Globally, many countries are experiencing economic growth while concurrently increasing their energy consumption. Several have begun to consider a low-carbon energy mix to mitigate the environmental impacts caused by increased fossil fuel consumption...
This paper investigates portfolio optimization methodologies and short-term investment strategies in the context of the cryptocurrency market, focusing on ten major cryptocurrencies from June 2020 to March 2024. Using hourly data, we apply the Kurtos...
In this paper, we propose a generalized multiperiod mean-variance portfolio optimization based on consideration of benchmark orientation and intertemporal restrictions, in which the investors not only focus on their own performance but also tend to c...
In this paper, we provide theoretical and policy support for quota-allocation strategies based on a national unified renewable energy (RE) power market. Renewable portfolio standards (RPSs) are of great significance in promoting the stable developmen...
In solving the portfolio optimization problem, the mean-semivariance (MSV) model is more complicated and time-consuming, and their relations are unbalanced because they conflict with each other due to return and risk. Therefore, in order to solve the...
This study introduces a novel portfolio optimization approach that combines Bacterial Foraging Optimization (BFO) with risk management techniques and Sharpe ratio analysis. BFO, a nature-inspired algorithm, is employed to construct diversified portfo...
Over the last few decades, growing attention to the topic of social responsibility has affected financial markets and institutional authorities. Indeed, recent environmental, social, and financial crises have inevitably led regulators and investors t...
This paper addresses the portfolio optimisation problem within the jump-diffusion stochastic differential equations (SDEs) framework. We begin by recalling a fundamental theoretical result concerning the existence of solutions to the Black–Scho...
In this study, we investigate the return propagation mechanism, hedging effectiveness, and portfolio performance across several common agricultural commodities, crude oil, and S&P 500 index, ranging from July 2000 to June 2024 by using a time-var...
Energy retailers that sell energy at fixed prices are at risk of bankruptcy due to instantaneous fluctuations in wholesale electricity prices. Energy derivatives, e.g., electricity options, can be purchased by energy retailers then sold to customers...
In this paper we investigate portfolio optimization under Value at Risk, Average Value at Risk and Limited Expected Loss constraints in a continuous time framework, where stocks follow a geometric Brownian motion. Analytic expressions for Value at Ri...
20 April 2025
This study investigates the application of large language models (LLMs) in sentiment analysis of financial news and their use in developing effective investment strategies. We conducted sentiment analysis on news articles related to the top 30 compan...
In this paper, the possibility of using fundamental weighting as a tool to intentionally tilt a portfolio toward specific and unobservable risk factors in the illiquid and undeveloped Croatian stock market is explored. Thus far, fundamental-weighting...
In the present paper, we investigate the Merton portfolio management problem in the context of non-exponential discounting, a context that gives rise to time-inconsistency of the decision-maker. We consider equilibrium policies within the class of op...
In this paper, we propose an adaptive entropy model (AEM), which incorporates the entropy measurement and the adaptability into the conventional Markowitz’s mean-variance model (MVM). We evaluate the performance of AEM, based on several portfol...
We investigate the profitability of systematic sector rotation strategies in the Canadian equity market using TSX 60 constituents (2000–2025). Testing 72 distinct strategies across three theoretical frameworks—momentum, mean-reversion, an...
The portfolio optimization problem generally refers to creating an investment portfolio or asset allocation that achieves an optimal balance of expected risk and return. These portfolio returns are traditionally assumed to be continuous random variab...
In this third and final paper of our series on the topic of portfolio optimization, we introduce a further generalized portfolio selection method called generalized entropic portfolio optimization (GEPO). GEPO extends discrete entropic portfolio opti...
We consider the problem of portfolio optimization with a correlation constraint. The framework is the multi-period stochastic financial market setting with one tradable stock, stochastic income, and a non-tradable index. The correlation constraint is...
An efficient and effective portfolio provides maximum return potential with minimum risk by choosing an optimal balance among assets. Therefore, the objective of this study is to analyze the performance of optimized portfolios in minimizing risk and...
A quantum game is constructed from a sequence of independent and identically polarised spin-1/2 particles. Information about their possible polarisation is provided to a bettor, who can wager in successive double-or-nothing games on measurement outco...
In this paper, we deal with the possibility of using econophysics concepts in dynamic portfolio optimization. The main idea of the research is that combining different methodological aspects in portfolio selection can enhance portfolio performance ov...
Heavy tailedness and interconnectedness widely exist in stock returns and large insurance claims, which contributes to huge losses for financial institutions. Diversification ratio (DR) measures the degree of diversification using the Value-at-Risk,...
Portfolio optimization and quantitative risk management have been studied extensively since the 1990s and began to attract even more attention after the 2008 financial crisis. This disastrous occurrence propelled portfolio managers to reevaluate and...
