Search Results - subject_exact:"Portfolio-Management"

The contribution of robo-advisors as a key factor in commercial banks' performance after the global financial crisis

Zogning, Félix; Turcotte, Pascal - 2025

In several countries, digital financial advisory services, particularly those supported by robo-advisors, are becoming increasingly popular in retail banking. These tools assist users with financial decisions such as risk assessment, portfolio selection, and rebalancing-all at a reduced cost....

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015332187

Automated bitcoin trading dApp using price prediction from a deep learning model

Zhi Zhan Lua; Seow, Chee Kiat; Chan, Raymond Ching Bon; … - 2025

Distributed ledger technology (DLT) and cryptocurrency have revolutionized the financial landscape and relevant applications, particularly in investment opportunities. Despite its growth, the market's volatility and technical complexities hinder widespread adoption. This study proposes a...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015333628

Multi-objective portfolio optimization : an application of the Non-dominated Sorting Genetic Algorithm III

Muteba Mwamba, John; Mbucici, Leon Mishindo; Mba, Jules … - 2025

This study evaluates the effectiveness of the Non-dominated Sorting Genetic Algorithm III (NSGA-III) in comparison to the traditional Mean-Variance optimization method for financial portfolio management. Leveraging a dataset of global financial assets, we applied both approaches to optimize...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015338358

Re-examining China and the u.s.'s respective green bond markets in extreme conditions : evidence from quantile connectedness

Wang, Mei-Chih; Jiang, Peiyun; Chang, Tsangyao - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015359774

Application of fuzzy discount factors in behavioural decision-making for financial market modelling

Siwek, Joanna; Żywica, Patryk - 2025

This paper presents an innovative approach to financial market modelling by integrating fuzzy discount factors into the decision-making process, thereby reflecting the complexities of human behaviour. Traditional financial models often fail to account for market dynamics' psychological factors....

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015408213

Inter-market mean and volatility spillover dynamics between cryptocurrencies and an emerging stock market : evidence from Thailand and sectoral analysis

Zhang, Yanjia; Lo, Shih-tse; Sutthiphisal, Dhanoos - 2025

The increasing interaction between the equity market and cryptocurrencies has raised concerns about volatility spillovers; however, empirical evidence about sectoral-specific spillover effects in emerging markets is scarce and hard to find. Existing research mainly concentrates on developed...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015408930

Harnessing the power of past triumphs : unleashing the MAX effect's potential in emerging market returns

Gherghina, Ştefan Cristian; Yıldırım, Durmuş Çağrı - 2025

This study investigates the presence of the MAX effect, as defined by Bali et al. (2011), in the stock market of Borsa Istanbul, aiming to validate and extend previous findings in international markets. A comprehensive analysis of 439 firms from December 2013 to November 2023 reveals that stocks...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015457507

Nature and the capital market : analyzing the spillover effect between biodiversity and heavy industry stock indices

Hyde, Stuart; Karkowska, Renata; Urjasz, Szczepan - 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015555449

Making GenAI smarter : evidence from a portfolio allocation experiment

Hornuf, Lars; Streich, David J.; Töllich, Niklas - 2025

Retrieval-augmented generation (RAG) has emerged as a promising way to improve task-specific performance in generative artificial intelligence (GenAI) applications such as large language models (LLMs). In this study, we evaluate the performance implications of providing various types of...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015396914

Learning the shrinkage intensity: a data-driven approach for risk-optimized portfolios

De Nard, Gianluca; Kostovic, Damjan - 2025 - Revised version, November 2025

We introduce a new type of shrinkage estimator that is not based on asymptotic optimality, but instead learns a state-dependent shrinkage policy via supervised learning in a contextual bandit setup. The proposed estimator applies to both linear and nonlinear shrinkage and shows improved...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015532908

Spillover effects in green and traditional assets during global crises : evidence from TVP-VAR analysis

Chiaka, Felicia; Deanita, Gwenda; Fitriya Fauzi - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015617060

