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Optimal Portfolio Structuring in Emerging Stock Markets Using Robust Statistics

Fernando R. Q. Reyna, Antonio M. Duarte Júnior, Beatriz V. M. Mendes, Oscar Porto
2005 Brazilian Review of Econometrics  
Extreme events in emerging markets have already been verified to distort the results obtained when using standard mathematical models in several situations, including optimal portfolio structuring.  ...  The direct use of standard mathematical models proposed and tested in more developed markets is not always recommended in emerging markets.  ...  Definition 2 If x * is an optimal solution for the GAMM, it represents an optimal portfolio composition.  ... 
doi:10.12660/bre.v25n22005.2502 fatcat:dikzzyumfza4tnk3elrwmx4kee

The contribution of the African capital markets in the diversification of investment global portfolios

Barreto Alexandrino
2017 African Journal of Business Management  
This study aims to evaluate the contribution of the African capital markets in the diversification of investment global portfolios.  ...  This methodology in addition to producing good results, is more restrained in the composition of investment portfolios than the other methods.  ...  Figure 4 . 4 Portfolio performances of the investment strategies for each optimization models (This figure shows us the portfolio performances of the investment strategies for each optimization model measured  ... 
doi:10.5897/ajbm2017.8366 fatcat:qxrmn276urdbhekzscf5br5ih4


Fernando García, Jairo González-Bueno, Javier Oliver, Rima Tamošiūnienė
2019 Journal of Business Economics and Management  
Markowitz proposed an approach to determine the optimal composition of a portfolio analysing the trade-off between return and risk.  ...  In this line of research, our proposal extends the mean-semivariance portfolio selection model to a multiobjective credibilistic model that besides risk and return, also considers the price-to-earnings  ...  Candidate stocks to be included in the investment portfolio are 46 listed stocks (n = 46) on the MILA Market: 23 Mexican, 18 Chilean, 3 Colombian and 2 Peruvian stocks.  ... 
doi:10.3846/jbem.2019.8317 fatcat:oovauus6v5cunnvnuaqfto2enq

The Effects of Systemic Risk on the Allocation between Value and Growth Portfolios

Gabriel Penagos, Gonzalo Rubio
2013 Journal of Mathematical Finance  
jumps on the optimal portfolio investment strategies across value and growth equity portfolios.  ...  Given the striking effects of the recent financial turmoil, and the importance of value and growth portfolios for both local and international portfolio allocation, we investigate the effects of systemic  ...  Composition of the Risky Portfolios.  ... 
doi:10.4236/jmf.2013.31a016 fatcat:jhnskb4j35ggtjtgget3c23oba

Risk-Based Indexation

Paul Demey, Sébastien Maillard, Thierry Roncalli
2010 Social Science Research Network  
These portfolios are generally concentrated in a few stocks and present some lack of diversification.  ...  A capitalization-weighted index is the most common way to gain access to broad equity market performance.  ...  MEXBOL (Mexico Bolza Index) is an index of leading Mexican stocks traded on the Mexican Stock Exchange.  ... 
doi:10.2139/ssrn.1582998 fatcat:visuxd6xk5a6xdbfsaa5vyxtxy

A Survey on Impact of Bio-inspired Computation on Stock Market Prediction

Smruti Rekha Das, Debahuti Mishra, Minakhi Rout
2017 Journal of Engineering Science and Technology Review  
Financial forecasting is one of the imperative fields of research, where investors invest money and get restless for the future changes of the stock values in the market.  ...  Most optimization techniques have been used for training the weights of forecasting models. Since no single optimization technique is invariably superior to others.  ...  It is official for the stock market investor to take more precise and informed investment decision, so for this, finding more productive prediction methods for stock market index is an absolute necessity  ... 
doi:10.25103/jestr.103.15 fatcat:hash5nemh5fntcgwscnifoavay

How interrelated are MIST equity markets with the developed stock markets of the world?

Vinodh Madhavan, David McMillan
2017 Cogent Economics & Finance  
Consequently, MIST equity markets do offer portfolio diversification avenues for international investors.  ...  To start with, the author employs static bivariate and multivariate Johansen cointegration tests to test for long-run relationship between each of MIST equity markets and the developed stock markets.  ...  Data utilized The different national indices considered for this study include Mexican Bolsa IPC Index (Mexico), Jakarta Stock Exchange Composite Index (Indonesia), Korea Stock Exchange KOSPI Index (South  ... 
doi:10.1080/23322039.2017.1362822 fatcat:h7hb2z6ykralre6zjgmb4cnsy4

Cross-Hedging Portfolios in Emerging Stock Markets: Evidence for the LATIBEX Index

