In this analysis of the risk and return of stocks in the United States and global markets, we apply several portfolio construction and optimization techniques to U.S. and global stock universes. We find that (1) mean-variance techniques continue to produce portfolios capable of generating excess returns above transaction costs and statistically significant asset selection, (2) optimization tech...

The two major paradigms in the theoretical agency literature are moral hazard (i.e., hidden action) and adverse selection (i.e., hidden information). Prior research typically solves these problems in isolation, as opposed to simultaneously incorporating both adverse selection and moral hazard features. We formulate two complementary generalized principalagent models that incorporate features ob...

A new field of computation is emerging which integrates quantum and classical computation. This is applied to solve the financial engineering problem of portfolio selection. Hopfield neural network is used for portfolio selection. A quantum inspired hybrid model of quantum neurons and classical neurons is proposed for the prediction of stock prices. An effort is made, probably the first time to...

The paper focuses on modelling and solving a design problem. The problem consists in selecting a set of modules that will be manufactured in distant sites and shipped in a nearby location site for a final assembly operation under time limits. The problem is modelled as a mathematical problem and solved by a genetic algorithm with a modified crossover operation, a uniform mutation with adaptive ...

Site preparation plays a vital role in British Columbia’s regeneration program (Figure 1). Historically, prescribed fire has been the tool most commonly used to satisfy the needs of both hazard abatement and site preparation. Recently, the use of fire has decreased relative to other options (Figure 2), due to the increased cost of burning, the increased public concern in areas sensitive to smok...

The experimental approach is applied to explore the value of unidentified historical information in stock-return prediction. Return sequences were randomly drawn cross section and time from historical S&P500 data. Subjects were requested to predict returns or select stocks from 12 preceding realizations. The hypothesis that predictions are randomly assigned to historical sequences is rejected i...

A major inconvenience of the traditional approach in portfolio choice, based upon historical information, is its inability to anticipate sudden changes of price tendencies. Introducing information about future behavior of the assets fundamentals may help to make more appropriate choices. However the specification and parameterization of a model linking this exogenous information to the asset pr...

Methods: Since entropy is free from reliance on symmetric probability distributions and can be computed from nonmetric data, it is more general than others as a competent measure of risk. In this work, returns of securities are assumed to be uncertain variables, which cannot be estimated by randomness or fuzziness. The model in the uncertain environment is formulated as a nonlinear programming ...

Managers and researchers alike suspect that the vast amounts of qualitative information in blogs, reviews, news stories, and experts’ advice influence consumer behavior. But, does qualitative information impact or rather reflect consumer choices? We argue that because message content and consumer choice are endogenous, nonrandom selection and conflation of awareness and persuasion complicate ca...