A bound on price impact and disagreement

Beck, Philippe van der; Bretscher, Lorenzo; Fu, Julie Zhiyu - 2026 - This draft: October 31, 2025

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015618229

The equity market implications of the retail investment boom

Beck, Philippe van der; Cohen, Cameron; Jaunin, Coralie - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015618239

Determinants of financial hedging strategies among commodity producer firms in Latin America

Giraldo, Carlos; Giraldo, Iader; Huertas, Cristian; … - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015618440

Investor valuation, taxation, and time varying expected returns

Bjerksund, Petter; Schjelderup, Guttorm - 2026

This paper analyzes the valuation of publicly traded stocks subject to capital income and wealth taxation when expected returns are time-varying. We show that, in an efficient capital market, investor valuation coincides with the market price under a broad class of tax systems, including accrued...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015654699

Balancing volatility and returns in the Czech National Bank's foreign exchange portfolio

Adam, Tomáš; Michl, Aleš; Škoda, Michal - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015609222

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Balancing volatility and returns in the Czech National Bank's foreign exchange portfolio

Adam, Tomáš; Michl, Aleš; Škoda, Michal - 2023

Book / Working Paper

The importance of considering regimes in long-term asset allocation to real estate

Guidolin, Massimo; Liang, Mingwei; Petrova, Milena - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015609482

Tax incentives, portfolio choice, and macroprudential risks

Brenzel-Weiss, Janosch; Koeniger, Winfried; … - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015609766

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Tax incentives, portfolio choice, and macroprudential risks

Brenzel-Weiss, Janosch; Koeniger, Winfried; … - 2026

Book / Working Paper

Tax incentives, portfolio choice, and macroprudential risks

Brenzel-Weiss, Janosch; Koeniger, Winfried; … - 2026

Book / Working Paper

Optimal consumption and portfolio choice with no-borrowing constraint in the Kim-Omberg model

Ferrari, Giorgio; Schütz, Tim Niclas - 2026

In this paper, we study an intertemporal utility maximization problem in which an investor chooses consumption and portfolio strategies in the presence of a stochastic factor and a no-borrowing constraint. In the spirit of the Kim-Omberg model, the stochastic factor represents the excess return...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015609775

Large and deep factor models

Kelly, Bryan T.; Kuznetsov, Boris; Malamud, Semyon; Xu, … - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015609789

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Large (and deep) factor models

Kelly, Bryan T.; Kuznetsov, Boris; Malamud, Semyon; Xu, … - 2024

Book / Working Paper

Investment with new sentiment analysis in Japanese stock market : expert knowledge can still outperform ChatGPT

Lin, Zhenwei; Nakano, Masafumi; Takahashi, Akihiko - 2026 - This version: March 4, 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015610056

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Investment with new sentiment analysis in Japanese stock market : expert knowledge can still outperform ChatGPT

Lin, Zhenwei; Nakano, Masafumi; Takahashi, Akihiko - 2025 - This version: March 27, 2025

Edition: This version: March 27, 2025

Book / Working Paper

Investment with new sentiment analysis in Japanese stock market : expert knowledge can still outperform ChatGPT

Lin, Zhenwei; Nakano, Masafumi; Takahashi, Akihiko - 2025 - This version: April 25, 2025

Edition: This version: April 25, 2025

Book / Working Paper

Bond funds' risk taking and monetary policy

Anyphantakē, Sophia; Giannakidis, Haris; … - 2026

Using granular security-level data from bond funds domiciled in the US and the euro area, we identify a market-based risk-taking channel of monetary policy transmission via the credit-risk and the maturity structure of bond funds' portfolios. We measure credit risk at the fund level as the...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015610151

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Bond funds' risk taking and monetary policy

Anyphantakē, Sophia; Malliaropulos, Dimitris; … - 2026

Book / Working Paper

Enhancing predictive performance of LSTM-attention models for investment risk forecasting

Ladhari, Amina; Boubaker, Heni - 2026

For many decades, time-series forecasting has been applied to different problems by scientists and industries. Many models have been introduced for the purpose of forecasting. These advancements have significantly improved the accuracy and reliability of predictions, especially in complex...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015611300

