We investigate a class of distributionally robust optimization problems that have direct applications in finance. They are semi-infinite programming problems with ambiguous expectation constraints in which fractional functions represent reward-risk ratios. We develop a reformulation and algorithmic data-driven framework based on the Wasserstein metric to model ambiguity and to derive probabilis...

In this paper, we propose two geneticprogramming-based models that improve the trading strategy for mutual funds. These two models can get better returns and reduce risks. The first model increases the return by selecting funds with high Sortino ratios and allocates the capital equally, achieving the best annualized return. The second model also selects funds with high Sortino ratios, but reduc...

The use of technical indicators to derive stock trading signals is a foundation of financial technical analysis. Many of these indicators have several parameters which creates a difficult optimization problem given the highly non-linear and non-stationary nature of a financial timeseries. This study investigates a popular financial indicator, Bollinger Bands, and the fine tuning of its paramete...

Portfolio asset management must minimize risk exposure for the investor. Measuring performance of any instrument can be done by looking at risk-reward. Observe stock listed in BUMN 20 Index with measurement analytical tools like Sharpe ratio, Treynor Ratio, and Sortino ratio. This study is descriptive quantitative research as this aims to explain how ratio between 2018 2021. All population focu...

Reward-risk ratio (RR) is a very important stock market definition. In order to capture the situation that the investor does not have complete information on the distribution of the underlying uncertainty, people extend RR model to distributionally robust reward-risk ratio (DRR) model. In this paper, we study the DRR problem where the ambiguity on the distributions is defined through Wassertein...

In this paper, we used several elaborate return-to-risk methods to investigate the risk-adjusted performances of five soft commodities. Regarding only level risk, found that cocoa had highest risk losses, followed by orange juice. Cotton and coffee lowest losses. However, according output, cotton was worst asset in which invest because it negative average returns. contradistinction, sugar a rel...

mutual funds are the best tool to mobilize savings and investments in an economy and pakistan is the pioneer in south asia, but this industry is not as much mature in comparison to its age in pakistan. this paper examines the performance of closed ended mutual funds in pakistan by using five different ranking measures during a period of january 2009 to december 2013 and the sample consists of o...