This paper proposes modified mean-variance risk measures for long-term investment portfolios. Two types of portfolios are considered: constant proportion portfolios and increasing amount portfolios. They are widely used in finance for investing asset...
This paper applies the mean-variance portfolio optimization (PO) approach and the stochastic dominance (SD) test to examine preferences for international diversification versus domestic diversification from American investors’ viewpoints. Our PO resu...
Affine term structure models are widely used for studying the relationship between yields on assets of different maturities. However, it can be a helpful tool for the construction of fixed-income portfolios. The monitoring of these bond portfolios is...
This paper proposes a dynamic portfolio allocation framework that integrates deep reinforcement learning (DRL) with classical portfolio optimization to enhance rebalancing strategies and risk–return management. Within a unified reinforcement-le...
Investors wish to obtain the best trade-off between the return and risk. In portfolio optimization, the mean-absolute deviation model has been used to achieve the target rate of return and minimize the risk. However, the maximization of entropy is no...
The performance of a financial portfolio depends on the output of two tasks: first, a forecasting process, where quantities of interest for the investors, such as the rate of return and risk for each stock, are predicted into the future, and second,...
Smart beta strategy is an increasingly frequent approach to investment analysis for portfolio selection and optimization and it can be combined with environmental, social, and governance (ESG) considerations. In order to verify the impact of the inte...
The article describes the original information technology of the algorithmic trading, designed to solve the problem of forming the optimal portfolio of trade strategies. The methodology of robust optimization, using the Ledoit–Wolf shrinkage method f...
The Black–Scholes formula is an important formula for pricing a contingent claim in complete financial markets. This formula can be obtained under the assumption that the investor’s strategy is carried out according to a self-financing cr...
This article aims to investigate the impact of sustainable assets on dynamic portfolio optimization under varying levels of investor risk aversion, particularly during turbulent market conditions. The analysis compares the performance of two portfoli...
In this study, we assessed the impact of capital adequacy ratio (CAR) regulation in the Basel regulatory framework. This regulation was established to make the banking network robust. However, a previous work argued that CAR regulation has a destabil...
This survey aims to provide insightful and objective perspectives on the research history of quantitative portfolio management strategies with suggestions for the future of research. The relevant literature can be clustered into four broad themes: po...
In this paper, we tackle a bi-objective optimization problem in which we aim to maximize the portfolio diversification and, at the same time, minimize the portfolio volatility, where the ESG (Environmental, Social, and Governance) information is inco...
This paper addresses the problem of constructing optimal equity portfolios under volatile market conditions by minimizing realized volatility—an alternative risk quantifier that more accurately captures short-term market fluctuations than tradi...
This paper studies a variation of the continuous-time mean-variance portfolio selection where a tracking-error penalization is added to the mean-variance criterion. The tracking error term penalizes the distance between the allocation controls and a...
The Chinese government’s substantial investment in water restoration has created numerous lucrative opportunities for commercial environmental restoration enterprises. Accordingly, this research study seeks to address the primary challenge face...
In quantitative trading, stock prediction plays an important role in developing an effective trading strategy to achieve a substantial return. Prediction outcomes also are the prerequisites for active portfolio construction and optimization. However,...
This paper proposes an approximation method to create an optimal continuous-time portfolio strategy based on a combination of neural networks and Monte Carlo, named NNMC. This work is motivated by the increasing complexity of continuous-time models a...
We consider the non-adapted version of a simple problem of portfolio optimization in a financial market that results from the presence of insider information. We analyze it via anticipating stochastic calculus and compare the results obtained by mean...
In order to evaluate the impact of k-means clustering on portfolio optimization, this study groups enterprises based on profitability, liquidity, and solvency indicators. The study confirms the positive correlation between risk, return, and risk-adju...
This paper studies the portfolio selection problem where tradable assets are a bank account, and standard put and call options are written on the S&P 500 index in incomplete markets in which there exist bid–ask spreads and finite liquidity....
The mean-variance (MV) portfolio is typically formulated as a quadratic programming (QP) problem that linearly combines the conflicting objectives of minimizing the risk and maximizing the expected return through a risk aversion profile parameter. In...
This paper explores the application of Random Matrix Theory (RMT) as a methodological enhancement for portfolio selection within financial markets. Traditional approaches to portfolio optimization often rely on historical estimates of correlation mat...
In this article, inspired by Shi et al., we investigate the optimal portfolio selection with one risk-free asset and one risky asset in a multiple period setting under the cumulative prospect theory (CPT) risk criterion. Compared with their study, ou...
This paper reassessed the hedging properties of four major safe-haven currencies (US dollar, Swiss franc, euro, yen) in international stock portfolios covering most representative world macroeconomic areas. The main contribution to the existing liter...
A new energy transition policy in Korea has increased the importance of liquefied natural gas (LNG) in the energy mix. The Asia-Pacific LNG market is inflexible because long-term contracts are dominant. This market characteristic means that the devel...
of 6