From risk to returns : an analysis of asset quality, financial ratios, and market valuation in Indian banks

Rosario, Shireen; Mavuri, Sudha - 2026

This study investigates the interplay between asset quality, financial ratios, and market valuation in Indian commercial banks over a twelve-year period (2014-2025). Using a hybrid approach combining Structural Equation Modeling, correlation analysis, and trend evaluation, the research examines...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015611330

Institutional reform and depositors' portfolio choice evidence from bank account data

Berlemann, Michael; Luik, Marc-André - 2026

In this paper we employ the natural experiment of German Division and Reunification in order to study the effect of institutional reform on the decision to hold risky assets. We present empirical evidence indicating that even 16 years after German Reunification risky portfolios of East and West...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015614062

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Institutional reform and depositors' portfolio choice : evidence from bank account data

Berlemann, Michael; Luik, Marc-André - 2016

Book / Working Paper

Performance attribution : the Harsanyi method

Acerbi, Carlo; Csóka, Péter; Herings, Peter Jean-Jacques - 2026

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015614107

Green investment : examining the influencing factors and mechanisms on the investment willingness of China retail investors towards green bonds

Tao, Zhibin - 2026

As global climate and sustainable challenges gain more attention, green finance has emerged as a significant focus of worldwide financial reform, with green bonds serving as a key indicator. Retail investors, as an important part of the financial market, have a significant impact on the...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015614367

A VaR-based price-based unit commitment framework for generation asset valuation under electricity price risk

Chen, Shih-Ying; Lin, Kuen-Lin; Tsai, Ming-Tang - 2026

In deregulated electricity markets, Generation Companies (GENCOs) are exposed to substantial financial risk due to volatile and uncertain electricity prices. Traditional generation asset valuation approaches, which rely primarily on expected profit, fail to adequately capture downside risk under...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015614368

Regulating ESG disclosure : capital allocation and investor heterogeneity

Emiris, Marina; Harris, Joanna; Koulischer, François - 2026

We study how sustainability disclosure regulation affects mutual fund flows and portfolio choices, accounting for investor heterogeneity. Guided by a model of ESG investing under uncertainty, we exploit the introduction of the European Sustainable Finance Disclosure Regulation (SFDR) as a...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015614830

How framing susceptibility is associated with investment grip : evidence from Japanese retail investors

Otchere-Appiah, Gideon; Kuramoto, Yu; Bawalle, Aliyu Ali; … - 2026

This study builds on the concept of loss tolerance by introducing investment grip, a behavioral interpretation that captures investors' commitment to long-term objectives under adverse market conditions. While loss tolerance traditionally measures the maximum financial loss an investor can...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015615249

Carbon risk without a stable premium : nonlinear and state-dependent evidence from European ESG leaders

Salzmann, Eleonora - 2026

Despite the economic relevance of climate-transition risk, firm-level carbon exposure often fails to appear as a robustly priced factor when ESG measures and sustainability shocks are conflated. This study examines whether carbon exposure is conditionally priced in European equity returns using...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015615255

Investing outside the box : fluctuating styles of actively managed funds

Bai, Ting; Hilscher, Jens; Scherbina, Anna - 2026

Managers of actively managed funds do not maintain a constant investment style. Instead, their factor loadings change over time. These changes are especially large following quarters with extreme returns and fund flows and arise from both active portfolio reallocations and passive style drift....

