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Journal articles on the topic 'Analysis of investment portfolio effectiveness'

Author: Grafiati

Published: 3 June 2025

Last updated: 31 July 2025

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1

Wen, Zhijian. "Theoretical Analysis of Modern Portfolio Theory." BCP Business & Management 47 (July 10, 2023): 99–104. http://dx.doi.org/10.54691/bcpbm.v47i.5177.

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The Modern portfolio theory has contributed to establishing the fundamental principles of portfolio management, and it is widely used in the finance industry to build diversified investment portfolios. The purpose of the proposed research is to evaluate the effectiveness of modern portfolio theory in the real estate industry by examining empirical evidence and case studies, assisting with real estate developers and property managers to make informed decisions about which properties to invest in and how to manage their real estate portfolios over time. Prior studies have primarily relied on his

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Bikas, Egidijus, and Algimantas Laurinavičius. "Aspects and Facilities of Financial and Real Estate Investment Portfolio Formation." Business: Theory and Practice 10, no. (2) (2009): 118–29. https://doi.org/10.3846/1648-0627.2009.10.118-129.

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The article examines a pressing problem of an effective investment portfolio formation. An effective investment portfolio is being formed from investments in the market for Lithuanian securities and real estate of Vilnius, considering the theoretical and practical aspects of forming an investment portfolio based on researches of foreign countries and Lithuanian investigation. An interpretation of different assets interaction allowed to reveal the suitability of real estate for investment portfolio diversification, safeguarding against cost rise, and the assurance of higher investment return. T

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Csesznik, Zoltán, Sándor Gáspár, Gergő Thalmeiner, and Zoltán Zéman. "Examining the effectiveness of fundamental analysis in a long-term stock portfolio." Economic Annals-ХХI 190, no. 5-6(2) (2021): 119–27. http://dx.doi.org/10.21003/ea.v190-11.

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Over the past decade, a number of modern and sophisticated methods have been developed to optimize the composition of equity portfolios. Most of these methods are based on complex mathematical or financial modelling. Less emphasis has been placed on companies’ internal data, while in recent years external data have become increasingly important. However, for long-term investments, the dominance of external data is not necessarily an efficient way to construct an appropriate portfolio. In this paper, we highlight the phenomenon that complex mathematical models, the based on simpler fundamental

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Zhen, Tiaoyao. "A Study on the Risk-Return Evaluation of Corporate Annuity Portfolios in China." Asian Trade Association 9, no. 1 (2022): 25–39. http://dx.doi.org/10.22447/jatb.9.1.202206.25.

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Purpose - The purpose of this study is to evaluate the risk-return of China’s corporate annuity portfolio. In addition, it aims to enhance the quality of corporate annuity principals to strengthen corporate annuity control and risk-return evaluation by setting performance benchmarks to evaluate the investment portfolio mechanism of the investment manager. Design/Methodology/Approach - This study combines modern portfolio theory, financial regulation theory, and risk management theory to analyze the risk-return of corporate annuity portfolios of Qiming Venture Partners. The three analysis

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Mats, Vladyslav. "Hedge performance of different asset classes in varying economic conditions." Radioelectronic and Computer Systems 2024, no. 1 (2024): 217–34. http://dx.doi.org/10.32620/reks.2024.1.17.

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In the realm of long-term investment, strategic portfolio allocation is an essential tool, especially in relation to risk management and return optimisation. There are many ways to pursue optimal portfolio composition, and their effectiveness depends on many factors, including the investor’s goals, risk appetite, and investment horizon. One of the primary means of portfolio optimisation is diversification. The core idea of diversification is to maintain a diverse portfolio with weakly correlated assets that can vastly reduce portfolio exposure to different market stress factors. Diversificatio

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ЛЮБИМОВ Н.А., ЛЮБИМОВ Н. А., and КУЗЬМИНА О. Ю. КУЗЬМИНА О.Ю. "ASSESSING THE EFFECTIVENESS OF INVESTMENT PORTFOLIO MANAGEMENT." Экономика и предпринимательство, no. 2(163) (May 9, 2024): 827–31. http://dx.doi.org/10.34925/eip.2024.163.2.162.

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В условиях интенсивного притока населения на фондовый рынок за последние несколько лет требуется более детальный анализ вопросов формирования инвестиционного портфеля. Статья посвящена исследованию оценки эффективности управления инвестиционным портфелем. Авторами рассматриваются различные показатели оценки уровня риска и доходности портфеля, предлагается ряд рекомендаций по учету этих параметров при конструировании портфеля новичками фондового рынка. Given the intense influx of people into the stock market over the past few years, a more detailed analysis of the issues of forming an investmen

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Ivanyuk, Vera A. "METHODOLOGY FOR DEVELOPING THE CONCEPT OF AN INVESTMENT PORTFOLIO BASED ON A SYSTEM ANALYSIS." SOFT MEASUREMENTS AND COMPUTING 12, no. 73 (2023): 56–69. http://dx.doi.org/10.36871/2618-9976.2023.12.006.

