Replicating portfolio
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On the increasing importance of multiple criteria decision aid methods for portfolio selection Open
In 1952, Markowitz published his famous paper on portfolio selection that transformed the field of finance. Although over 65years have passed since then, the mean-variance model remains today the predominant model in portfolio selection. H…
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Can Bitcoin Replace Gold in an Investment Portfolio? Open
Bitcoin is an exciting new financial product that may be useful for inclusion in investment portfolios. This paper investigates the implications of replacing gold in an investment portfolio with bitcoin (“digital gold”). Our approach is to…
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Portfolios for Long-Term Investors Open
How should long-term investors form portfolios in our time-varying, multi-factor and friction-filled world? Two conceptual frameworks may help: first, look directly at the stream of payments that a portfolio and payout policy can produce. …
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Pricing and Hedging American-Style Options with Deep Learning Open
In this paper we introduce a deep learning method for pricing and hedging American-style options. It first computes a candidate optimal stopping policy. From there it derives a lower bound for the price. Then it calculates an upper bound, …
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Multiperiod portfolio optimization with multiple risky assets and general transaction costs Open
We analyze the optimal portfolio policy for a multiperiod mean–variance investor facing multiple risky assets in the presence of general transaction costs. For proportional transaction costs, we give a closed-form expression for a no-trade…
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An empirical study on construction portfolio with reference to BSE Open
The main thrust of this study is to construct optimal portfolio using Sharpe single index model with reference to BSE Sensex. Portfolio construction is an important process for the investors/ portfolio managers in the capital markets. In t…
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Real-world datasets for portfolio selection and solutions of some stochastic dominance portfolio models Open
A large number of portfolio selection models have appeared in the literature since the pioneering work of Markowitz. However, even when computational and empirical results are described, they are often hard to replicate and compare due to …
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An Entropy-Based Approach to Portfolio Optimization Open
This paper presents an improved method of applying entropy as a risk in portfolio optimization. A new family of portfolio optimization problems called the return-entropy portfolio optimization (REPO) is introduced that simplifies the compu…
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Enhanced Portfolio Optimization Open
Portfolio optimization should provide large benefits for investors, but standard mean–variance optimization (MVO) works so poorly in practice that optimization is often abandoned. Many of the approaches developed to address this issue are …
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Duality theory for portfolio optimisation under transaction costs Open
We consider the problem of portfolio optimisation with general càdlàg price processes in the presence of proportional transaction costs. In this context, we develop a general duality theory. In particular, we prove the existence of a dual …
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Markowitz Portfolio Theory and Capital Asset Pricing Model for Kuala Lumpur Stock Exchange: A Case Revisited Open
Capital Asset Pricing Model is widely used by investors to estimate the return or the moving behavior of the stock and Markowitz Model is employed to achieve portfolio diversification. This study examine whether CAPM is valid to forecast t…
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A Review on Ambiguity in Stochastic Portfolio Optimization Open
In mean-risk portfolio optimization, it is typically assumed that the assets follow a known distribution P 0, which is estimated from observed data. Aiming at an investment strategy which is robust against possible misspecification of P 0,…
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Stock Portfolio Optimization Using a Deep Learning LSTM Model Open
Predicting future stock prices and their movement patterns is a complex problem. Hence, building a portfolio of capital assets using the predicted prices to achieve the optimization between its return and risk is an even more difficult tas…
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Credit portfolio optimization: A multi-objective genetic algorithm approach Open
The algorithm for optimization of a credit portfolio has not been fully demonstrated. This paper fills the gap in the literature by presenting a general approach for optimizing a credit portfolio by minimizing the default risk of the entir…
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A CREDIBILISTIC MEAN-SEMIVARIANCE-PER PORTFOLIO SELECTION MODEL FOR LATIN AMERICA Open
Many real-world problems in the financial sector have to consider different objectives which are conflicting, for example portfolio selection. Markowitz proposed an approach to determine the optimal composition of a portfolio analysing the…
