for assessment of portfolio performance, it's crucial to adjust the return by the risk which is taken. so it seems undeniable that for measuring the risk-adjusted return of portfolio, we need an appropriate and developed model for risk and asset pricing. fama & french 3 factor model could explain several return anomalies. recent studies show that capital productivity effects on stock retur...

Academic researchers and practitioners have proposed various stock-screening models that always contain more than one stock selecting rule and corresponding parameters. However, the criteria in traditional screening models employ crisp norms, which are unreasonable in reality. This paper proposes the fuzzy stock-screening model to select stocks in the portfolio. The screening rules consist of t...

Abstract. This study employs the panel convergence methodology developed by Phillips and Sul (2007) to explore the convergence dynamics of international equity markets. The analysis considers both country and industry effects. While traditional portfolio management strategies usually follow a top-down procedure, assuming that country-level effects drive financial aggregates (e.g., stock returns...

The focal objective of this study is to analyze and explore the Co-movement of Pakistan stock market (KSE-100) with the stock market of developed countries (US, UK, Canada, Australia, Germany, Japan, France and Neither land) which have portfolio investment in Pakistan by applying co-integration approach using Johansen and Juselius multivariate and bi variate co-integration. Secondary data of st...

The general investment problem concerns the allocation of wealth among m assets (stocks) to generate high returns with low risk or uncertainty. Cover and Ordentlich consider this problem from an information theoretic perspective in the case where a side information sequence aids the investment decisions but no assumptions are made on the relative likelihoods (probabilities) of stock returns seq...

a r t i c l e i n f o JEL classification: C1 C6 G1 Keywords: Energy stocks C-vines D-vines Dependence structure Risk measures Portfolio optimization This article models the dependence risk and resource allocation characteristics of two 20-stock coal–uranium and oil–gas sector portfolios from the Australian market in the context of the global financial crisis of 2008–2009. The modeling framework...

Keywords: Survey LP computable mean-risk and mean-safety models Real features Transaction costs Exact and heuristic algorithms a b s t r a c t Markowitz formulated the portfolio optimization problem through two criteria: the expected return and the risk, as a measure of the variability of the return. The classical Markowitz model uses the variance as the risk measure and is a quadratic programm...

With the advances in time-series prediction, several recent developments machine learning have shown that integrating prediction methods into portfolio selection is a great opportunity. In this paper, we propose novel approach to formation strategy based on hybrid model combines convolutional neural network (CNN) and bidirectional long short-term memory (BiLSTM) with robust input features obtai...