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This article proposes a new approach to the development of the concept of investment portfolio formation, based on the systematic deduction of the hierarchy of factors and the combination of evaluation, forecasting, and optimization mechanisms. This approach makes it possible to increase the efficiency of the portfolio by reducing periods of suboptimal conditions and quickly adapting to changes in investment conditions. The paper describes in detail the methodology for identifying significant factors, formalizing goals and strategies, and developing a mathematical model to determine the optima

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Komkov, Roman M., and Yuliya V. Semernina. "ANALYSIS OF THE EFFECTIVENESS OF STRATEGIES FOR DIVERSIFYING A STOCK PORTFOLIO ON THE RUSSIAN MARKET." EKONOMIKA I UPRAVLENIE: PROBLEMY, RESHENIYA 3/7, no. 144 (2024): 19–26. http://dx.doi.org/10.36871/ek.up.p.r.2024.03.07.002.

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This article is devoted to analyzing the effectiveness of an industry strategy for diversifying a portfolio of shares on the Russian stock market. In the current realities of sanctions and geopolitical instability of the Russian stock market, diversification plays a particularly important role in compiling and managing an investment portfolio. Spreading investments across different sectors of the economy helps mitigate potential losses in the event of force majeure in any one sector. The article emphasizes that this strategic decision also contributes to the creation of a more resilient portfo

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Myroshnychenko, Ihnat, Leonid Katranzhy, and Ganna Myroshnychenko. "CHARACTERISTICS OF BANKING INVESTMENT IN THE SECURITIES PORTFOLIO AND CRITERIAS FOR EVALUATION OF ITS EFFICIENCY." Economical 1, no. 25 (2022): 20–27. http://dx.doi.org/10.31474/1680-0044-2022-1(25)-20-27.

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Goal. Substantiation of the theoretical basis of the peculiarities of bank investment in the aspect of financial investment in accordance with the criteria for assessing the effectiveness of the securities portfolio.. Method. Substantiation of the theoretical basis of the features of bank investing is based on the methods of theoretical generalization, grouping and comparison. The study of the model of valuation of financial instruments of bank investment and criteria for the effectiveness of the securities portfolio is based on the methodology of system analysis and synthesis. Results. The pr

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Manap, Abdul, Yusnindar Yusnindar, Lilik Swartana Angga Buana, Saut Pane, and Mohamad Ramadhan Agung. "Financial Performance of Investment Companies Using the Treynor-Black Method: An Analysis of Risk-Adjusted Returns and Portfolio Optimization." RIGGS: Journal of Artificial Intelligence and Digital Business 4, no. 2 (2025): 83–90. https://doi.org/10.31004/riggs.v4i2.457.

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This study evaluates the financial performance of investment firms using the Treynor-Black Method, which optimizes portfolios by combining high-alpha assets with the market portfolio to enhance risk-adjusted returns. The study applies the method to a sample of investment firms to examine its effectiveness in improving key performance metrics, including the Sharpe Ratio, Treynor Ratio, and Jensen's Alpha. The findings indicate that the Treynor-Black Method substantially improves portfolio performance, with optimized portfolios exhibiting higher Sharpe and Treynor Ratios and positive Jensen's Al

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Manap, Abdul, Glorya Glorya, Rievay Rievay, Septina Gabriela, and Yumia Ancella Zahra. "Evaluating Financial Performance of Investment Companies Using the Treynor-Black Method: An Analysis of Risk-Adjusted Returns and Portfolio Optimization." Journal on Economics, Management and Business Technology 3, no. 1 (2024): 33–40. https://doi.org/10.35335/jembut.v3i1.244.

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This research evaluates the financial performance of investment companies using the Treynor-Black Method, which optimizes portfolios by combining high-alpha assets with a market portfolio to enhance risk-adjusted returns. The study applies this method to a sample of investment companies to examine its effectiveness in improving key performance metrics, including the Sharpe Ratio, Treynor Ratio, and Jensen’s Alpha. Findings indicate that the Treynor-Black Method substantially improves portfolio performance, with optimized portfolios showing higher Sharpe and Treynor Ratios and positive Jensen’s

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Qu, Shengxi. "Comparative Analysis of Optimal Investment Strategies Based On 6 Stocks." SHS Web of Conferences 208 (2024): 04016. https://doi.org/10.1051/shsconf/202420804016.