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Cryptocurrency Portfolio Selection—A Multicriteria Approach Open
This paper proposes the PROMETHEE II based multicriteria approach for cryptocurrency portfolio selection. Such an approach allows considering a number of variables important for cryptocurrencies rather than limiting them to the commonly em…
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Cover's universal portfolio, stochastic portfolio theory, and the numéraire portfolio Open
Cover's celebrated theorem states that the long‐run yield of a properly chosen “universal” portfolio is almost as good as that of the best retrospectively chosen constant rebalanced portfolio. The “universality” refers to the fact that thi…
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The maximum diversification investment strategy: A portfolio performance comparison Open
The efficacy of four different portfolio allocation strategies is evaluated according to their absolute returns during different economic conditions over a period of 10 years. A comparison is drawn between the Most Diversified portfolio (M…
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Portfolio Selection via Subset Resampling Open
As the cornerstone of the modern portfolio theory, Markowitz's mean-variance optimization is a major model adopted in portfolio management. However, the estimation errors in its input parameters substantially deteriorate its performance in…
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Influence Of Membership Function’s Shape On Portfolio Optimization Results Open
Portfolio optimization, one of the most rapidly growing field of modern finance, is selection process, by which investor chooses the proportion of different securities and other assets to held. This paper studies the influence of membershi…
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Optimization of investment portfolio management Open
The task of creating an investment portfolio by a financial institution is considered. Funds for creating a portfolio are taken from two sources: enterprise's equity funds and borrowed funds. Optimization of the created portfolio is perfor…
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APPLICATION OF THE MODERN PORTFOLIO THEORY IN DIVERSIFICATION OF THE DEBT SECURITIES PORTFOLIO IN EMERGING MARKETS Open
The term "portfolio analysis", introduced in the economic theory by Harry Markowitz, is not a new term in scientific literature. However, analysis and criticism in the papers of local and foreign authors are mainly based on the examples of…
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A Generalized Black–Litterman Model Open
Learning about experts in a portfolio choice problem: The Black–Litterman model provides a framework for combining the forecasts of an equilibrium model and the forward-looking opinions of several ...
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Cryptocurrencies as an asset class in portfolio optimisation Open
In this paper, cryptocurrencies are analysed as investment instruments. The study aims to verify whether they can be classified as an asset class and what kind of benefits they may bring to the investor's portfolio. We used 6 indices as pr…
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Multi-Period Portfolio Optimization with Investor Views under Regime Switching Open
We propose a novel multi-period trading model that allows portfolio managers to perform optimal portfolio allocation while incorporating their interpretable investment views. This model’s significant advantage is its intuitive and reactive…
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A State-of-the-Art Review of Probabilistic Portfolio Management for Future Stock Markets Open
Portfolio management has long been one of the most significant challenges in large- and small-scale investments alike. The primary objective of portfolio management is to make investments with the most favorable rate of return and the lowe…
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Portfolio Optimization Analysis with Markowitz Quadratic Mean-Variance Model Open
In this study, Markowitz mean-variance approach is tested on Istanbul Stock Exchange (BIST). 252 days of data belonging a year of 2015 are analyzed. First, a hypothetical portfolio is created. It involves ten securities with equal weights.…
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Mean-variance portfolio optimization by using time series approaches based on logarithmic utility function Open
Investments in stocks investors are also faced with the issue of risk, due to daily price of stock also fluctuate. For minimize the level of risk, investors usually forming an investment portfolio. Establishment of a portfolio consisting o…
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On Imposing ESG Constraints of Portfolio Selection for Sustainable Investment and Comparing the Efficient Frontiers in the Weight Space Open
Sustainable investment is typically fulfilled by screening of environmental, social, and governance (ESG); the screening strategies are practical and expedite sustainable-investment development. However, the strategies typically build port…
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Markowitz Model Investment Portfolio Optimization: a Review Theory Open
In the face of investment risk, investors generally diversify and form an investment portfolio consisting of several assets. The problem is the fiery proportion of funds that must be allocated to each asset in the formation of investment p…