Portfolio optimisation typically aims to provide an optimal allocation that minimises risk, at a given return target, by diversifying over different investments. However, the potential scope of such risk diversification can be limited if investments are concentrated in only one country, or more specifically one currency. Multi-currency portfolio is an alternative to achieve higher returns and m...

Over the last four decades, the average Gaussian-risk-adjusted return on a stock portfolio that goes long in the largest banks and short in the smallest banks is minus 7 %. Moreover, this portfolio provides US investors with insurance against recessions, even though the cash flows of large banks seem more exposed to macroeconomic risk. Using the rare events model of ?, we interpret the 7% as a ...

In this chapter we provide a methodology to solve dynamic portfolio strategies considering realistic assumptions regarding the return distribution. First, we analyze the empirical behavior of some equities, suggesting how to approximate an historical return series with a factor model that accounts for most of the variability and proposing a methodology to generate realistic return scenarios. Th...

Portfolio selection is an important issue for researchers and practitioners. In this paper, under the assumption that security returns are given by experts' evaluations rather than historical data, we discuss the portfolio adjusting problem which takes transaction costs and diversification degree of portfolio into consideration. Uncertain variables are employed to describe the security returns....

This paper investigates the capital market reaction to first detection of COVID-19 in Bangladesh. Using a sample 314 listed firms Dhaka stock Exchange (DSE), this study employed event methodology (ESM) find any abnormal return (AR) associated announcement. Three different models namely mean-adjusted return, market-adjusted and model have been used calculate test statistical significance using b...

The financial crisis of 2008 generated interest in more transparent, rules-based strategies for portfolio construction, with smart beta emerging as a trend among institutional investors. Whilst they perform well the long run, these often suffer from severe short-term drawdown (peak-to-trough decline) fluctuating performance across cycles. To manage short term risk (cyclicality and underperforma...

Stochastic dominance is theoretically superior to mean-variance (MV) analysis because it considers the entire return distribution and is based on minimally restrictive assumptions regarding investor motives. This study uses stochastic dominance to examine whether adding internationally based assets to a wholly domestic portfolio generates diversification benefits for an investor. In contrast to...

A to Jacobson and Mizik [Jacobson, R., N. Mizik. 2009. The financial markets and customer satisfaction: Reexamining possible financial market mispricing of customer satisfaction. Marketing Sci. 28(5) 810–819], excess stock portfolio returns for firms with strong customer satisfaction are small and statistically insignificant, and if there is any above-market performance at all, it is due to a s...

Adaptive portfolio management has been studied in the literature of neural nets and machine learning. The recently developed Temporal Factor Analysis (TFA) model mainly targeted for further study of the Arbitrage Pricing Theory (APT) is found to have potential applications in portfolio management. In this paper, we aim to illustrate the superiority of APT-based portfolio management over return-...