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Journal articles on the topic 'Portfolio investment strategy'

Author: Grafiati

Published: 3 June 2025

Last updated: 31 July 2025

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1

Potrykus, Marcin. "ASSESSMENT OF GOLD AND/OR CRUDE OIL AS INVESTMENTS FOR PORTFOLIO DIVERSIFICATION. A WARSAW STOCK EXCHANGE CASE STUDY." Acta Scientiarum Polonorum. Oeconomia 18, no. 4 (2019): 77–84. http://dx.doi.org/10.22630/aspe.2019.18.4.47.

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The purpose of the study is to assess whether the inclusion of investments in gold and/or crude oil improves an investment portfolio consisting of shares of enterprises included in the WIG20 index (traditional investments). All possible combinations of investment portfolios with minimal risk and maximum efficiency were tested. The portfolios were determined based on Markowitz’s portfolio theory. All results were compared with a naive strategy. In total, nearly 55,000 investment portfolios consisting of three, four or five investments were constructed. The study showed that the application of p

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Evans, Carig, and Gary van Vuuren. "Investment strategy performance under tracking error constraints." Investment Management and Financial Innovations 16, no. 1 (2019): 239–57. http://dx.doi.org/10.21511/imfi.16(1).2019.19.

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Recent (2018) evidence identifies the increased need for active managers to facilitate the exploitation of investment opportunities found in inefficient markets. Typically, active portfolios are subject to tracking error (TE) constraints. The risk-return relationship of such constrained portfolios is described by an ellipse in mean-variance space, known as the constant TE frontier. Although previous work assessed the performance of active portfolio strategies on the efficient frontier, this article uses several performance indicators to evaluate the outperformance of six active portfolio strat

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Peswani, Shilpa Girish. "Returns to Low Risk Investment Strategy." Applied Finance Letters 6, no. 01 (2017): 2–15. http://dx.doi.org/10.24135/afl.v6i01.65.

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The paper studies the low risk anomaly in the Indian market using entire National Stock Exchange (NSE) as sample from January 2001 to June 2016. It provides evidence that low risk portfolio sorted for total risk, systematic risk as well as unsystematic risk individually for the large cap, mid cap, small cap and the entire NSE universe give higher returns to the investor as compared to high risk portfolio. The difference of returns from low risk portfolio versus high risk portfolio is positive as well as economically and statistically significant for all the risk measures. The results also prov

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Attar, Arbaz, Pranay Mule, Piyush Kulkarni, Shubham Narale, and Prof Ms Jaitee Bankar. "Investment Portfolio Management System: A Survey." International Journal for Research in Applied Science and Engineering Technology 11, no. 5 (2023): 2966–68. http://dx.doi.org/10.22214/ijraset.2023.52241.

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Abstract: An investment portfolio management system is a highly sophisticated software application meticulously crafted to assist investors in the management of their investment portfolios. This innovative system provides investors with a centralized platform that empowers them to track their investments meticulously, closely monitor their performance, and judiciously make informed investment decisions. The system encompasses several advanced features such as portfolio analysis, risk management tools, asset allocation strategies, and performance reporting, that provide investors with a compreh

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Zhao, Jiayi. "Empirical Research on Optimizing Company Investment Strategy Based on Asset Portfolio Strategy -Taking the Pharmaceutical Industry as an Example." Advances in Economics, Management and Political Sciences 62, no. 1 (2023): 145–53. http://dx.doi.org/10.54254/2754-1169/62/20231336.

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In recent years, the pharmaceutical industry has developed rapidly due to the COVID-19. At the same time, with the development of modern asset theory, a variety of asset portfolio strategies can be used by people. In the capital market, the pharmaceutical industry has also become an emerging ideal investment industry, and various related investment portfolio products and trading methods are constantly being updated and improved. This article is based on modern asset portfolio strategies, through relevant worldwide asset allocation models, sharpe theory and CPAM model, and uses the optimal sele

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Juniastanti, Erwinda Anggraini, Nirdukita Ratnawati, Acep Riana Jayaprawira, Muhammad Nur Faaiz Fathah Achsani, and Zaenal Arief. "Liability Driven Investment Analysis for Hajj Financial Management Optimization using Analytic Network Process Approach." Global Review of Islamic Economics and Business 11, no. 2 (2023): 089–101. http://dx.doi.org/10.14421/grieb.2023.112-07.