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In the world of financial management, constructing an effective investment portfolio is a key task for investors. An optimal portfolio allows investors to achieve their financial goals while managing potential risks in a dynamic and uncertain market environment. It is acknowledged that one foundational principle in portfolio construction is risk diversification. In portfolio construction, two popular methods for optimizing investment decisions are the minimal volatility portfolio and the maximum Sharpe ratio portfolio. This research collects historical stock data from Nasdaq to evaluate the ef

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Hadiat Hadiat. "Efektivitas Diversifikasi Portofolio Investasi pada Instrumen Syariah." AL-AMWAL: Jurnal Ekonomi dan Perbankan Syariah 2, no. 2 (2024): 61–67. https://doi.org/10.69768/ja.v2i2.29.

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This study aims to evaluate the effectiveness of diversifying investment portfolios in sharia instruments, focusing on the potential for risk reduction and increased returns through an appropriate diversification approach. The method used is a portfolio analysis based on the Markowitz model using sharia stock data recorded in the Jakarta Islamic Index (JII) and other sharia instruments. The results show that portfolio diversification involving sharia stocks provides benefits in the form of reduced risk, albeit with less sacrifice in terms of returns. The implication of this study is the import

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Ćosić, Karlo, and Anita Čeh Časni. "The impact of cryptocurrency on the efficient frontier of emerging markets." Croatian Review of Economic, Business and Social Statistics 5, no. 2 (2019): 64–75. http://dx.doi.org/10.2478/crebss-2019-0012.

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AbstractCryptocurrencies are a sweltering topic in modern times of investment strategies. Since the cryptocurrency market is classified as an emerging market, in this paper a portfolio of emerging markets is compiled from the indices of four European Union (EU) countries and one cryptocurrency. The aim of this paper is to investigate how the incorporation of the Bitcoin cryptocurrency into the portfolio affects the performance of the portfolios of these countries. Moreover, by drawing an efficient frontier, the paper identifies where Bitcoin stands relative to other indices in the portfolio. T

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Yatsenko, Roman M., and Andrii A. Porokhnavets. "Comparison of the Effectiveness of Traditional and AI-Based Methods of Investment Portfolio Optimization." Business Inform 9, no. 560 (2024): 211–17. https://doi.org/10.32983/2222-4459-2024-9-211-217.

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The aim of the article is to conduct a comparative analysis of the effectiveness of traditional and AI-based methods of investment portfolio optimization. The object of the research is the investment portfolio. The subject of the research is traditional and AI-based optimization methods. The article is a study of the effectiveness of the use of traditional and AI-based methods of optimizing the investment portfolio on the grounds of the contemporary theory of the portfolio of investment resources, the use of existing mathematical methods and models that can provide reasonable calculations of p

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A, Avetha Angeline. "Optimizing Portfolio Allocation in the Indian Defense Sector: A Python-Based Approach." INTERANTIONAL JOURNAL OF SCIENTIFIC RESEARCH IN ENGINEERING AND MANAGEMENT 08, no. 04 (2024): 1–5. http://dx.doi.org/10.55041/ijsrem30807.

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This paper presents a detailed analysis of portfolio construction strategies aimed at maximizing risk-adjusted returns for investors, utilizing Python-based methodologies. By leveraging historical data on stock returns and risks, a meticulous selection process identified 5 stocks with superior risk-return profiles, outperforming the dataset's average measures with higher returns and lower risks. The selected stocks from the defense industry formed the foundation of an optimal portfolio designed to minimize sector-specific risks while maximizing growth potential. Through rigorous portfolio opti

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Zeng, Zhiming, and Weijun Xu. "Online Portfolio Based on Trend Trading Strategy Considering Investor Sentiment Using Text Analysis." International Journal of Fuzzy System Applications 13, no. 1 (2024): 1–20. http://dx.doi.org/10.4018/ijfsa.355246.

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Intelligent online portfolios have become an important research topic in the field of quantitative finance. This paper proposes an online portfolio based on trend trading strategy using fuzzy logic technology analysis method and considering investor sentiment. Firstly, the paper uses SVM classification algorithm to analyze stock comment text data in online forums and constructs investor sentiment indicators. Secondly, the paper transforms the heuristic algorithm of technical trading into corresponding fuzzy IF-THEN rules and combines them into a fuzzy investment decision system. Thirdly, the p

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KRINICHANSKII, Konstantin V., Mikhail A. STEPANOV, Arsenii V. IZILYAEV, and Artem V. PUTILOVSKII. "The effectiveness of using artificial intelligence in investment strategies on the stock markets." Finance and Credit 31, no. 5 (2025): 89–107. https://doi.org/10.24891/zbxdhj.

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Subject. This article discusses the effectiveness of using artificial intelligence in investment strategies in the Russian and American stock markets. Objectives. The article aims to assess the effectiveness of using artificial intelligence in building investment portfolios and managing assets, relying on key metrics of investment performance. Methods. For the study, we used the methods of analysis and comparative assessment of the effectiveness of investment strategies and financial asset portfolio management, as well as infographics. Results. The article finds that regarding the Russian mark

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Flotyński, Marcin. "The Profitability of the Strategy Linking Fundamental, Portfolio and Technical Analysis on the Polish Capital Market." Folia Oeconomica Stetinensia 16, no. 1 (2016): 113–46. http://dx.doi.org/10.1515/foli-2016-0008.

