This paper features an analysis of the effectiveness of a range of portfolio diversification strategies, with a focus on down-side risk metrics, as a portfolio diversification strategy in a European market context. We apply these measures to a set of...
In China, Tibetan areas have generally high altitudes and abnormal climates, and many areas have faced a variety of risks such as food security, land degradation disasters, and diseases. The Tibetan region’s economic development level is lower...
This research paper explores the complicated connection between uncertainty and the Markowitz asset allocation framework, specifically investigating how mistakes in estimating parameters significantly impact the performance of strategies during out-o...
Behavioral finance literature shows that in addition to Markowitz’s rate of return and risk, private investors consider various other stock features. This paper discusses the problem of determining investors’ preferences for portfolio sel...
The present study aims to develop a risk-based approach to finding optimal solutions for life extension management for offshore wind farms based on Markowitz’s modern portfolio theory, adapted from finance. The developed risk-based approach assumes t...
This paper aims to design a quadratic optimization model of an investment portfolio based on value-at-risk (VaR) by entering risk-free assets and company liabilities. The designed model develops Markowitz’s investment portfolio optimization mod...
Quantitative asset allocation remains a critical challenge in modern finance, particularly due to the inherent uncertainty of expected returns (μ) and the sensitivity of portfolio outcomes to the stability of portfolio weights. This study conducts...
In this paper, we compared the models for selecting the optimal portfolio based on different risk measures to identify the periods in which some of the risk measures dominated over others. For decades, the best known return-risk model has been Markow...
This paper develops a novel hybrid framework that integrates clustering-enhanced Particle Swarm Optimization (PSO) with stretching techniques to solve Markowitz’s quadratic portfolio optimization problem. The proposed approach avoids local opti...
This paper develops a portfolio construction methodology integrating behavioral finance principles with machine learning to model how cognitive biases systematically alter asset allocation decisions. We introduce a Distorted Value Transformation fram...
The paper examines the application of uncertainty theory to portfolio decision making, specifically focusing on constructing portfolio models based on uncertain preference relations. Firstly, we establish the theoretical foundation by introducing the...
This survey offers a succinct overview of the General Framework of Portfolio Theory (GFPT), consolidating Markowitz portfolio theory, the growth optimal portfolio theory, and the theory of risk measures. Central to this framework is the use of convex...
In this paper, we introduce the MSCI China A-shares index (MCASI) and analyze MCASI’s properties. From the perspective of index investment, we found that MCASI’s investor sentiments, both overnight sentiment and BW sentiment, provide significant pred...
Using a unique dataset of 50 listed companies that meet the majority of the OECD requirements for social impact investments, we construct a social impact finance stock index and investigate how investing in social impact firms can contribute to portf...
We develop a robust continuous time portfolio optimization framework that incorporates time-varying ESG risk through dynamically evolving drift ambiguity. Building on the equivalence between linear ESG penalties in mean-variance optimization and robu...
In this study, we tested the benefit of using Markov-Switching (M-S) models to forecast the views of the 26 most traded stocks in the US in a Black–Litterman (B–L) optimal selection context. With weekly historical data of these stocks fro...
Virtual currency represents a specific technological innovation on financial markets. Bitcoin and other cryptocurrencies are popular alternatives to traditional cash and investment. We indicate a research gap in the literature review. We find out tha...
In this challenging and innovative article, we propose a framework for the consumer behavior named “consumer financial spinning”. It occurs when borrowers-consumers of products with high financial stakes accumulate unsustainable debt and disconnect f...
Recently, liquidity issues in financial markets and portfolio asset management have attracted much attention among investors and scholars, fuelling a stream of research devoted to exploring the role of liquidity in investment decisions. In this paper...
This study addresses the cooperative development problem between shipbuilding enterprises and suppliers under supply risk by improving and optimizing the Markowitz model. A mean-risk multi-period linear programming decision model and a nonlinear prog...
This study investigates the profitability of portfolios that integrate asymmetric fractality within the Black–Litterman (BL) framework. It predicts 10-day-ahead exchange-traded fund (ETF) prices using recurrent neural networks (RNNs) based on h...
Portfolio management typically aims to achieve better returns per unit of risk by building efficient portfolios. The Markowitz framework is the classic approach used when decision-makers know the expected returns and covariance matrix of assets. Howe...
Land use planning involves making an appropriate decision and selecting a use over other alternatives. A step-by-step methodology was developed to evaluate the optimal combination of regional land use technologies and the spatial allocation. For a re...
Market indices serve as a benchmark for performance comparison, guide asset allocation decisions, and reflect overall market sentiment and economic conditions, thereby influencing investment strategies by representing a segment of the market. Unquest...
This paper develops a model-driven analytical framework for portfolio optimization under a multidimensional Black–Scholes model with time-varying parameters, where both the drift and volatility functions evolve linearly over time. Within this f...
This paper uses linear mean–variance preferences within the Markowitz mean–variance framework to characterize bidders’ trade-off between return and risk and extends first- and second-price sealed-bid auction models to risky environm...
In this paper, we apply the Markowitz portfolio optimization technique based on mean-variance and semi-variance as measures of risk on stocks listed on the South Pacific Stock Exchange, Fiji. We document key market characteristics and consider monthl...
In the oil and gas industry, which is the basis of the Russian energy market, a significant and urgent question arises: How to distribute companies according to their investment attractiveness? Accordingly, quantitative indicators are needed. Lacking...
The article deals with the problem of adaptation of the Russian oil and gas company (Novatek, Russia) to the rapidly changing external environment, the avalanche of data from competitors, and the need to filter important information for business deve...