Filters








33,150 Hits in 2.8 sec

Portfolio Selection Models and Their Discrimination

Satadal Ghosh, Sujit Kumar Majumdar
2011 International Journal of Operations Research and Information Systems  
Besides fuzzy and possibility portfolio selection models, another group of portfolio selection models were developed to deal with imprecision and subjectivity in data.  ...  the avenue for fuzzy and possibilistic programming and led to the development of Fuzzy portfolio selection models..  ... 
doi:10.4018/joris.2011040104 fatcat:ztyhbmtfbbbfxm3ycdedmdlucy

Predictive power of Brazilian equity fund performance using R2 as a measure of selectivity

Marcelo dos Santos Guzella, Carlos Heitor Campani
2017 Revista Contabilidade & Finanças  
Dynamic equally-weighted portfolios of funds were simulated, according to their past R2 and alphas, with monthly rebalancing and 12-month moving windows.  ...  The portfolio of the most selective funds had a Sharpe ratio of 0.0494, on a monthly basis, while the portfolio of the least selective funds had a Sharpe ratio of -0.0314.  ...  without discrimination by alpha 0.0409 0.0468 0.0274 -0.0081 -0.0421 0.0124 Note: the portfolios are formed through monthly selection of funds according to their alpha and coef cient of determination  ... 
doi:10.1590/1808-057x201703590 fatcat:itudyu47nfe2toibxcddwlm2ne

A model for achieving the allocative efficiency of credit resources in Ukraine's banking system

Lesia Dmytryshyn, Ivan Blahun
2017 Banks and Bank Systems  
This is followed by designing an optimal credit portfolio of the banking system and comparing it with actual credit portfolios with the help of similarity metrics.  ...  The research involves establishing a set of criteria for assessing a borrower's creditworthiness and analyzing them by means of the discriminant analysis, Helwig's methods, cluster analysis, the dendrite  ...  Methodology In accordance with the research goal, designing and implementing the model involves the following stages: Selecting a set of units of analysis and the initial set of variables.  ... 
doi:10.21511/bbs.11(3).2016.01 fatcat:drojirfajzebpjyhucuwx4rozu

Stock Selection Based on Discriminant Analysis: Case of Capital Market of Bosnia and Herzegovina
English

Okicic Jasmina, Remetic-Horvath Sonja, Baris Buyukdemir
2014 Journal of Economic and Social Studies  
The main goal of this paper is to scientifically examine and propose new approach of stock selection and analysis based on multivariate technique, i.e. discriminant analysis, in order to help investors  ...  The real implications of this research can be seen in the shaping of investment strategies of potential investors looking to diversify their portfolios.  ...  The use of quantitative models and methods of stock selection has many advantages in the portfolio construction.  ... 
doi:10.14706/jecoss11421 fatcat:s3imhcpp4jgk7gp7u55z5fckz4

Evaluating the Performance of Forecasting Models for Portfolio Allocation Purposes with Generalized GRACH Method

Adel Azar, Mohsen Hamidian, Maryam Saberi, Mohammad Norozi
2017 Advances in Mathematical Finance and Applications  
Modern portfolio theory is accepted byinvestors who believe that they are not cope with the market.  ...  The resultsof this research show that the likelihood functions have the bestperformance in Forecasting the optimal portfolio allocationprob-lem.  ...  Danielsson [6] argues that forecasts should be evaluated and selected on the basis of their intended application. Many studies have used indirect measures to evaluate volatility forecasting models.  ... 
doi:10.22034/amfa.2017.529057 doaj:1b7991a12265477a84c49912f08b96b0 fatcat:lv27psks4ben7mg2xqzxqwm6hu

Page 325 of The Journal of Business Vol. 56, Issue 3 [page]

1983 The Journal of Business  
The methodology here extends theirs with an additional discriminant procedure to classify observa- tions and obtain the time series of risk level decisions required for the time series of timing performance  ...  The separable selectivity and timing perfor- mance measures and their empirical implementation described below assume a pattern of equilibrium security returns consistent with the traditional capital asset  ... 

Return Prediction Based on Discriminating market-styles with Reinforcement Learning

Zhiguo Bao, Shuyu Wang
2021 North atlantic university union: International Journal of Circuits, Systems and Signal Processing  
This thesis proposes a method based on Reinforcement Learning that automatically discriminates market-styles and automatically selects the model that best fits the current market-style from sub-models  ...  Even the models trained through the same data set, their performance is different in different market-styles.  ...  It can discriminate the market-style every day, select a sub-model that best fits the current market-style, and predict the return of all stocks in the market tomorrow to help build a portfolio.  ... 
doi:10.46300/9106.2021.15.86 fatcat:xqnetpzuzjaw7nmhmpwr4hpzny

Interpretable Multimodal Learning for Intelligent Regulation in Online Payment Systems

