The objective of this paper is to develop an algorithm to create an Optimum Portfolio from a large pool of stocks listed in a single market index SPX 500 Index: USA (for example) using Genetic Algorithm. The algorithm selects stocks on the basis of a priority index function designed on company fundamentals, and then genetically assigns optimum weights to the selected stocks by finding a genetic...

This study is aimed to analyze the optimal portfolio of Jakarta Islamic Index within December 2016 November 2019 period. The research samples that were being used in this stocks are consistently included JII during a descriptive using Single Model. Of nineteen sample stocks, an was formed with nine as constituents, namely: ASII (6.12%), ASRI (2.37%), ICBP (24.60%), INCO (5.09%), INTP (11.45%), ...

A stochastic-optimization technique based on time series cluster analysis is described for Index Tracking and Enhanced Index Tracking problems. Our methodology solves the problem in two steps, i.e., by first selecting a subset of stocks and then setting the weight of each stock as a result of an optimization process (asset allocation). Present formulation takes into account constraints on the n...

The study examines the changes to total factor productivity of Jamaican banks between 1998 and 2007. Using Data Envelopment Analysis with bootstrap to construct a Malmquist index, bank productivity is measured and decomposed into technical progress and efficiency. The results suggest an inconsistent growth pattern for banks between 1998 and 2007 driven mainly by efficiency gains in the immediat...

Options on stocks are priced using information on index options and viewing stocks in a factor model as indirectly holding index risk. The method is particularly suited to developing quotations on stock options when these markets are relatively illiquid and one has a liquid index options market to judge the index risk. The pricing strategy is illustrated on IBM and Sony options viewed as holdin...

This paper examines continuous-time models for the S&P 100 index and its constituents. We find that jump process of typical stock looks significantly different than index. Most importantly, average size a in returns is positive, while it negative Furthermore, estimates parameters stochastic processes exhibit pronounced heterogeneity cross-section stocks. For example, we decreases larger compani...