This paper examines a new approach for credit risk optimization. The model is based on the Conditional Value-at-Risk (CVaR) risk measure, the expected loss exceeding Value-at-Risk. CVaR is also known as Mean Excess, Mean Shortfall, or Tail VaR. This model can simultaneously adjust all positions in a portfolio of financial instruments in order to minimize CVaR subject to trading and return const...

One of the popular methods for optimizing combinational problems such as portfolio selection problem is swarmbased methods. In this paper, we have proposed an approach based on Quantum-Behaved Particle Swarm Optimization (QPSO) for the portfolio selection problem. The particle swarm optimization (PSO) is a well-known population-based swarm intelligence algorithm. QPSO is also proposed by combin...

Consistent with Protestants (Catholics) being more (less) risk-averse than the general population, we find that mutual funds located in regions with low Protestant (or high Catholic) population have higher total and idiosyncratic return volatilities. These higher volatilities are driven by portfolio under-diversification and aggressive interim trading, rather than overweighting risky (local) st...

The paper considers robust optimization to cope with uncertainty about the stock return process in one period option hedging problems. The robust approach relates portfolio choice to uncertainty, making more cautious hedges when uncertainty is high. We represent uncertainty by a set of plausible expected returns of the underlying stocks and show that for this set the robust problem is a second ...

This paper postulates that management performance evaluation is a source of divergence between institutional investors and households’ optimal portfolio decisions. In a partial equilibrium setting, the objective of a representative household is modeled as the maximization of expected utility (an increasing and concave function, in order to accommodate risk aversion) of final wealth. Yet, the in...

Investor herding behavior is a primary source of speculative bubbles since it implies that investors make identical trading decisions, which can lead to stock prices deviating from their underlying worth. The goal this study detect in the Indonesian market between 2016 and 2021. relationship return volume, known as Cross Sectional Absolute Deviation, used assess (CSAD). Time-series regression q...

We investigate the collective behaviors of short-selling and margin-trading between Chinese stocks and their impacts on the co-movements of stock returns by cross-correlation and partial correlation analyses.We find that the collective behaviors ofmargin-trading are largely attributed to the index cohesive force, while those of short-selling are mainly due to some direct interactions between st...

Volume of trades and order book volume imbalances have long been established as important criteria in evaluating portfolios and long term investment strategies. The hypothesis being evaluated in this project is that it is an essential component of intraday trading strategies – important enough to be effectively used exclusively as an indicator of the market behavior. The design of a trading str...

The present study explores the effect of the gambler’s fallacy on stock trading volumes. I hypothesize that if a stock’s price rises (falls) during a number of consecutive trading days, then the gambler’s fallacy may cause at least some of the investors to expect that the stock’s price “has” to subsequently fall (rise), and thus, to increase their willingness to sell (buy) the stock, resulting ...