This paper reproduces the performance of a geometric average Spot Energy Index by investing only in a subset of stocks from the Dow Jones Composite Average, the FTSE 100 and Bovespa Composite indexes, and in two pools that include only energy-sector stocks from the US and the UK respectively. Daily data are used and the index-tracking problem for passive investment is addressed with two evoluti...

This paper examines the risk of value investing from the point of view of a myopic loss-averse investor holding a diversified portfolio and relying on infrequent portfolio rebalancing. This closely resembles purchasing a large portfolio, such as those created by BARRA, and following a buy-and-hold investment strategy. In these circumstances, which portfolio, value or growth, is riskier to a myo...

This dissertation presents a study of the portfolio management problem applied to mutual fund investments. An approach based on Genetic Algorithms is followed and three different heuristics are proposed to forecast the rise or fall of a mutual fund. These heuristics are based in the concepts of daily variations, relevant maximums and minimums and simple moving averages. A prototype developed in...

Extending the controversial findings from relevant literature on testing the efficient market hypothesis for the U.S. housing market, the results from the monthly and quarterly transaction-based Case-Shiller indices from 1987 to 2009 provide further empirical evidence on the rejection of the weak-form version of efficiency in the U.S. housing market. In addition to conducting parametric and non...

Neuro-fuzzy (NF) decision-making technology is designed and implemented to obtain the optimal daily currency trading rule. We find that a non-linear artificial neural network (ANN) exchange rate microstructure model combined with a fuzzy logic controller (FLC) generates a set of trading strategies that, on average, earn a higher rate of return compared to the simple buy-and-hold strategy. We al...

Do ETFs, one of the most popular investment products in recent times, benefit individual investors? Using data from one of the largest brokerages in Germany, we find that individual investors do not improve their portfolio performance, even before transactions costs, by using these passive products. Using counterfactual analysis, we show that this occurs mostly from buying ETFs at “wrong” point...

This paper aims to apply the neuro-fuzzy technique to refine the Stochastics technical trading rules to forecast the Asian stock market. Essentially in this hybrid technique, fuzzy logic plays the role to formulate the relationship among the Stochastics indicators and stock price changes by using knowledge base. Neural networking is used to tune the formulated knowledge base based on historical...