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015615830

Structural drivers of growth at risk : insights from a VAR-quantile regression approach

Carboni, Giacomo; Fonseca, Luís; Fornari, Fabio; … - 2026

We investigate the impact of structural shocks on the joint distribution of future real GDP growth and inflation in the euro area. We model the conditional mean of these variables, along with selected financial indicators, using a VAR and perform quantile regressions on the VAR residuals to...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015592539

Putting the "finance" into "public finance" : a theory of capital gains taxation

Aguiar, Mark; Moll, Benjamin; Scheuer, Florian - 2026 - First version: May 2024, this version: February 2026

Standard optimal capital tax theory abstracts from modeling asset prices, making it unsuitable for thinking about capital gains and wealth taxation. We study optimal redistributive taxation in an environment with asset price movements, adopting the modern finance view that asset prices fluctuate...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015596733

What Attracts Investors to Distressed Asset Markets? Key Pillars for Private Investors to Participate in Market Development

Mueller, Marta; Dancausa, Fernando - 2026

This WBG study examines what makes distressed asset markets work — and how governments can create the right conditions for private sector engagement. It provides policymakers, regulators, and financial institutions with a practical framework to assess market readiness, identify policy and...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015597424

Asset Recycling Handbook

2026

Infrastructure development is crucial for the continued economic growth and prosperity of emerging markets and developed economies (EMDEs). The demand for infrastructure, propelled by population growth and ever-increasing rate of urbanization, has resulted in the need to build, and improve...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015597467

Navigating geoeconomic risk : evidence from U.S. mutual funds

Crosignani, Matteo; Han, Lina; Macchiavelli, Marco - 2026 - Revised April 2026

How do investors perceive and navigate the emerging geoeconomic risk? We identify firm-level geoeconomic risk using supply-chain links to Chinese firms targeted by U.S. export controls. Affected U.S. suppliers experience negative abnormal returns around policy announcements. These shocks...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015550144

Extrapolators and contrarians : forecast bias and individual investor stock trading

Andersen, Steffen; Dimmock, Stephen G.; Nielsen, Kasper M. - 2026

We test whether forecast bias affects individual investors' stock trading by combining bias measures from laboratory experiments with administrative trade data. Forecast bias is positively associated with past excess returns of purchased stocks: Compared to contrarians, extrapolators purchase...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015588367

OPENSIMPLEST : the smallest SFC open economy model

Zezza, Francesco - 2026

This article introduces OPENSIMPLEST, a highly parsimonious stock-flow consistent (SFC) model of an open economy. The model is designed as a pedagogical and analytical benchmark that preserves the core mechanisms of more complex open-economy SFC frameworks while remaining complete, transparent,...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015588384

Forecasting mutual fund performance : combining return-based with portfolio holdings-based predictors

Müller, Sebastian; Pugachyov, Nikolay; Weigert, Florian - 2026

We introduce a simple yet powerful method for enhancing mutual fund performance prediction by combining individual predictors into a composite predictor. This composite approach integrates information from 19 well-established return-based and portfolio holdings-based predictors from the...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015591032

Information-neutral hedging of derivatives under market impact and manipulation risk

Alimoradian, Behzad; Barigou, Karim; Eyraud, Anne - 2026

The literature on derivative pricing in illiquid markets has mostly focused on computing optimal hedging controls, but empirical microstructure studies show that large order flow generates persistent and predictable price effects. Therefore, these controls can themselves induce endogenous market...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015591116

A momentum-based normalization framework for generating profitable analyst sentiment signals

McCarthy, Shawn; Alaghband, Gita - 2026

The diverse rating scales used by brokerage firms pose significant challenges for aggregating analyst recommendations in financial research. We develop a momentum-based normalization framework that transforms heterogeneous rating changes into standardized sentiment signals using firm-relative,...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015591134

Design and evaluation of machine learning-based investment strategies in equity funds

Cassiano da Silva, Danillo Guimarães; Romão, Estaner Claro - 2026

This study examines quantitative investment strategies for Brazilian equity funds, integrating traditional financial performance indicators with machine learning techniques to enhance fund selection. The main objective was to construct and validate predictive models for fund selection. The...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015591391

Dynamic regularized parametric portfolio policies

Os, Bram van; Lönn, Rasmus; Dijk, Dick van - 2026

We put forward a Dynamic Regularized Parametric (DRP) approach for active portfolio policies. We build upon the parametric policy framework of Brandt et al. (2009) that directly links the portfolio weights to a limited set of asset characteristics. This yields a parsimonious specification that...

Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015580333