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In this research, a liability-driven investment strategy is determined which aims to optimize hajj financial management using the Analytic Network Process approach. Based on the results of Benefit, Opportunity, Cost and Risk (BOCR) approach, it shows that in a liability-driven investment strategy, the benefit (excess) and risk components are the most important factors that investors pay attention to. In determining alternative liability-based investment strategies, there are 2 (two) approaches, either by carrying out portfolio immunization (duration matching) or cash flow matching (cash-flow m

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Koné, N’Golo. "Regularized Maximum Diversification Investment Strategy." Econometrics 9, no. 1 (2020): 1. http://dx.doi.org/10.3390/econometrics9010001.

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The maximum diversification has been shown in the literature to depend on the vector of asset volatilities and the inverse of the covariance matrix of the asset return covariance matrix. In practice, these two quantities need to be replaced by their sample statistics. The estimation error associated with the use of these sample statistics may be amplified due to (near) singularity of the covariance matrix, in financial markets with many assets. This, in turn, may lead to the selection of portfolios that are far from the optimal regarding standard portfolio performance measures of the financial

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Setiawan, Alfianto Hendry, Resfa Fitri, Marhamah Muthohharoh, and Mohammad Iqbal Irfany. "Investment strategy on indonesia islamic stocks using Greenblatt Magic Formula." International Journal of Financial, Accounting, and Management 5, no. 3 (2023): 281–96. http://dx.doi.org/10.35912/ijfam.v5i3.1322.

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Purpose: This study analyzes the portfolio form based on the Magic Formula investment strategy introduced by Greenblatt (2006). Research methodology: The portfolio formed is evaluated using the Sharpe, Treynor, and Jensen indices. Results: The results show that the Magic Formula investment portfolio provides higher returns than the reference index from June 2018 to May 2021, specifically -1.45% compared to -3.26%. The performance evaluation value of the Magic Formula investment portfolio was better than that of the reference index. Limitations: Although the Magic Formula portfolio performs wel

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9

Jiménez-Gómez, Miguel, Natalia Acevedo-Prins, and Miguel David Rojas-López. "Simulation hedge investment portfolios through options portfolio." Indonesian Journal of Electrical Engineering and Computer Science 16, no. 2 (2019): 843. http://dx.doi.org/10.11591/ijeecs.v16.i2.pp843-847.

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<p>This paper presents two hedging strategies with financial options to mitigate the market risk associated with the future purchase of investment portfolios that exhibit the same behavior as Colombia's COLCAP stock index. The first strategy consists in the purchase of a Call plain vanilla option and the second strategy in the purchase of a Call option and the sale of a Call option. The second strategy corresponds to a portfolio of options called Bull Call Spread. To determine the benefits of hedging and the best strategy, the Geometric Brownian Motion and Monte Carlo simulation is used.

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Wang, Fuyuan. "The Influence of ESG Factors on Portfolio Performance Based on the Perspective of Markowitz Portfolio Theory." Advances in Economics, Management and Political Sciences 121, no. 1 (2024): 205–14. http://dx.doi.org/10.54254/2754-1169/121/20242588.

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Abstract: In this paper, the inclusion of Environmental, Social, and Governance (ESG) factors in portfolios is investigated to determine their impact on portfolio performance and its mechanism. Based on the data collected by Bloomberg for 10 stocks from 2003-2023 and Markowitz's portfolio model, it is found that: (1) the inclusion of ESG constraints negatively affects portfolio performance; (2) the inclusion of ESG constraints shifts the GMVP to the right and reduces the convexity of the efficient frontier, thus lowering the portfolio's performance. This study enriches the literature on the fa

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Manuelia, Lidya, and Lia Uzliawati. "LEGAL DIVERSIFICATION AS A STRATEGY TO REDUCE INVESTMENT RATIOS." JEA17: Jurnal Ekonomi Akuntansi 8, no. 1 (2023): 68–76. http://dx.doi.org/10.30996/jea17.v8i1.8721.