Shuoyao Wang, Diwei Zhu
2020 Proceedings of the Twenty-Ninth International Joint Conference on Artificial Intelligence  
Another challenge of intelligent regulation is the interpretability of complicated machine learning models.  ...  More specifically, we integrate the text and transaction information to enhance the text-trade joint-embedding learning, which clusters positive pairs and push negative pairs away from each other.  ...  .: 04INS000248C230) and Ministry of Education (Singapore), AcRF Tier 2 grant (Ref. No.: MOE2017-T2-1-044) for the funding of this research.  ... 
doi:10.24963/ijcai.2020/637 dblp:conf/ijcai/PunWW20 fatcat:pzqg37p54fctpc6qpnmqq7vmti

One-day-ahead forecast of state of turbulence based on today's economic situation

Marcin Chlebus
2018 Equilibrium. Quarterly Journal of Economics and Economic Policy  
Models built on these assumptions meet all the formal requirements and have a high predictive and discriminant ability to one-day-ahead forecast of state of turbulence based on today's economic situation  ...  The analyses were performed for 43 individual shares and 5 portfolios of shares quoted on the Warsaw Stock Exchange.  ...  for the model with full discrimination and a model without discrimination.  ... 
doi:10.24136/eq.2018.018 fatcat:u2ktf72qcfbuba3nujdmezwxbu

Takeover Prediction and Portfolio Performance: A Note

Ronan G. Powell
2001 Journal of Business Finance & Accounting  
variables for prediction models is to select on an ad hoc basis a large number of variables and examine their usefulness in the model through some filtering mechanism such as factor analysis or stepwise  ...  (i) Optimal Cut-off Probabilities and Within Sample Discrimination The selection of firms for inclusion in a portfolio is usually made on the basis of some classification rule. 9 In Palepu (1986) , the  ... 
doi:10.1111/1468-5957.00402 fatcat:gc7usrvvy5d33cvucvfl2lmqme

Market-Based Evaluation for Models to Predict Bond Ratings

Konan Chan, Narasimhan Jegadeesh
2004 Review of Pacific Basin Financial Markets and Policies  
Relative rating strength portfolios, formed by buying under-rated bonds with agency ratings lower than model ratings and selling over-rated bonds with agency ratings higher than model ratings, are employed  ...  Our results show that one version of multiple discriminant analysis model can generate a statistically significant abnormal return of 5% over a 5-year horizon.  ...  Pinches and Mingo (1973) first apply the MDA model to bond rating classifications, and demonstrate that about 60% of bonds in their sample can be correctly classified.  ... 
doi:10.1142/s0219091504000081 fatcat:l2zuodycejfalmtfx6wjk3boza

Improving Generalization in Reinforcement Learning–Based Trading by using a Generative Adversarial Market Model

Chia-Hsuan Kuo, Chiao-Ting Chen, Sin-Jing Lin, Szu-Hao Huang
2021 IEEE Access  
[4] bridged the processes of portfolio selection and weighting by using their proposed AlphaStock method.  ...  In portfolio selection, the focus is on selecting portfolio assets; in portfolio weighting, the process decides capital assignment; and, in portfolio rebalancing, a decision is made on whether and when  ... 
doi:10.1109/access.2021.3068269 fatcat:uvhptcu5jbcbtmcsra3jw7x32q

The Allocation, Characteristics, and Outcome of the Firm's Research and Development Portfolio: Comment

Ferdinand K. Levy
1968 The journal of business  
Moreover, if this is th2 case, given their paucity of data, their discriminant func- tion is probably insensitive to any under- lying assumptions within reason.  ...  THE ALLOCATION, CHARACTERISTICS, AND OUTCOME OF THE FIRM’S RESEARCH AND DEVELOPMENT PORTFOLIO: COMMENT FERDINAND K.  ... 
doi:10.1086/295048 fatcat:fdqwajdg4bhvzpfoqtfrbuyrne

PAGAN: Portfolio Analysis with Generative Adversarial Networks [article]

Giovanni Mariani, Yada Zhu, Jianbo Li, Florian Scheidegger, Roxana Istrate, Costas Bekas, A. Cristiano I. Malossi
2019 arXiv   pre-print
Once the model is trained, a portfolio is optimized by deciding the best diversification to minimize the risk and maximize the expected returns observed over the execution of several simulations.  ...  The experimental results on different portfolios representing different geopolitical areas and industrial segments constructed using real-world public data sets demonstrate promising results.  ...  the PAGAN generative and discriminative models.  ... 
arXiv:1909.10578v1 fatcat:n5zqxxnhy5dfrktrbs5smqzcla

Variable Selection for Credit Risk Model Using Data Mining technique

Kuangnan Fang, Hong Huang
2011 Journal of Computers  
In this paper, six major credit risk models, including Merton Option Pricing Model,Discriminant Analysis Model, Logistic Regression (Logit) Model, Probit Model, Survival Analysis Model, and Artificial  ...  Four mainstream credit risk rating models have been developed, however, their applicability in the Taiwan market is yet to be evaluated.  ...  We would like to thank the editor, associate editor, and referees for careful review and insightful comments, which have led to significant improvement of the article.  ... 
doi:10.4304/jcp.6.9.1868-1874 fatcat:hkd4ooz7cffz5dvn3i2bkyjeau
« Previous Showing results 1 — 15 out of 33,150 results