In this paper, we study the dynamics of absolute return, trading volume and bid–ask spread after the trading halts using high-frequency data from the Shanghai Stock Exchange. We dealwith all three types of trading halts, namely intraday halts, one-day halts and inter-day halts, of 203 stocks in Shanghai Stock Exchange fromAugust 2009 to 2011.We find that absolute return, trading volume, and in ...

This research introduces a new mixed-integer nonlinear goal program (MINLGP) with branch and bound constraints and a separable programming foundation. The motivation for creating the MINLGP algorithm is to advance the ability of portfolio managers facing multiple and hierarchical goals to simultaneously solve for an efficient portfolio with an optimal number of contingent claim contracts in ord...

We provide an exact performance attribution for levered strategies. The attribution includes some familiar elements: return magnification due to leverage, borrowing costs, trading costs, and the variance drag; while familiar, these elements are sometimes downplayed in backtests of levered strategies. In addition, we find empirically that the covariance between return of the source portfolio and...

The relationship between trading volume and securities prices is a complex one which, when understood properly, can lead to many insights in portfolio theory. Over the past forty years, much work has been done trying to understand this relationship. In this document, we will attempt to introduce and discuss some of these papers. First, we introduce basic topics of finance theory, such as the Ca...

In this paper a portfolio optimization algorithm based on Evolution Strategies is presented. This method makes use of artificial trading experts discovered earlier by a genetic algorithm. These experts, consisting of technical analysis rules, are trained to process financial time series and to generate trading advice. Evolution Strategies lead to the optimization of portfolio structures where i...

markowitz, in his portfolio selection theory, stated that investors select their portfolios according to two criteria of risk and return. accordingly, he presented his mathematical model. one of the criticisms of this model is that while investors, practically, consider different criteria in forming their portfolios, it only considers the return mean and return standard deviation. liquidity is ...

We investigate how trading frictions in asset markets affect portfolio choices, asset prices and efficiency. We generalize the search-theoretic model of financial intermediation of Duffie, Gârleanu and Pedersen (2005) to allow for more general preferences and idiosyncratic shock structure, unrestricted portfolio choices, aggregate uncertainty and entry of dealers. With a fixed measure of dealer...

We consider the problem of selecting a portfolio of assets that provides the investor a suitable balance of expected return and risk. With respect to the seminal mean-variance model of Markowitz, we consider additional constraints on the cardinality of the portfolio and on the quantity of individual shares. Such constraints better capture the real-world trading system, but make the problem more...