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Abstract In the article, several methods of taking investment decisions are described: a fundamental, portfolio, and technical analysis. They constitute different approaches which are convenient for different types of investors with various expectations and time horizons of their investments. The simultaneous combination of these three analyses is not popular. The aim of this study is to test the effectiveness of simultaneous use of a fundamental analysis, portfolio analysis, and technical analysis for shares quoted on the Warsaw Stock Exchange (WSE) in 2000–2007. The research hypothesis is ad

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Guryanova, Lidiya, and Natalia Chernova. "Metals futures market: a comparative analysis of investment and arbitrage strategies." Development Management 17, no. 4 (2020): 42–54. http://dx.doi.org/10.21511/dm.17(4).2019.04.

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The article deals with the application of optimal portfolio theory and pair trading theory on the metals futures market. Advantages of the futures market over the spot market include relatively small initial price, low transaction costs, and high volatility. The main aim of the study is to explore the potential of both strategies for effective trading. The following financial instruments were chosen as the inputs of the models: futures on industrial metals (aluminum, copper, nickel, zinc, lead, tin), futures on precious metals (gold and silver). When building the optimal portfolio, it was deci

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Manziy, Oleksandra, Yuliya Senyk, Vitalii Pelekh, Andriy Senyk, and Stanislav Andreychuk. "Use of neural networks for investment analysis problems." Galician economic journal 87, no. 2 (2024): 163–74. http://dx.doi.org/10.33108/galicianvisnyk_tntu2024.02.163.

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The work describes in detail the functional features of its information development for analysis, forecasting, and effective management of an investment portfolio with a given level of risk. The created web application provides an opportunity to create an individual investment portfolio with a wide range of assets, including stocks, bonds, ETFs, cryptocurrencies, etc. In addition to creating an investment portfolio, the web application offers comprehensive portfolio analysis using advanced algorithms and machine learning models. Using neural networks, the application analyzes the overall risk

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Han, Yingjie. "Machine Learning Based Portfolio Analysis." Highlights in Business, Economics and Management 44 (November 25, 2024): 135–47. http://dx.doi.org/10.54097/wc6epk11.

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This paper investigates the effectiveness of machine learning methods in predicting stock returns in China. In this paper, we use 16 liquidity, momentum, market risk and macro fundamentals indicators, as well as 112 interaction terms between indicators and macro variables with monthly stock excess returns for the lagged period from January 2000 to November 2015 as the sample set, train elasticity networks, gradient boosting, random forests, neural networks, and simple linear regression models, and based on the data of December 2015, predict the January 2016 returns, form portfolios based on th

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Pilipchuk, Mikhail V. "ANALYSIS OF NEW DIRECTIONS IN DIVERSIFICATION OF INVESTMENT PORTFOLIOS UNDER FINANCIAL INSTABILITY." EKONOMIKA I UPRAVLENIE: PROBLEMY, RESHENIYA 5/4, no. 158 (2025): 133–41. https://doi.org/10.36871/ek.up.p.r.2025.05.04.016.

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The article examines unconventional approaches to diversification of investment portfolios during periods of economic instability. The main factors limiting the effectiveness of classical diversification models in modern conditions are identified. The necessity of applying a multi-level approach to portfolio formation is substantiated, taking into account the emergence of new asset classes and hedging instruments. Based on empirical analysis and mathematical modeling, the effectiveness of methods such as inclusion of alternative assets, use of strategic derivatives, adaptive capital allocation

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Gavatiuk, Liudmyla, Maksym Karvatskyi, Alina Korbutiak, Natalia Sokrovolska, and Eduard Yurii. "Approaches to the formation of an optimal personal investment portfolio in Ukraine." Investment Management and Financial Innovations 18, no. 2 (2021): 91–105. http://dx.doi.org/10.21511/imfi.18(2).2021.08.

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Globalization and IT progress are expanding the possibilities of using various financial instruments to create a personal investment portfolio. The purpose of the study is to differentiate the investment portfolio by the level of income of Ukrainian citizens and its impact on the effectiveness of personal finance management. Analysis of indicators of state and current investment trends allowed identifying the optimal ratio of profitability and risk in financial decisions of individuals by diversifying the investment portfolio, creating personal reserves, localizing investment instruments and m

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Shlonchak, Vasyl. "Diversification of the banks investment portfolio: an adaptive management model in the conditions of financial volatility." Galician economic journal 94, no. 3 (2025): 91–101. https://doi.org/10.33108/galicianvisnyk_tntu2025.03.091.