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Everyone who invests will want to get optimal profits with a growing capital value, whether using long-term investments or short-term investment products. Therefore, a strategy is needed in making investments. One of them is by investment diversification. Investment diversification is a widely accepted strategy for reducing investment risk. In analysing the portfolio, continuous analysis is needed in order to obtain relevant information, so that the target of portfolio formation through diversification provides optimal results. At the time when the traditional portfolio was recognised, the sim

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Kaminskyi, Andrii, and Maryna Nehrey. "Fuzzy clustering approach to portfolio management considering ESG criteria: empirical evidence from the investment strategies of the EURO STOXX Index." Neuro-Fuzzy Modeling Techniques in Economics, no. 12 (December 6, 2023): 40–66. http://dx.doi.org/10.33111/nfmte.2023.040.

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Environmental, social and governance (ESG) criteria are becoming increasingly important in the construction of investment portfolios. Analysis of the investment markets confirms that these criteria are being actively integrated into investment strategies. This paper presents our approach to incorporating ESG criteria into the portfolio construction process based on an index investment strategy. This strategy is enhanced by the inclusion of ESG criteria in the form of ESG scoring. Investment portfolio construction focuses on the application of three criteria: maximizing ESG score, minimizing ri

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Ryou, Hosun, Han Hee Bae, Hee Soo Lee, and Kyong Joo Oh. "Momentum Investment Strategy Using a Hidden Markov Model." Sustainability 12, no. 17 (2020): 7031. http://dx.doi.org/10.3390/su12177031.

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There has been a growing demand for portfolio management using artificial intelligence (AI). To sustain a competitive advantage for portfolio management, stock market investors require a strategic investment decision that can realize better returns. In this study, we propose a momentum investment strategy that employs a hidden Markov model (HMM) to select stocks in the rising state. We construct an HMM momentum portfolio that includes 890 Korean stocks and analyze the performance of the stocks over the period of January 2000 to December 2018. By identifying states of stocks, sectors, and marke

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Pasaribu, A. Rowland Bismark Fernando. "VALUE AT RISK OF MOMENTUM INVESTMENT STRATEGY: INDONESIA'S LIQUID STOCKS PORTFOLIO." Jurnal Manajemen Indonesia 19, no. 1 (2019): 30. http://dx.doi.org/10.25124/jmi.v19i1.1982.

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The capability of momentum investment strategy was explore through portfolio risk reduction by value at risk method at liquid shares in Indonesia stock exchange period 2008-2016. The purpose of this study are to analyse the value of momentum investment strategy risk reduction with the Value at Risk approach to historical-volatility approach and examine differences in risk reduction performance by winner and loser portfolios formed from a collection of liquid shares in the Indonesia stock exchange for the period 2008-2016. The stocks selection method in forming winners and losers portfolio done

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15

Alkhalidi, Fatima Faisal, and Ayad Tahir Mohammed. "The Performance Analysis of Dynamic Investment Portfolio Insurance Strategies Based on Value at Risk." Journal of Economics and Administrative Sciences 31, no. 147 (2025): 19–32. https://doi.org/10.33095/fnqfjv14.

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The research aims to address the fundamental problem by reducing the systematic risks to which investments in the stock market are exposed and to benefit from the emerging potential provided by investment portfolio insurance strategies, through Value at Risk Based Portfolio Insurance (VBPI), using the comparative analytical approach. The research community was represented by the (ISX60) index, The data was collected through the annual reports of the Iraq Stock Exchange to form three intentional yearly conditional samples for the period (2022-2024), and several financial models were relied upon

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Boldyreva, Natalia, and Liudmila Reshetnikova. "Effectiveness of investment activities of managers in the mandatory pension insurance system." St Petersburg University Journal of Economic Studies 36, no. 3 (2020): 483–513. http://dx.doi.org/10.21638/spbu05.2020.306.

