Investment decision making is one of the key issues in financial management. Selecting the appropriate tools and techniques that can make optimal portfolio is one of the main objectives of the investment world. This study tries to optimize the decision making in stock selection or the optimization of the portfolio by means of the artificial colony of honey bee algorithm. To determine the effect...

Traditional techniques in portfolio management rely on the precise knowledge of the underlying probability distributions; in practice, however, such information is difficult to obtain because multiple factors affect stock prices on a daily basis and unexpected events might affect the price dynamics. To address this issue, we propose an approach to dynamic portfolio management based on the seque...

This paper provides an alternate method of evaluating portfolio performance of stock pricing models. We apply Pitman Closeness Criterion to compare the accuracy of three popular pricing models. This comparison is used to assess which, if any, model outperforms the others. In assessing model performance over a long period of time, we find that the Fama-French three-factor model and the Carhart f...

Data mining is being actively applied to stock market since 1980s. The various aspects of stock market to which data mining has been applied include predicting stock indices, predicting stock prices, portfolio management, portfolio risk management, trend detection, designing recommender systems etc. The various algorithms and methods which have been used for the same include neural networks, as...

This paper examines how an option plan that rewards managers for firm performance relative to some market or industry benchmark should be structured. Relativeperformance-based compensation advocates contend that conventional stock options do not adequately discriminate between strong and weak managers, typically suggesting “indexed options,” that is, options with an exercise price linked to a m...

This paper empirically examines the theoretically ambivalent relationship between socially responsible investing (SRI) and stock performance. It contributes to the existing literature by considering both the US and the entire European stock markets and by using consistent world-wide corporate sustainability performance data. Our portfolio analysis from 1998 to 2009 is based on the common four-f...

In this article, we investigate risk return characteristics and diversification benefits when private equity is used as a portfolio component. We use a unique dataset describing 642 US-American portfolio companies with 3620 private equity investments. Information about precisely dated cash flows at the company level enables for the first time a cash flow equivalent and simultaneous investment s...

We hypothesize that owing to limited investor attention and skepticism of complexity, innovative diversity (ID) of a firm's patent portfolio will be undervalued. ID strongly predicts stock returns after controlling for firm characteristics and risk. High ID portfolios provide Carhart alphas of 56-81 basis points per month and stronger and less volatile operating performance. The Diversified Min...

The de nition of universal portfolio was introduced in the nancial literature in order to describe the class of portfolios which are constructed directly from the available observations of the stocks behavior without any assumptions about their statistical properties. Cover [6] has shown that one can construct such portfolio using only observations of the past stock prices which generates the s...