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In the context of increased financial volatility and macroeconomic instability, enhancing the efficiency of banks’ investment activity has become a strategic imperative. One of the most relevant approaches is the structural optimization of investment portfolios through asset diversification. However, existing models often fail to fully consider the correlation between portfolio components, their volatility, and market sensitivity, which significantly limits the accuracy of investment decision-making. This research aims to develop a scientifically grounded approach to improving the efficiency o

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Efimova, O. V., M. A. Volkov, and D. A. Koroleva. "The Impact of ESG Factors on Asset Returns: Empirical Research." Finance: Theory and Practice 25, no. 4 (2021): 82–97. http://dx.doi.org/10.26794/2587-5671-2021-25-4-82-97.

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The subject of the research is the assessment of Investment decision-making efficiency considering the sustainable development requirements. The article aims to identify the relationship between environmental, social and governance (ESG) performance and market returns for investors and the reasons for it. The relevance of the paper is determined by the need to develop research in the field of ESG integration and evaluation of the portfolio investment effectiveness in the context of responsible investment practices popularity. Scientific novelty: the study develops the theory of ESG integration

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��, Valeriy Anshin, ��, and Evgeniya Kostinskaya. "The relationship between project management and company�s strategy: assessment of the project portfolio management influ." Russian Journal of Project Management 1, no. 1 (2012): 0. http://dx.doi.org/10.12737/101.

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In order to analyze and assess the impact of investment projects performance on company�s effectiveness, development and fundamental value, it�s essential to assess the projects that are grouped by particular similar characteristics. The purpose of this paper is to suggest the possible methodological approach for assessment of the impact of the project portfolio on the company�s effectiveness. The paper covers the essential stages of integral investment analysis of project portfolio.

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Artem, Basko, and Еrshova Nina. "Methodology of step-by-step design of investment project portfolio." System technologies 2, no. 151 (2024): 172–85. http://dx.doi.org/10.34185/1562-9945-2-151-2024-15.

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Forming a portfolio of projects is a key task of managing an organization. Analysis of the life cycle of the project portfolio shows that the phase of project portfolio selection is the most important. Until now, the problems of this phase have not found an optimal solution. Therefore, the authors propose a methodology for the step-by-step design of a portfolio of investment projects. The first stage is the formation of a portfolio of projects based on mathematical programming and modeling methods. The second stage is the evaluation of the effectiveness of the selected projects by the method o

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Tkachenko, A., N. Levchenko, G. Shyshkanova, V. Shvets, and M. Ivanova. "Evaluation of the efficiency of social investments of metallurgical enterprises according to the decoupling approach." Naukovyi Visnyk Natsionalnoho Hirnychoho Universytetu, no. 5 (2020): 147–53. http://dx.doi.org/10.33271/nvngu/2021-5/147.

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Purpose. To develop a comprehensive methodology for assessing the effectiveness of social investment of metallurgical enterprises by a decoupling approach, which facilitates to form a clear idea of the investors intentions to support socially important initiatives and to make a realistic portfolio in terms of achieving the impact goals. Methodology. During the present research, the statistical methods of time series processing and correlation-regressive analysis are used in determining the dependence of the Decoupling Factor of social values on the amount of capital investment to create them.

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R, Dharshan. "Optimizing Portfolio Construction Using Nifty India Manufacturing Index: A Risk-Return Analysis with Python." INTERANTIONAL JOURNAL OF SCIENTIFIC RESEARCH IN ENGINEERING AND MANAGEMENT 08, no. 04 (2024): 1–5. http://dx.doi.org/10.55041/ijsrem31211.

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This paper presents a comprehensive analysis of portfolio construction strategies aimed at maximizing risk-adjusted returns for investors. Utilizing historical data on stock returns and risks, a meticulous selection process was employed to identify 15 stocks with superior risk-return profiles. These stocks were chosen based on their outperformance relative to the dataset's average measures, prioritizing returns higher than the dataset average and risks lower than average risk levels. The selected stocks, representing a diverse range of manufacturing-related businesses, formed the cornerstone o

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Xu, Jinpeng. "Exploring the Application of Quadratic Programming Within the Markowitz Economic Model: An Empirical Analysis of the Chinese Real Estate Market." Advances in Economics, Management and Political Sciences 70, no. 1 (2024): 31–37. http://dx.doi.org/10.54254/2754-1169/70/20231549.

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This paper introduces an innovative approach by incorporating quadratic programming (QP) into the Markowitz portfolio optimization framework. The central objective of our study is to explore the integration of QP as a solution scheme for portfolio optimization problems with constraints, particularly in the context of the dynamic and complex Chinese real estate market.By meticulously formulating rigorous mathematical models and implementing systematic procedures, we empirically assess the effectiveness and applicability of QP within the Markowitz portfolio model. Our research contributes to a d

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Stepanyuk, O., A. Senyk, O. Manziy, N. Pavlyuk, and Y. Senyk. "Information system of analysis for segmentation of the securities portfolio of the product market." Scientific Messenger of LNU of Veterinary Medicine and Biotechnologies 25, no. 101 (2023): 11–21. http://dx.doi.org/10.32718/nvlvet-e10102.

