Abstract We investigate the significance of extreme positive returns in cross-sectional pricing cryptocurrencies. Through portfolio-level analyses and weekly regressions on all cryptocurrencies our sample period, we provide evidence for a statistically significant relationship between maximum daily return within previous month (MAX) expected In particular, univariate portfolio analysis shows th...

The “case for property” in the mixed-asset portfolio is a topic of continuing interest to practitioners and academics. Such an analysis typically is performed over a fixed period of time and the optimum allocation to property inferred from the weight assigned to property through the use of mean-variance analysis. It is well known, however, that the parameters used in the portfolio analysis prob...

this paper will investigate the optimum portfolio for an investor, taking into account 5 criteria. the mean variance model of portfolio optimization that was introduced by markowitz includes two objective functions; these two criteria, risk and return do not encompass all of the information about investment; information like annual dividends, s&p star ranking and return in later years which...

In this paper, we propose formulations and algorithms for robust portfolio optimization under both aleatory uncertainty (i.e., natural variability) and epistemic uncertainty (i.e., imprecise probabilistic information) arising from interval data. Epistemic uncertainty is represented using two approaches: (1) moment bounding approach and (2) likelihood-based approach. This paper first proposes a ...

The problem of portfolio selection in investment concerns with minimizing the risk for a prespecified level of return. In this paper, the constraint on the level of return is fuzzified and the technique of fuzzy evolutionary programming is employed to select an optimal portfolio of securities with low risk and with highly acceptable level of total return. Experimental results show the method is...

Multiobjective portfolio optimization problem is the portfolio process of the highest expected return among the various financial commodities of the capital market to meet the expected return objectives. And one of the most important and common management issues lies in determining the best portfolio out of a given set of investment proposals. As we know, modern portfolio theory provides a well...

Dr. V. J.Sebastian (Corresponding author) Institute of Management Technology Gaziabad, Delhi, India E-mail: [email protected] Abstract Portfolio optimization, in case of finance, is the tradeoff between risk and return to maximize profit or return from the portfolio. Financial regulations are country specific and it depends upon the economic conditions prevailing in the country. The portfolio of...