optimization often leads to unreasonable and unbalanced portfolios that are … generating unstable and risky portfolios, aiming to rescue the original Markowitz framework, by means of using the Cauchy … Interlacing Theorem. Using Brazilian and US market data, we show that the discussed framework enables one to build portfolios that …

Persistent link: https://www.econbiz.de/10012828065

Greedy Online Classification of Persistent Market States Using Realized Intraday Volatility Features

Nystrup, Peter - 2020

In many financial applications it is important to classify time series data without any latency while maintaining persistence in the identified states. We propose a greedy online classifier that contemporaneously determines which hidden state a new observation belongs to without the need to...

Persistent link: https://www.econbiz.de/10012834827

A factor score clustering approach to analyze the biopharmaceutical sector in the Chinese market during COVID-19

Xi, Jiahui; Wen, Conghua; Tang, Yifan; Zhao, Feifan - In: Financial innovation : FIN 10 (2024), pp. 1-28

The biopharmaceutical sector is of considerable interest during the COVID-19 pandemic. This study aims to investigate the biopharmaceutical sector using the Shenwan Industry Classification and provides insights into investment strategies. We combine factor and cluster analyses to reduce data...

Persistent link: https://www.econbiz.de/10015361654

Returns Based Style Groups and Benchmarking

Mason, Andrew - 2011

In this study we consider the suitability of two methods of returns based style analysis for classification of investment styles for a single asset class, US Diversified Equity Funds. We extend Sharpe (1992) style Returns Based Style Analysis (RBSA) to form style groups using cluster analysis...

Persistent link: https://www.econbiz.de/10013132233