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The investment market is a complex competitive environment where speed and accuracy of decision-making play a crucial role. Understanding sentiment and asset behavior is key to forecasting and successful investment portfolio management. The results of information analysis confirm the hypothesis of the effectiveness of food market assets, and this in turn proves the possibility of increasing the portfolio's profitability by including food sector assets in it. Creation of an information analysis system for the purpose of segmentation of the contained portfolio is an urgent task, which will allow

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Du, Yuxiao. "Portfolio Optimization Based on 7 Chinese Stocks." Advances in Economics, Management and Political Sciences 23, no. 1 (2023): 347–55. http://dx.doi.org/10.54254/2754-1169/23/20230401.

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Since 2022, China has entered the post-pandemic era, with its strategic focus shifting from fighting the epidemic to economic recovery. The A-share market is under the influence of uncertain factors such as the novel coronavirus epidemic as well as the outbreak of conflict between Russia and Ukraine. In order to avoid risks and increase returns, optimizing investment portfolio has aroused people's attention and become the focus of research. This paper takes China's stock market as the research object, selects seven industries favored by investors, and selects a representative stock in each ind

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Yu, Chaoyi, and Zhice Wang. "A Study on How International Portfolio Investment Flows Affect Macrofinancial Risks and Control Channels." Discrete Dynamics in Nature and Society 2023 (March 2, 2023): 1–24. http://dx.doi.org/10.1155/2023/1888284.

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In the current complex global economic background, international capital flows are becoming more frequent. Based on this, this paper takes international portfolio investment as the research object and empirically tests the causal relationship and control channel between international portfolio flows and macrofinancial risk in emerging economies. It selects the panel data of emerging economies from 2001 to 2020, constructs macrofinancial risk indicators by using contingent claim analysis and the entropy-based TOPSIS method, tests the effect of international portfolio flows on macrofinancial ris

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Garafutdinov, Robert. "APPLICATION OF THE LONG MEMORY MODELS FOR RETURNS FORECASTING IN THE FORMATION OF INVESTMENT PORTFOLIOS." Applied Mathematics and Control Sciences, no. 2 (August 16, 2021): 171–91. http://dx.doi.org/10.15593/2499-9873/2021.2.10.

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This paper continues research within the framework of the scientific direction in econophysics at the Department of Information Systems and Mathematical Methods in Economics of the faculty of Economics of PSU. This paper describes the method of formation investment portfolios of four assets based on forecasted returns obtained using long memory econometric models and tests the hypotheses that the optimization of portfolio structure by forecasted returns obtained using such models (by the example of ARFIMA) allows to improve portfolio characteristics in comparison to the optimization by histori

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Shahari, Farihana, Md Saifur Rahman, and Mahfuzur Rahman. "Capital Mobility between ASEAN+3 and the US: An Analysis of Saving-Investment Relationship." International Journal of Economics and Financial Issues 15, no. 3 (2025): 110–23. https://doi.org/10.32479/ijefi.18735.

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By using the hedging approach, this paper empirically examines the effectiveness of portfolio diversification in ASEAN+3 and US financial markets. Equity returns which is extracted from equity indices is used in the estimation by spanning data period from January 1991 to June 2018 which is disaggregated between pre-and post-financial cooperation agreement period. The study offers several outcomes for example portfolio with multiple assets is more effective than that of two-asset portfolio. The assets of emerging economies are more effective than that of developed economies due to the reflectio

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Fransisca, Diandra Chika, Sukono, Diah Chaerani, and Nurfadhlina Abdul Halim. "Robust Portfolio Mean-Variance Optimization for Capital Allocation in Stock Investment Using the Genetic Algorithm: A Systematic Literature Review." Computation 12, no. 8 (2024): 166. http://dx.doi.org/10.3390/computation12080166.

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Traditional mean-variance (MV) models, considered effective in stable conditions, often prove inadequate in uncertain market scenarios. Therefore, there is a need for more robust and better portfolio optimization methods to handle the fluctuations and uncertainties in asset returns and covariances. This study aims to perform a Systematic Literature Review (SLR) on robust portfolio mean-variance (RPMV) in stock investment utilizing genetic algorithms (GAs). The SLR covered studies from 1995 to 2024, allowing a thorough analysis of the evolution and effectiveness of robust portfolio optimization

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Tobing, Ainun Sakinah L., Nur Aisyah Fitri, Qori Fadla Ajmilia, and Isfenti Sadalia. "Optimal Portfolio Analysis of LQ-45 Stocks Based on Capital Asset Pricing Model." West Science Business and Management 2, no. 04 (2024): 1101–13. https://doi.org/10.58812/wsbm.v2i04.1443.

