Related papers: Economic state classification and portfolio optimi…
The stock market offers a platform where people buy and sell shares of publicly listed companies. Generally, stock prices are quite volatile; hence predicting them is a daunting task. There is still much research going to develop more…
In this paper we develop models of asset return mean and covariance that depend on some observable market conditions, and use these to construct a trading policy that depends on these conditions, and the current portfolio holdings. After…
This paper studies a robust portfolio optimization problem under the multi-factor volatility model introduced by Christoffersen et al. (2009). The optimal strategy is derived analytically under the worst-case scenario with or without…
Portfolio optimization is a challenging problem that has attracted considerable attention and effort from researchers. The optimization of stock portfolios is a particularly hard problem since the stock prices are volatile and estimation of…
Most finance studies are discussed on the basis of several hypotheses, for example, investors rationally optimize their investment strategies. However, the hypotheses themselves are sometimes criticized. Market impacts, where trades of…
Since its conception, the cryptocurrency market has been frequently described as an immature market, characterized by significant swings in volatility and occasionally described as lacking rhyme or reason. There has been great speculation…
The debate between active and passive investment strategies has been ongoing for many years and is far from being over. In this paper, we show that the choice of an optimal portfolio management strategy depends on an investment climate,…
The Economic Complexity Index (ECI; Hidalgo & Hausmann, 2009) measures the complexity of national economies in terms of product groups. Analogously to ECI, a Patent Complexity Index (PatCI) can be developed on the basis of a matrix of…
While inflation gives an appealing explanation of observed cosmological data, there are a wide range of different inflation models, providing differing predictions for the initial perturbations. Typically models are motivated either by…
Using the latest observational data, we constrain the inflationary dynamics and the subsequent reheating epoch. Predictions for both phases can be significantly improved by employing numerically computed results compared to the slow-roll…
Uncovering the structure of socioeconomic systems and timely estimation of socioeconomic status are significant for economic development. The understanding of socioeconomic processes provides foundations to quantify global economic…
Many real-world optimisation problems involve dynamic and stochastic components. While problems with multiple interacting components are omnipresent in inherently dynamic domains like supply-chain optimisation and logistics, most research…
This paper introduces a comprehensive framework for Financial Information Theory by applying information-theoretic concepts such as entropy, Kullback-Leibler divergence, mutual information, normalized mutual information, and transfer…
Forecasting inflation in small open economies is difficult because limited time series and strong external exposures create an imbalance between few observations and many potential predictors. We study this challenge using Thailand as a…
The stochastic inflation program is a framework for understanding the dynamics of a quantum scalar field driving an inflationary phase. Though widely used and accepted, there have over recent years been serious criticisms of this theory. In…
Using data from world stock exchange indices prior to and during periods of global financial crises, clusters and networks of indices are built for different thresholds and diverse periods of time, so that it is then possible to analyze how…
Both inflation and unemployment inflict social losses. When a tradeoff exists between the two, what would be the best combination of inflation and unemployment? A well known approach in economics to address this question consists to write…
Forming quantitative portfolios using statistical risk models presents a significant challenge for hedge funds and portfolio managers. This research investigates three distinct statistical risk models to construct quantitative portfolios of…
This paper presents how the most recent improvements made on covariance matrix estimation and model order selection can be applied to the portfolio optimisation problem. The particular case of the Maximum Variety Portfolio is treated but…
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 cumulative prospect theory (CPT). Compared with their study, our novelty…