Search Results - subject_exact:"Portfolio optimization"

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Upstream gas portfolio optimization under fiscal rules and uncertainty : a systematic review and bibliometric mapping

Naikosou, Marcelino Freitas; Adityawarman; Guterres, … - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015620653

Sector or factor? : unveiling the winning investment strategy in China

Wang, Qing - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015638170

Double-edged sword of diversification : commodities and African equity indices in robust vs. optimal portfolio strategies

Kitenge, Anaclet K.; Muteba Mwamba, John; Mba, Jules C. - 2026

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...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015640563

Navigating extreme market fluctuations : asset allocation strategies in developed vs. emerging economies

Bonga-Bonga, Lumengo - 2026

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...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015640564

Regime- and tail-dependent performance of CVaR-based portfolio strategies in cryptocurrencies

Sodnomdavaa, Tsolmon - 2026

Cryptocurrency markets are characterized by extreme volatility, fat-tailed return distributions, and frequent regime shifts, challenging traditional mean-variance portfolio optimization. In such environments, downside risk management becomes central, and tail-sensitive measures such as...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015643317

A hierarchical signal-to-policy learning framework for risk-aware portfolio optimization

Yu, Jiayang; Chang, Kuo-Chu - 2026

This study proposes a hierarchical signal-to-policy learning framework for risk-aware portfolio optimization that integrates model-based return forecasting, explainable machine learning, and deep reinforcement learning (DRL) within a unified architecture. In the first stage, next-period returns...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015644313

A hybrid genetic algorithm with learning-to-rank-to-optimization for US equity portfolio construction

Kottas, Ferdinantos - 2026

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...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015652184

Machine learning-driven portfolio optimization using Money Flow Index-based sentiment signals

Singsiri, Prapassara; Jiraphat Yokrattanasak - 2026

Market indices serve as a benchmark for performance comparison, guide asset allocation decisions, and reflect overall market sentiment and economic conditions, thereby influencing investment strategies by representing a segment of the market. Unquestionably, investor sentiment impacts price...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015653551

Embracing carbon uncertainty in portfolio construction

Xia, Fan Dora; Zulaica, Omar - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015668416

Assessing the financial impact of ESG portfolio optimization and diversification in an emerging market : evidence from Mexico

Fosado Olvera, Paula Margarita; Castillo Dieguez, … - 2026

This paper evaluates the financial implications of scaling and diversifying stock portfolios based on environmental, social, and governance (ESG) criteria in the Mexican Stock Exchange. By using a sample of firms from the S&P/BMV IPC index (2020-2024), four portfolios were constructed: High ESG,...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015664813

Optimal capital allocation between earth and space insurance : a standard portfolio theory approach

Dai, Yuechen; Watt, Richard; Das, Kuntal K. - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015673425

Topology-informed financial network approach to portfolio optimization using fuzzy decision-making and genetic algorithms : evidence from the Istanbul Stock Exchange

Erdoğdu, Aylin; Dayi, Faruk; Ganji, Farshad; İçöz, Ahmet - 2026

This study proposes a hybrid portfolio optimization framework integrating financial network analysis, Adaptive Neuro-Fuzzy Inference Systems (ANFIS), and GA for asset allocation in BIST. The empirical analysis focuses on constituent firms within the BIST 30, BIST 50, and BIST 100 indices using...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015676656

Dynamic portfolio optimization : a two-stage hybrid approach integrating selection and allocation

Mojtaba Safari; Nawapon Nakharutai; Phisanu Chiawkhun; … - 2026

Persistent link: https://ebvufind01.dmz1.zbw.eu/10016089852

Green investments : Portfolio selection based on risk measure and ESG indicators : impact of environmental indicators on portfolio selection

Pekár, Juraj; Brezina, Ivan; Reiff, Marian - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015618323

Dynamic interconnectedness and portfolio strategies in green finance : evidence from clean energy, ESG, and smart infrastructure

Naifar, Nader - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015618384

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 the statistical parameters governing asset returns. We propose a novel method that combines robust optimization with artificial neural networks (ANNs). Our approach effectively...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015338300

Innovation bandits : a dynamic portfolio strategy with endogenous rewards

Baumgärtner, C. Lennart; Köhler-Schindler, Laurin; … - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015420541

Start-to-low drawdown as a risk measure and its application to portfolio optimization for levered investors under solvency regimes

Stähli, Philipp; Maringer, Dietmar G. - 2025

Drawdown is an important risk measure in both theory and practice. Most drawdown measures use the running peak as the reference point from which to calculate the drawdown. Instead, the start-to-low drawdown (SLD), which references the start of the period, is firstly proposed as a relevant...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015466080

Robust portfolio optimization in crypto markets using second-order Tsallis entropy and liquidity-aware diversification

Șerban, Florentin; Dedu, Silvia - 2025

In this paper, we propose a novel optimization model for portfolio selection that integrates the classical mean-variance criterion with a second-order Tsallis entropy term. This approach enables a trade-off between expected return, risk, and diversification, extending Markowitz's theory to...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015467536

Optimizing currency factors

Fan, Minyou; Kearney, Fearghal; Li, Youwei; Liu, Jiadong - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015470992

Option strategies and market signals : do they add value to equity portfolios?

