We have as input two portfolio of stocks managed by ING bank (North Holland). Each portfolio and each stock is described by several variables every open day of a week and during eight weeks. A portfolio is characterised by variables as its value, its performance, a stock is characterised by variable as its value, its number in the portfolio and its performance. In this paper, we study a symboli...

This paper investigates whether the business relations between mutual funds and brokerage firms influence sell-side analyst recommendations. Using a unique data set that discloses brokerage firms’ commission income derived from each mutual fund client as well as the share holdings of these mutual funds, we find that an analyst’s recommendation on a stock relative to consensus is significantly h...

This paper uses disclosed mutual fund portfolio holdings to develop stock selection models. Our models aggregate portfolio holdings across mutual funds, weighted by their past performance, to predict future stock returns – an overweighting by successful managers, or an underweighting by unsuccessful managers is considered to be a signal that a stock is currently underpriced. We find that invest...

This paper presents a methodology for making decisions in the stock market using AHP-TOPSIS multi-criteria technique. The problem is related to market’s investment process considering criteria of liquidity, risk, and profitability. proposed includes integrating economic financial theories equity portfolios with technique, which allows evaluating finite number alternatives hierarchically under q...

Collaboration of technologies in the Internet and the field of Fuzzy expert systems have suggested new ways of sharing and distributing knowledge. However, there has been a general lack of research in the area of web-based Fuzzy expert systems (FES). This paper addresses the issues associated with the design, development, and use of web-based FES from a standpoint of the benefits and challenges...

in this paper, we investigate the performance of parametric arch class models to forecast out-of-sample var for two portfolios of tehran stock exchange (tse) companies (market portfolio and a portfolio of 50 liquid companies), using a number of distributional assumptions and sample sizes at low and high confidence levels. we find, first, that leptokurtic distributions are able to produce better...