|
|
|
|
|
Apichat Chaweewanchon and Rujira Chaysiri
With the advances in time-series prediction, several recent developments in machine learning have shown that integrating prediction methods into portfolio selection is a great opportunity. In this paper, we propose a novel approach to portfolio formation...
ver más
|
|
|
|
|
|
|
|
|
|
|
Bruno Ribeiro Castro,Andrea Maria Accioly Fonseca Minardi
Pág. 143 - 161
We intend to investigate whether active portfolio managers have higher security selection ability than passive managers in Brazil. We built net monthly historical returns and estimated gross historical returns series from January 1996 till October 2006 o...
ver más
|
|
|
|
|
|
|
|
|
|
|
Yuefeng Cen, Mingxing Luo, Gang Cen, Cheng Zhao and Zhigang Cheng
It is meaningful to analyze the market correlations for stock selection in the field of financial investment. Since it is difficult for existing deep clustering methods to mine the complex and nonlinear features contained in financial time series, in ord...
ver más
|
|
|
|
|
|
|
|
|
|
|
?. ?. Khavruk, O. O. Parkhomenko
Pág. 17 - 28
|
|
|
|
|
|
|
|
|
|
|
Nadisah Zakaria,Fariza Hashim
Pág. 453 - 459
Graham?s stock selection criteria enable investors to be more cautious in selecting their portfolios in order to generate abnormal return. Graham?s model was widely examined in various developed market where the stock markets and companies are more matur...
ver más
|
|
|
|
|
|
|
|
|
|
|
Cheng Juan Zhan, William Rea and Alethea Rea
|
|
|
|
|
|
|
|
|
|
|
Cheng Juan Zhan, William Rea and Alethea Rea
We report the results of fifteen sets of portfolio selection simulations using stocks in the ASX200 index for the period May 2000 to December 2013. We investigated five portfolio selection methods, random selection, selection within industrial groups, an...
ver más
|
|
|
|
|
|
|
|
|
|
|
K. J. Carter,J. F. Affleck-Graves,A. H. Money
AbstractThe application of the standard techniques of portfolio selection on the 34 sectors comprising the JSE All Share index is undertaken for the three equal non-overlapping five-year periods between February 1965 and January 1980. Efficient portfolio...
ver más
|
|
|
|
|
|
|
|
|
|
|
K. J. Carter,J. F. Affleck-Graves,A. H. Money
AbstractThe application of the standard techniques of portfolio selection on the 34 sectors comprising the JSE All Share index is undertaken for the three equal non-overlapping five-year periods between February 1965 and January 1980. Efficient portfolio...
ver más
|
|
|
|
|
|
|
|
|
|
|
Yizheng Zhang, Liuhong Luo and Hongjun Li
Extracting k" role="presentation">??k
k
-order maximal-sum principal submatrix from an n" role="presentation">??n
n
-order real matrix is a typical combinatorial optimization problem and an NP-hard problem. To improve the computational efficiency of solv...
ver más
|
|
|
|
|
|
|
|
|
|
|
Kittipob Saetia and Jiraphat Yokrattanasak
Machine learning for stock market prediction has recently been popular for identifying stock selection strategies and providing market insights. In this study, we adopted machine learning algorithms to analyze technical indicators, and Google Trends sear...
ver más
|
|
|
|
|
|
|
|
|
|
|
Abdellilah Nafia, Abdellah Yousfi and Abdellah Echaoui
In recent years, a great deal of attention has been devoted to the use of neural networks in portfolio management, particularly in the prediction of stock prices. Building a more profitable portfolio with less risk has always been a challenging task. In ...
ver más
|
|
|
|
|
|
|
|
|
|
|
Jelena Z. Stankovic,Evica Petrovic,Ksenija Dencic-Mihajlov
Pág. 017 - 026
Despite its wide use in practice, Modern Portfolio Theory and Markowitz?s approach to optimization, which is based on quadratic programming and the first two moments of the probability distribution of returns as major parameters, was faced with criticism...
ver más
|
|
|
|
|
|
|
|
|
|
|
André Ricardo de Pinho Ronzani, Osvaldo Candido and Wilfredo Fernando Leiva Maldonado
|
|
|
|
|
|
|
|
|
|
|
André Ricardo de Pinho Ronzani, Osvaldo Candido and Wilfredo Fernando Leiva Maldonado
In this work, a Capital Asset Pricing Model (CAPM) with time-varying betas is considered. These betas evolve over time, conditional on financial and non-financial variables. Indeed, the model proposed by Adrian and Franzoni (2009) is adapted to assess th...
ver más
|
|
|
|
|
|
|
|
|
|
|
Kalu O. Emenike
AbstractThe direction and intensity of volatility transmission between the money and stock markets are important for portfolio selection and diversification, optimal hedging strategy, financial market regulation, and risk management. The purpose of this ...
ver más
|
|
|
|
|
|
|
|
|
|
|
Ilham Boularhmane,Rajae Aboulaich
Pág. 1254 - 1261
Even though companies? valuation techniques have evolved and have been developed into more sophisticated methods, there is still a big dilemma in the investing world about finding the price of a company. Our research focus on finding the price for a comp...
ver más
|
|
|
|
|
|
|
|
|
|
|
H. Alexander Schiebel
AbstractIt seems logical to assume that GAAP aimed at informing investors show a higher association with share prices (value relevance) than GAAP aimed at protecting creditors. The majority of empirical studies support this assumption. This paper examine...
ver más
|
|
|
|
|
|
|
|
|
|
|
Iman Harymawan, Brian Lam, Mohammad Nasih and Rumayya Rumayya
This study examines the relationship between firm-level political connections and stock price crash risk in Indonesia. It employs the difference-in-difference design to deal with the self-selection bias issue regarding the choice of the firms to become a...
ver más
|
|
|
|
|
|
|
|
|
|
|
M. S. Tikhov,Yu. S. Romen,A. V. Belousov
Pág. 86 - 93
An analysis of existing approaches to defining the sites of installation of measuring devices and the number of runs for getting reliable information in rolling stock track impact tests has been performed. A method of correction of the number of runs and...
ver más
|
|
|
|
|
|