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This article examines reasons for the low efficiency of investment activity by pension asset managers, and pension investment rules are formulated. These rules are based on the Asset Allocation strategy, taking into account the long-term pension investments and the life-cycle investment strategy. All pension portfolios of Russiаn managers have weak diversification by asset classes, a high share of fixed income financial instruments, and a mismatch of the portfolio structure with the risk profile of the beneficiary. The pension industry has high costs. We evaluated the real efficiency of invest

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17

Kucko, Irena. "Investment Fund Portfolio Selection Strategy." Business: Theory and Practice 8, no. (4) (2007): 214–20. https://doi.org/10.3846/btp.2007.30.

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The paper is based on the proceedings of the International Conference 'Business and Management 2006'. The problems of investment fund portfolio selection are discussed further and deeper, though the problem solved differs by covered period, selected stocks, and the principles of stock selection. The research scheme is supplemented with a new step, now the stocks are selected not accidentally as in previous study, but are classified and categorized according to certain variables. Asset management is of the strategic importance for investment funds industry. By allocating savings to productive i

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Arora, Ravinder Kumar, Pramod Kumar Jain, and Himadri Das. "International Diversification Through Emerging Market Investment: Selection of Appropriate Portfolio Strategy." Review of Pacific Basin Financial Markets and Policies 14, no. 04 (2011): 737–49. http://dx.doi.org/10.1142/s021909151100238x.

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The main purpose of this paper is to compare the performance of portfolio strategies, comprising investments in emerging markets alone, and those strategies of combining investment in emerging and developed markets. The major finding of this paper is: the portfolio strategy combining investment in emerging markets with that in developed markets does not offer any additional value over a portfolio strategy confining investments to the emerging markets only. This paper, therefore, recommends a strategy that emphasizes country selection from emerging markets alone.

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Salim, Dwi Fitrizal, Indah Amallia Rizki, and Nora Amelda Rizal. "Performance Evaluation of State-Owned Company Stocks in Indonesia." International Journal of Finance & Banking Studies (2147-4486) 12, no. 4 (2024): 14–26. http://dx.doi.org/10.20525/ijfbs.v12i4.3157.

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This study delves into the performance of Indonesian state-owned enterprises (BUMN) stocks from February 2021 to October 2023, attracting investor attention due to their strategic position in the national economy. However, the stock performance during this period exhibited suboptimal movements, failing to surpass the returns of the Indonesia Stock Exchange Composite Index (IHSG). To address this, a prudent investment strategy is essential, encompassing portfolio construction and management. In portfolio construction, the study employs proven smart beta strategies, known for delivering superior

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Chaiyarit, Yotaek, and Pongsutti Phuensane. "Comparative Analysis of Cryptocurrency Portfolio Strategies Integrating ESG Criteria Across Market Conditions and Time Periods." Revista de Gestão Social e Ambiental 18, no. 9 (2024): e07336. http://dx.doi.org/10.24857/rgsa.v18n9-112.

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Objective: This study investigates how Environmental, Social, and Governance (ESG) criteria can be integrated into cryptocurrency portfolio strategies, evaluating their performance across different market conditions and time periods. Theoretical Framework: This research is based on Modern Portfolio Theory (MPT) and principles of ESG investing. The study uses Markowitz's mean-variance optimization and the triple bottom line approach to understand the benefits of ESG integration in investment strategies. Method: The research involves a comparative analysis of various cryptocurrency portfolio str

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Nuryana, Ida. "Assessment Of Investment Strategy With A Utility-Based Approach." International Journal of Science, Technology & Management 3, no. 2 (2022): 349–56. http://dx.doi.org/10.46729/ijstm.v3i2.475.

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The purpose of this study is to analyze the assessment of investment strategies with a utility-based approach. The rise of investment at this time has the aim of increasing welfare in the present and in the future. Investing is expected to have the best investment strategy and be supported by investment knowledge. Investment strategy requires consideration of economic factors, business intuition, experience. Approaching retirement age, investments are made more determined by psychological factors, therefore, it is necessary to manage the financial portfolio of retirement income with the right

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Fitrizal Salim, Dwi, Aldilla Iradianty, Farida Titik Kristanti, and Widyadhana Candraningtias. "Smart beta portfolio investment strategy during the COVID-19 pandemic in Indonesia." Investment Management and Financial Innovations 19, no. 3 (2022): 302–11. http://dx.doi.org/10.21511/imfi.19(3).2022.25.