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Analysis of optimal portfolio formation for LQ-45 stocks using the Capital Asset Pricing Model (CAPM) is an interesting and complex topic in financial management. This study aims to calculate the expected return and systematic risk of each LQ-45 stock, and evaluate the combination of these stocks to form an optimal portfolio. By using CAPM and Modern Portfolio Theory (MPT), this study can provide a comprehensive framework to understand the risk-return dynamics of stock investment. Despite the limitations of CAPM, this study shows that CAPM remains an important tool in investment analysis. Reco

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Alfzari, Sandia, Mohammad Al-Shboul, and Muhammad Alshurideh. "Predictive Analytics in Portfolio Management: A Fusion of AI and Investment Economics for Optimal Risk-Return Trade-Offs." International Review of Management and Marketing 15, no. 2 (2025): 365–80. https://doi.org/10.32479/irmm.18594.

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Portfolio management has become an essential area of study because of the introduction of artificial intelligence in managing portfolios in a given financial market where risks and returns are dynamic. This study aims to identify the extent of the adoption of AI in portfolio management and investigate the performance of AI models over conventional economic models. The study utilizes both quantitative survey questionnaires and qualitative interviews. The conceptual frameworks refer to the Modern Portfolio Theory, Behavioral Finance, Technology Acceptance Model, and Digital Governance framework.

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Sunkari, Ruthvik, Vishwa Chaitanya Rudra, Meera Alphy Dr., and Shirisha K. "Mutual Fund Investment Plan." Recent Trends in Computer Graphics and Multimedia Technology 6, no. 3 (2024): 1–3. https://doi.org/10.5281/zenodo.12754464.

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<em>In today's dynamic financial landscape, the management of mutual fund investments demands precision and adaptability. Our project proposes the creation of an automated system tailored to streamline the management of both Systematic Investment Plans (SIPs) and lumpsum investments in mutual funds. This platform aims to empower investors by offering a comprehensive suite of tools and functionalities. Users will be able to create personalized profiles, defining their investment goals, risk appetites, and time horizons. Leveraging advanced algorithms, the system will optimize portfolio allocati

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Nguyễn, Minh Nhật, and Thị Thu Hường Phạm. "Estimation of covariance matrix with equal shrinkage weights in portfolio selection: An empirical study on the Vietnamese stock market." Tạp chí Kinh tế - Luật và Ngân hàng 26, no. 6 (2024): 1–12. http://dx.doi.org/10.59276/jelb.2024.06.2686.

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Portfolio optimization based on the process of estimating the covariance matrix is one of the new approaches. In this article, the author has conducted an analysis and evaluation of various covariance matrix estimators to measure their effectiveness in investment activities. The results of the empirical study on over 400 listed stocks on the Vietnamese stock market from January 2011 to January 2024 have shown that the covariance matrix estimator with balanced shrinkage weight yields significantly superior results across all three portfolio performance metrics: Sharpe ratio, Sortino ratio, and

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Guo, Jinteng. "Efficiency of Trading Strategies in Portfolio Optimization." Highlights in Business, Economics and Management 39 (August 8, 2024): 578–93. http://dx.doi.org/10.54097/8w617878.

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This study investigates three commonly used methods for timing stock trades and assesses their performance over a decade. The advent of new technologies has sparked a surge in the development of diverse trading strategies tailored for investment portfolio management. Nevertheless, the suitability of these strategies for portfolio integration varies, and some may yield adverse outcomes. For instance, a speculative trading approach might lead to significant losses. Using data spanning ten years, we evaluate the effectiveness of three main trading strategies that identify when stocks are likely t

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Ngoc, Anh N.V., and Tien Hoang Van. "Optimization of Investment Portfolio Structure Using the Markowitz Model." International Journal of Management and Economics Invention 10, no. 07 (2024): 3342–48. https://doi.org/10.5281/zenodo.12696683.

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ABSTRACT : This study examines the application of the Markowitz model, an innovative portfolio optimization technique developed in the 1950s, in the context of the Russian stock market. The main objectives of this study are to study the theoretical foundations of the Markowitz model, analyze the current state and prospects of the Russian stock market and, ultimately, use the model to build an optimal portfolio structure. By integrating the Markowitz model with the dynamics of the Russian stock market, this study aims to contribute to the understanding of portfolio management and offer practica

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Sharma, Sunil Kumar. "A Bhattacharyya Triangular intuitionistic fuzzy sets with a Owa operator-based decision making for optimal portfolio selection in Saudi exchange." AIMS Mathematics 9, no. 10 (2024): 27247–71. http://dx.doi.org/10.3934/math.20241324.