Blanc, Sylvestre; Fragnière, Emmanuel; Naya, Francesc; … - 2025

This study explores an innovative approach to incorporating option strategies into equity portfolios. It presents an alternative direction that institutional investors could take to overcome their current challenges, in a context where traditionally diversified portfolios of only equity and...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015432859

Dynamics of green and conventional bonds : hedging effectiveness and sustainability implication

Belguith, Rihab - 2025

This research examines the challenges of issuing green bonds due to a lack of established benchmarks. We compare regional differences between the U.S. and the E.U., hypothesizing that issuers of green bonds stand to benefit from comparing them to conventional (black) bonds. As most investors...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015433980

Consumer expenditure-based portfolio optimization

Bányai, Attila; Tatay, Tibor; Thalmeiner, Gergő; … - 2025

This study examines whether portfolio optimization can be effectively based on annual changes in the harmonized index of consumer prices (HICP) data. Specifically, we assess whether asset allocation based on consumer expenditure can generate superior returns compared to static or equal-weighted...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015434042

Hedging uncertainty : bitcoin's asymmetric diversification benefits in factor-based portfolios

Marinescu, Ion-Iulian; Mirza, Nawazish; Horobet, Alexandra - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015434177

Diversified reward-risk parity in portfolio construction

Choi, Jaehyung; Kim, Hyangju; Kim, Young Shin - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015438088

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Diversified Reward-Risk Parity in Portfolio Construction

Choi, Jaehyung; Kim, Hyangju; Kim, Young Shin - 2021

Book / Working Paper

Maximizing portfolio diversification via Weighted Shannon Entropy : application to the cryptocurrency market

Șerban, Florentin; Dedu, Silvia - 2025

This paper develops a robust portfolio optimization framework that integrates Weighted Shannon Entropy (WSE) into the classical mean-variance paradigm, offering a distribution-free approach to diversification suited for volatile and heavy-tailed markets. While traditional variance-based models...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015561662

Impact investing from an European perspective : do good and earn money?

Reuthlinger, Eva; Sinha, Tanja - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015609309

A carbon wealth tax : modelling, empirics, and policy

Neves, Jose Pedro Bastos; Semmler, Willi - 2025

Although economists widely advocate carbon pricing as an effective solution to reduce carbon emissions, this mechanism has had so far limited effects. This paper proposes a new type of tax to help finance (and accelerate) the green transition. A carbon wealth tax (CWT) is proposed to be levied...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015554080

Metaheuristics for portfolio optimization : application of NSGAII, SPEA2, and PSO algorithms

Ben Hadj Abdallah, Ameni; Bedoui, Rihab; Boubaker, Heni - 2025

This work looks for the optimal allocation of different assets, namely, the G7 stock indices, commodities (gold and WTI crude oil), cryptocurrencies (Bitcoin and Ripple), and S&P Green Bond, over four periods: before the COVID-19 crisis, during the COVID-19 crisis and before the Russia-Ukraine...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015555943

Exchange-traded funds (etfs) optimization with risk parity strategies

Veliu, Denis - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015561948

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Exchange-traded funds (etfs) optimization with risk parity strategies

Veliu, Denis - 2025

Article

Exchange-traded funds (etfs) optimization with risk parity strategies

Veliu, Denis - 2025

This paper explores the application of the Risk Parity methodology to portfolios constructed using Exchange-Traded Funds (ETFs). In the world where the market is becoming more and more global, it is becoming more dynamic in terms of portoflio recalibrations, bringing resilience in terms of...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015557532

Show one more version 1

Exchange-traded funds (etfs) optimization with risk parity strategies

Veliu, Denis - 2025

Article

Inverse DEA for portfolio volatility targeting : industry evidence from Taiwan Stock Exchange

Kehinde, Temitope Olubanjo; Chung, Sai Ho; Olanrewaju, … - 2025

This work develops an inverse data envelopment analysis (Inverse DEA) framework for portfolio optimization, treating return as a desirable output and volatility as an undesirable output. Using 20 industry-level portfolios from the Taiwan Stock Exchange (1365 stocks; FY-2020), we first evaluate...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015584420

Sustainability in LSTM price prediction for portfolio optimization in the European market

Amardana, Ardelia L.; Barro, Diana; Corazza, Marco - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015590418

Smart tangency portfolio : deep reinforcement learning for dynamic rebalancing and risk-return trade-off

Yu, Jiayang; Chang, Kuo-Chu - 2025

This paper proposes a dynamic portfolio allocation framework that integrates deep reinforcement learning (DRL) with classical portfolio optimization to enhance rebalancing strategies and risk-return management. Within a unified reinforcement-learning environment for portfolio reallocation, we...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015590750

Optimal REIT portfolio selection using machine learning

Zhang, Wendi; Li, Bin; Singh, Tarlok; Liew, Alan Wee-Chung - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015481307

Efficiency of socially responsible investments in the context of portfolio management

Rammerstorfer, Margarethe; Weinmayer, Karl - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10016081961

Rethinking portfolio design with sustainable AI and FinTech : dynamic spillovers in a quantile-frequency framework

Jellouli, Imen - 2025

This study examines the diversification benefits and systemic risk dynamics of sustainable digital technology assets, with a focus on artificial intelligence and FinTech assets. In an era where sustainability and innovation increasingly converge, we apply a quantile-frequency connectedness...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10016085361

When betas meet the cross section : a hybrid risk model for equity portfolios

Vaucher, Benoit; Bagnara, Matteo - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015654734

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://ebvufind01.dmz1.zbw.eu/10014634473

Partial index tracking enhanced mean-variance portfolio

Cai, Zhaokun; Cui, Zhenyu; Simaan, Majeed - 2025

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015375252

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Partial Index Tracking enhanced Mean-Variance Portfolio

Cai, Zhaokun; Cui, Zhenyu; Simaan, Majeed - 2021

Book / Working Paper

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

Giunta, Nicolò; Orlando, Giuseppe; Carleo, Alessandra; … - 2024

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://ebvufind01.dmz1.zbw.eu/10014636599