Pablo Urtubia, Alfonso Novales, Andrés Mora-Valencia
2021 Mathematics  
We consider alternative possibilities for hedging spot positions on the FTSE LATIBEX Index, the index of the only international market exclusively for Latin American firms that is denominated by the euro  ...  We explore the plausibility of employing futures on four stock market indices: EUROSTOXX 50, S&P500, BOVESPA, and IPC, and simulate the results that could be obtained by a hedge position based on either  ...  The presence of Mexican firms is also important, but Brazilian firms have the largest weights in the composition of the LATIBEX index.  ... 
doi:10.3390/math9212736 fatcat:nnnghvfilvao3ok7jnxwulxx2a

Cryptocurrencies as an asset class in portfolio optimisation

Olha Holovatiuk
2020 Central European Economic Journal  
Portfolio optimisation with the Modern Portfolio Theory showed an increase in the Sharpe ratio of tangency portfolios with the inclusion of CRIX.  ...  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.  ...  A plot of each possible composition of the portfolio on the risk-return space defines an efficient frontier.  ... 
doi:10.2478/ceej-2020-0004 fatcat:sg7yrljrpfam5hnq2ywzq7pasy

Data Science in Economics: Comprehensive Review of Advanced Machine Learning and Deep Learning Methods

Saeed Nosratabadi, Amirhosein Mosavi, Puhong Duan, Pedram Ghamisi, Ferdinand Filip, Shahab S. Band, Uwe Reuter, Joao Gama, Amir H. Gandomi
2020 Mathematics  
Application domains include a broad and diverse range of economics research from the stock market, marketing, and e-commerce to corporate banking and cryptocurrency.  ...  The analysis is performed on the novel data science methods in four individual classes of deep learning models, hybrid deep learning models, hybrid machine learning, and ensemble models.  ...  Acknowledgments: Support of the Alexander von Humboldt Foundation is acknowledged. Conflicts of Interest: The authors declare no conflict of interest.  ... 
doi:10.3390/math8101799 fatcat:mcbncvat4rfxpd6ob5gkl72qiy


2015 Annals of Actuarial Science  
Members of the Institute and Faculty of Actuaries can also access these journals directly by registering for the eLibrary. A password is available on request.  ...  Single copies of the papers listed here can be obtained, subject to copyright law, by contacting the libraries. There may be a charge for this service.  ...  An OLG model for optimal investment and insurance decisions. 149-172.  ... 
doi:10.1017/s1748499515000044 fatcat:tichq2o465bchfbulibdedq7du

Re-evaluating cryptocurrencies' contribution to portfolio diversification – A portfolio analysis with special focus on German investors [article]

Tim Schmitz, Ingo Hoffmann
2020 arXiv   pre-print
Moreover, we control for changes of the results, if transaction costs/illiquidities on the cryptocurrency market are additionally considered.  ...  We find that cryptocurrencies can improve portfolio diversification in a few of the analyzed windows from our dataset (consisting of weekly observations from 2014-01-01 to 2019-05-31).  ...  Acknowledgement: We thank for generously providing the  ... 
arXiv:2006.06237v2 fatcat:4uyjyu7zn5eb7fzpihbmpx2ewe

Systemic Risk and International Portfolio Choice

Sanjiv Ranjan Das, Raman Uppal
2002 Social Science Research Network  
Second, we determine an investor's optimal portfolio for this model of returns. Third, we show how one can estimate the model using the method of moments.  ...  systemic risk is of the order $1 for every $1000 of initial investment.  ...  For these two sets of weights, the last two columns of the table give the composition of the risky-asset portfolio, which is obtained by dividing the weight for each index by the total investment in risky  ... 
doi:10.2139/ssrn.354388 fatcat:g6awrofrd5enjd4rcxlzgbr5cq

Evolving Equity Market Interdependencies: Evidence from Emerging Markets

Shalini Talwar
2015 International Journal of Economics and Finance  
Most markets Table large extent of contemporaneous correlation with their own innovation and the impact of other markets on their variance is limited to under 15%.  ...  This paper examines dynamic linkages among the equity markets of Mexico, Indonesia, Nigeria and Turkey employing dollar denominated daily closing price data of the chosen indices from to ascertain the  ...  research can be undertaken to ascertain the interdependencies among these markets by using different orders of varaibles for Cholesky decomposition.  ... 
doi:10.5539/ijef.v7n8p38 fatcat:cagijt3qj5gljbr7actlic4afi

Possibilities for stock market investment using psychological analysis

Josef Novotný
2015 Prace Naukowe Uniwersytetu Ekonomicznego we Wrocławiu  
Pessimism and optimism change on the capital markets the same as people's moods.  ...  This paper focuses on the importance of psychological analysis and its significance for investors when investing on stock markets.  ...  Słowa kluczowe: biznesmen, portfolio, podejście psychologiczne, badania, giełda.  ... 
doi:10.15611/pn.2015.381.21 fatcat:4eekfn6m7faaxiv7nsukxfpepe
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