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<p>The capital market in Saudi Arabia is fast growing. Assurance of an informed decision while investing in the Saudi Stock Exchange is critical. There has also been an increased quest for advanced decision-making tools due to complexities in selecting a given portfolio, which remains a critical issue of concern among investors in the face of modern investment environment challenges. The research paper offered shall deliver an innovative MCDM technique through which an MCDM model shall be developed in the Saudi Stock Exchange. This MCDM model uses BTIFS with an OWA operator. A novelty of

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AlHalaseh, Rula Hani, and Fawaz Khalid Al Shawawreh. "Enhancing portfolio optimization: A comparative analysis of the mean-variance Markowitz model and risk-parity contribution strategies." Corporate and Business Strategy Review 5, no. 3 (2024): 124–36. http://dx.doi.org/10.22495/cbsrv5i3art12.

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Financial markets are still exposed to various crises that increase stock price fluctuations and make predictions extremely difficult (Nguyen et al., 2024). Although there are many diversification methods for building investment portfolios, there has been no agreement on the best of them. This research aims to identify the most effective strategy for constructing an optimal investment portfolio by comparing the mean-variance (MV) model and risk-parity (RP) contribution strategies during the uncertain market period 2018–2022. The study used a quantitative and an optimization method following Of

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Guo, Shuhan. "An Achievable Portfolio Trading Strategy." Highlights in Business, Economics and Management 39 (August 8, 2024): 571–77. http://dx.doi.org/10.54097/05fjgd13.

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This research outlines an advanced investment strategy for a diversified 20-stock U.S. portfolio, leveraging Yahoo Finance data for optimization. Utilizing a momentum strategy, the study refines stock weights based on historical performance, incorporating dual moving averages for precise trading signals. A novel approach introduces Exponential Moving Averages (EMAs) and risk-adjusted scores to enhance decision-making, striking a balance between returns and associated risks. In the past one year period from February 1, 2023 to February 1, 2024, the annual return rate can be achieved according t

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Yang, Haohua. "LSTM-Based Deep Model for Investment Portfolio Assessment and Analysis." Applied Bionics and Biomechanics 2022 (July 7, 2022): 1–6. http://dx.doi.org/10.1155/2022/1852138.

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In recent years, within the scope of financial quantification, quantitative investment models that support human-oriented algorithms have been proposed. These models attempt to characterize fiat-delayed series through intelligent acquaintance methods to predict data and arrange investment strategies. The standard long short-term memory (LSTM) neural network has the shortcoming of low effectiveness of the fiscal cycle sequence. This work utters throughout the amended LSTM design. The augury result of the neural reticulation was upgraded by coalesce attentional propose to the LSTM class, and a g

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Ogorelkova, Natalya Vladimirovna, and Irina Mikhaylovna Reutova. "FACTORS OF THE EFFICIENCY OF MANAGING PORTFOLIO PENSION RESERVES OF NON-STATE PENSION FUNDS." Scientific Bulletin: finance, banking, investment., no. 3 (52) (2021): 22–30. http://dx.doi.org/10.37279/2312-5330-2020-3-22-30.

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The article is devoted to the consideration of approaches and assessment of the efficiency of management of investment portfolios of non-state pension funds. This article is a logical continuation of the previously conducted research on assessing the effectiveness of pension savings management and contains an analysis of the effectiveness of the second component of investment portfolios of non-state pension funds (NPF) — pension reserves. The article examines the factors influencing the efficiency of managing the portfolios of pension reserves of non-state pension funds on the basis of statist

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Vorkut, Tatyana, Yuliya Bozhok, Andrii Petunin, and Vitaly Kharuta. "CONCEPTUAL PRINCIPLES OF FORMATION OF A PORTFOLIO OF PUBLIC PARTICIPATION PROJECTS." AUTOMOBILE ROADS AND ROAD CONSTRUCTION, no. 115.1 (2024): 127–50. http://dx.doi.org/10.33744/0365-8171-2024-115.1-127-150.

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Abstract. The relevance of the research topic is determined by the need for improvement and further development of methodological approaches to the management of project portfolios, in terms of the formation of the latter based on the issues of public participation project management. The subject of the research is the methods, models, mechanisms and standards of project portfolio formation, considered in the context of public participation project portfolio formation. The object of research is the process of managing public participation projects. Research methodology. The research was conduc

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Geraskin, Mikhail, and Irina Krugova. "The simulation of optimal financing of the investment projects portfolio based on the mechanism of minimum optimum deviations." Applied Mathematics and Control Sciences, no. 2 (June 29, 2018): 130–43. http://dx.doi.org/10.15593/2499-9873/2018.2.09.

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The article deals with the problem of planning the distribution of investments in innovative projects. The dynamic analysis of efficiency of projects of OJSC "MegaFon" for 2013-2016 by regression analysis of the resulting profit function of projects from investment, which calculated the potential profitability of projects to determine the actual allocation of investments. On the basis of the mechanism of minimum deviations of Optima, the method of optimal allocation of investment resources between projects is developed. With the optimal distribution of investments, the values of the potential

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