Using a Vector Autoregression framework, this paper investigates the dynamic relationship between the intensity of negative media speculation and the market performance of financial institutions. Evidence is provided that over the sub-prime crisis period pessimistic coverage Granger-caused the returns on banking indices, while causality in the opposite direction proved weaker. These findings ma...

In this study, we carried out a performance analysis of green bond portfolios available from public databases for the period between 2017 and 2020. The aim our research was to obtain empirical proof existence premium, which confirmed by risk-adjusted indicators, i.e. Sharpe ratio, M2 ratio Sortino ratio. premium is return differential that can be measured conventional financial instruments. Acc...

To create efficient funds appealing to a sector of bank clients, the objective of minimizing downside risk is relevant to managers of funds offered by the banks. In this paper, a case focusing on this objective is developed. More precisely, the scope and purpose of the paper is to apply the mean-semivariance efficient frontier model, which is a recent approach to portfolio selection of stocks w...

In the context of a dynamic trading strategy, the ultimate purpose of any forecasting model is to choose actions which result in the optimisation of the trading objective. In this paper we develop a methodology for optimising an objective function, using a parameterised decision rule, for a given forecasting model. We simulate the expected trading performance for different decision parameters a...

The monthly return distributions of many hedge fund indices exhibit highly unusual skewness and kurtosis properties as well as first-order serial correlation. This has important consequences for investors. We demonstrate that although hedge fund indices are highly attractive in mean-variance terms, this is much less the case when skewness, kurtosis and autocorrelation are taken into account. Sh...

This study aims at getting a better performance for optimal stock portfolios by modeling stocks prices dynamics through a continuous paths Levy process. To this end, the share prices are simulated using a multi-dimensional geometric Brownian motion model. Then, we use the results to form the optimal portfolio by maximizing the Sharpe ratio and comparing the findings with the outputs of the conv...

Investment is an activity carried out by investors placing their funds in asset. The purpose of investment to gain long-term profits the future. These come from changes price assets future, which refers increase value asset over time. Currently, there are several types investments. However, type that quite widely practiced Indonesian society stock investment. Indonesia Stock Exchange (IDX) grou...

We analyze the problem of pricing and hedging contingent claims in a financial market described by a multi-period, discrete-time, finite-state scenario tree using an arbitrage-adjusted Sharpe-ratio criterion. We show that the writer’s and buyer’s pricing problems are formulated as conic convex optimization problems which allow to pass to dual problems over martingale measures and yield tighter ...