Portfolio
View article: Portfolio optimization: A mean-variance approach for non-Markovian regime-switching markets
Portfolio optimization: A mean-variance approach for non-Markovian regime-switching markets Open
This paper develops a novel multi-period mean-variance portfolio optimization framework for non-Markovian regime-switching markets, where state transition probabilities exhibit strong path-dependence. We propose an innovative dynamic progr…
View article: Elementos de evaluación de políticas editoriales alineadas con la ciencia abierta: preprints, datos de investigación y evaluación abierta
Elementos de evaluación de políticas editoriales alineadas con la ciencia abierta: preprints, datos de investigación y evaluación abierta Open
[319] La ciencia abierta se ha consolidado como un movimiento clave para transformar la comunicación científica mediante transparencia, colaboración y accesibilidad. Entre sus dimensiones centrales destacan la evaluación por pares abierta …
View article: Low Financial Risk of Default and Productive Use of Assets Through Hidden Markov Models
Low Financial Risk of Default and Productive Use of Assets Through Hidden Markov Models Open
This paper analyzes solvency dynamics in Ecuador’s mutualist segment by modeling the joint behavior of the productive-assets-to-total-assets ratio (PATR) and portfolio-specific delinquency rates. Using monthly supervisory data from the Sup…
View article: Cognitive Architecture and Adversarial Antifragility: The Strategic Portfolio and Capability Spectrum of Adrian Lei Martinez-Conol
Cognitive Architecture and Adversarial Antifragility: The Strategic Portfolio and Capability Spectrum of Adrian Lei Martinez-Conol Open
View article: Optimizing CAPM Predictive Efficiency Across Key Sectors: A Five-Year Empirical Study of Technology, Financials, Energy, and Retail
Optimizing CAPM Predictive Efficiency Across Key Sectors: A Five-Year Empirical Study of Technology, Financials, Energy, and Retail Open
The Capital Asset Pricing Model (CAPM) has long been a foundational framework in finance for predicting asset returns based on systematic risk. It assumes that expected returns are a linear function of an assets beta relative to the market…
View article: Dataset of health insurance portfolio
Dataset of health insurance portfolio Open
The data is formatted as a spreadsheet, encompassing the primary activities over a span of three full years (2017, 2018 and 2019) concerning non-life health insurance portfolio. This dataset comprises 228,711 rows and 42 columns. Each row …
View article: Elementos de evaluación de políticas editoriales alineadas con la ciencia abierta: preprints, datos de investigación y evaluación abierta
Elementos de evaluación de políticas editoriales alineadas con la ciencia abierta: preprints, datos de investigación y evaluación abierta Open
[319] La ciencia abierta se ha consolidado como un movimiento clave para transformar la comunicación científica mediante transparencia, colaboración y accesibilidad. Entre sus dimensiones centrales destacan la evaluación por pares abierta …
View article: Unpacking Alpha in Innovation-Driven ETFs: A Comparative Study of Artificial Intelligence and Blockchain Funds
Unpacking Alpha in Innovation-Driven ETFs: A Comparative Study of Artificial Intelligence and Blockchain Funds Open
This paper evaluates the performance and portfolio role of Artificial Intelligence (AI) and Blockchain exchange-traded funds (ETFs) based on monthly returns from 2010 to 2025. The findings show that both AI and Blockchain ETFs generate pos…
View article: Diversification and the Efficient Market Hypothesis in Investments
Diversification and the Efficient Market Hypothesis in Investments Open
The growth in the number of individual investors in B3, rising from 700,000 to 6.2 million between 2018 and 2022, has increased the demand for knowledge about effective financial strategies. In this context, diversification, a key concept …
View article: Quantum-Resilient Cryptography and Financial Stability in Economic Systems
Quantum-Resilient Cryptography and Financial Stability in Economic Systems Open
The accelerating adoption of quantum computing poses both unprecedented opportunities and systemic risks for global financial systems. While quantum algorithms promise breakthroughs in portfolio optimization, risk modeling, and economic fo…
View article: Strategic Management Differences Between Public and Private Firms: How Ownership Shapes Internationalization and Global Competitiveness
Strategic Management Differences Between Public and Private Firms: How Ownership Shapes Internationalization and Global Competitiveness Open
This study investigates how ownershipproxied by listing statusshapes firms choices of internationalization strategy, the efficiency of execution, and longer-run outcomes. Focusing on Chinese firms operating under the dual-circulation polic…
View article: Pollution liability insurance and corporate environmental compliance in China
Pollution liability insurance and corporate environmental compliance in China Open
This study examines the effect of a pollution liability insurance mandate on corporate environmental compliance in Shenzhen, China. We employ a triple differences design, comparing electroplating and circuit board (ECB) manufacturing firms…
View article: D6.5. Consolidated outcomes of TransformAr: Innovation Packages
D6.5. Consolidated outcomes of TransformAr: Innovation Packages Open
Europe is facing an increasing prevalence and risk of climate disasters like extreme weather events and floods. The goal of this report is to consolidate the work done in the EU Horizon 2020 project TransformAr, one of the first research p…
View article: The role of long-term purchasing in renewable energy deployment
The role of long-term purchasing in renewable energy deployment Open
The availability of investment capital for new renewable energy assets is a key challenge for power system evolution. However, the enabling conditions for renewables investments are often overlooked, which could lead to an overestimation o…
View article: Probability in Economic Decision-Making: Foundations, Applications, and Case Evidence
Probability in Economic Decision-Making: Foundations, Applications, and Case Evidence Open
