This paper considers a problem of multi-period supply portfolio selection and execution with demand information updates. A supply portfolio specifies a buyer’s decision on selecting sourcing mix from among a group of suppliers. We develop a framework for optimal supply portfolio selection and execution. Further, we demonstrate that the optimal portfolio selection follows a base-stock policy and...

This article examines the efficiency of five risk measures in the framework of portfolio optimization for the stocks of four China’s stock markets and investigates which risk measure has the best performance in making asset allocation decisions. The data used are the historical monthly stock returns from 1998 to 2002. Although the downside risk measures are thought to be consistent with investo...

Evidence indicates that people fear change and the unknown. We model this behavior as familiarity bias in which individuals focus on adverse scenarios in evaluating defections from the status quo. The model explains portfolio underdiversification, home and local biases. More importantly, equilibrium stock prices reflect an unfamiliarity premium. In an international setting, our model predicts t...

Stochastic Portfolio Theory is a flexible framework for analyzing portfolio behavior and equity market structure. This theory was introduced by E.R. Fernholz in the papers (Journal of Mathematical Economics, 1999; Finance & Stochastics, 2001) and in the monograph Stochastic Portfolio Theory (Springer 2002). It was further developed in the papers Fernholz, Karatzas & Kardaras (Finance & Stochast...

We exhibit an algorithm for portfolio selection that asymptotically outperforms the best stock in the market. Let x i = x i 1 ; x i 2 ; : : : ; x im t denote the performance of the stock market on day i ; where x ij is the factor by which the j-th stock increases on day i : Let b i = b i 1 ; b i 2 ; : : : ; b im t ; b ij 0; P j b ij = 1 ; denote the proportion b ij of wealth invested in the j-t...

This chapter demonstrates that a person’s level of cognitive abilities is a key determinant of financial decisions. Households with high cognitive abilities tend to participate more in the stock market and accumulate more financial wealth than households with low cognitive abilities. Upon participation, portfolio performance improves with experience but it is negatively correlated with age due ...

In this paper a data mining approach for classification of stocks into clusters is presented. After classification, the stocks could be selected from these groups for building a portfolio. It meets the criterion of minimizing the risk by diversification of a portfolio. The clustering approach categorizes stocks on certain investment criteria. We have used stock returns at different times along ...

Investors need to do proper analysis before making a decision in investing. If the investor does not right analysis, will experience significant losses. One of analyzes used is CAPM, and for next step researcher evaluates performance stock portfolio. This study aims analyze evaluation portfolios during covid 19 pandemic. The research objects were companies registered IDX 30 period January 2020 ...