Modern economies confront pervasive uncertainty from stochastic demand, volatile prices, heterogeneous preferences, and incomplete information. Probability theory provides a coherent language and tools to quantify and manage such uncertain…
View article: Portfolio Optimization via Transfer Learning
Portfolio Optimization via Transfer Learning Open
Recognizing that asset markets generally exhibit shared informational characteristics, we develop a portfolio strategy based on transfer learning that leverages cross-market information to enhance the investment performance in the market o…
View article: On the Continuity of Efficient Solution Mappings in Portfolio Optimization
On the Continuity of Efficient Solution Mappings in Portfolio Optimization Open
This paper investigates the stability of a portfolio optimization model. After obtaining explicit analytical expressions for the sets of efficient and weakly efficient portfolios and analyzing their structural characteristics, we developed…
View article: Elementos de evaluación de políticas editoriales alineadas con la ciencia abierta: preprints, datos de investigación y evaluación abierta
Elementos de evaluación de políticas editoriales alineadas con la ciencia abierta: preprints, datos de investigación y evaluación abierta Open
[319] La ciencia abierta se ha consolidado como un movimiento clave para transformar la comunicación científica mediante transparencia, colaboración y accesibilidad. Entre sus dimensiones centrales destacan la evaluación por pares abierta …
View article: Informative Risk Measuresin the Banking Industry: A Proposal based on the Magnitude-Propensity Approach
Informative Risk Measuresin the Banking Industry: A Proposal based on the Magnitude-Propensity Approach Open
Despite decades of research in risk management, most of the literature has focused on scalar risk measures (like e.g. Value-at-Risk and Expected Shortfall). While such scalar measures provide compact and tractable summaries, they provide a…
View article: A Systematic Literature Review on Mean-CVaR Based Financial Asset Portfolio Weight Allocation Using K-Means Clustering
A Systematic Literature Review on Mean-CVaR Based Financial Asset Portfolio Weight Allocation Using K-Means Clustering Open
This study aims to identify and analyze the application of the Mean-Conditional Value-at-Risk (Mean-CVaR) model in the allocation of financial asset portfolio weights combined with the K-Means Clustering algorithm. The Systematic Literatur…
View article: A theoretical paper on the complementary role played by people with developmental disabilities in the efficient market hypothesis
A theoretical paper on the complementary role played by people with developmental disabilities in the efficient market hypothesis Open
The Technical University of Munich has published a paper arguing that ADHD correlates with entrepreneurial suitability. I have also previously published a paper arguing that the subtype of autism spectrum disorder (ASD) that "is interested…
View article: Surface Rationality and Deep Mimicry: Regional Selection of Energy Priorities Under Smart Specialization 2021–2027
Surface Rationality and Deep Mimicry: Regional Selection of Energy Priorities Under Smart Specialization 2021–2027 Open
Smart specialization (RIS3) requires evidence-based priority setting, but there is still a lack of empirical evidence on whether regions are guided by their capability endowments or policy mimicry. We analyze 236 EU regions, 178,314 public…
View article: Leveraging interactive visualizations and LLM-driven explanations for transparent multi-objective portfolio management
Leveraging interactive visualizations and LLM-driven explanations for transparent multi-objective portfolio management Open
View article: Can technical analysis create returns for beta-based portfolios in the Indian market?
Can technical analysis create returns for beta-based portfolios in the Indian market? Open
Type of the article: Research ArticleAbstractBeta serves as a critical measure in portfolio optimization, capturing systematic risk and underpinning numerous asset-pricing frameworks. The present study examines the performance of beta-base…
View article: Large-scale portfolio optimization using Pauli Correlation Encoding
Large-scale portfolio optimization using Pauli Correlation Encoding Open
Portfolio optimization is a cornerstone of financial decision-making, traditionally relying on classical algorithms to balance risk and return. Recent advances in quantum computing offer a promising alternative, leveraging quantum algorith…
View article: A machine learning approach to risk based asset allocation in portfolio optimization
A machine learning approach to risk based asset allocation in portfolio optimization Open
View article: Investor Sentiment and Its Mechanisms in Financial Markets: A Comprehensive Review
Investor Sentiment and Its Mechanisms in Financial Markets: A Comprehensive Review Open
Investor sentiment significantly shapes stock market behavior, influencing asset prices, trading activity, market risk, and portfolio allocation. This review synthesizes conceptual frameworks, empirical evidence, and mechanisms through whi…
View article: Quantile Modelling of the Moderating Role of Renewable and Nuclear Energy in the Transportation and Environmental Sustainability Nexus
Quantile Modelling of the Moderating Role of Renewable and Nuclear Energy in the Transportation and Environmental Sustainability Nexus Open
This study examines the moderating effects of renewable and nuclear energy on the relationshipbetween transportation index (air and land) and environmental sustainabilityfrom 1995 to 2022 across the top 27 polluting countries. The study em…
View article: Early Years Digital Portfolio
Early Years Digital Portfolio Open
The Early Years Digital Portfolio (EYDP) project https://eydigifolio.ipb.pt/, developed under the Erasmus+ programme, aims to modernize early childhood education by introducing an innovative digital system that supports the documentation, …
View article: A derivative-free trust-region approach for Low Order-Value Optimization problems
A derivative-free trust-region approach for Low Order-Value Optimization problems Open
The Low Order-Value Optimization (LOVO) problem involves minimizing the minimum among a finite number of function values within a feasible set. LOVO has several practical applications such as robust parameter estimation, protein alignment,…