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Covid-19 has an impact on stock investment, especially in Indonesia, marked by the decline in the Jakarta Composite Index (JCI) at the beginning of the Covid-19 pandemic. During the Covid-19 era, there was a lot of negative information about the uncertainty of the market, which made investors irrational about the choice of stocks in the portfolio. So this research will have a hypothesis that the High Volatility stock group will be the best portfolio in Covid-19 conditions. The sample used is the Group of stocks that have the largest market capitalization value in JCI. Stocks with large market

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Kucko, Irena. "Investment Fund Portfolio Selection Strategy." Verslas: teorija ir praktika 8, no. 4 (2007): 214–20. http://dx.doi.org/10.3846/btp.2007.30.

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Purwanto, Budi, Prima Respati, and Nanda Karunia Amanah. "Optimal Portfolio and the Integrated Strategy." Management Analysis Journal 13, no. 2 (2024): 130–39. https://doi.org/10.15294/maj.v13i2.8261.

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The concept of an optimal portfolio is fundamental to investment management, focusing on maximizing returns for a given level of risk. Modern Portfolio Theory (MPT), introduced by Markowitz, has significantly transformed the understanding of risk and return, highlighting the importance of diversification. Nevertheless, constructing an optimal portfolio is a continuous process that demands adaptability and a thorough comprehension of financial markets. This study investigates various approaches, including sectoral, regional, and contrarian stock-based strategies, as well as rebalancing techniqu

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Tian, Manwen, Shurong Yan, and Xiaoxiao Tian. "Discrete approximate iterative method for fuzzy investment portfolio based on transaction cost threshold constraint." Open Physics 17, no. 1 (2019): 41–47. http://dx.doi.org/10.1515/phys-2019-0005.

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Abstract There are many non-probability factors affecting financial markets and the return on risk assets is fuzzy and uncertain. The authors propose new risk measurement methods to describe or measure the real investment risks. Currently many scholars are studying fuzzy asset portfolios. Based on previous research and in view of the threshold value constraint and entropy constraint of transaction costs and transaction volume, the multiple-period mean value -mean absolute deviation investment portfolio optimization model was proposed on a trial basis. This model focuses on a dynamic optimizati

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Qiu, Zhilin. "Research on the Optimal Strategy of Investment Portfolio Based on Markowitz Model." Advances in Economics, Management and Political Sciences 75, no. 1 (2024): 53–60. http://dx.doi.org/10.54254/2754-1169/75/20241795.

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Nowadays, investment is becoming increasingly common. Under the globalization of the economy, investors are given more investment opportunities and choices. Investors need to select excellent assets and allocate the selected asset portfolio on weight during the investment process. The mean-variance model proposed by Markowitz plays an important guiding role in investment and risk management. This model can effectively evaluate investors portfolio risk and return decisions and significantly impact their decision-making choices. This study uses the data of the annual average return and variance

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Horn, Matthias, and Andreas Oehler. "Automated portfolio rebalancing: Automatic erosion of investment performance?" Journal of Asset Management 21, no. 6 (2020): 489–505. http://dx.doi.org/10.1057/s41260-020-00183-0.

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Abstract Robo-advisers enable investors to establish an automated rebalancing strategy for a portfolio usually consisting of stocks and bonds. Since households’ portfolios additionally include further frequently tradable assets like real estate funds, articles of great value and cash(-equivalents), we analyze whether households would benefit from a service that automatically rebalances a portfolio which additionally includes the latter assets. In contrast to previous studies, this paper relies on real-world household portfolios, which are derived from the German central bank’s (Deutsche Bundes

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Zhang, Ningdan. "Abnormal Returns: Takeover Prediction Modelling - Shanghai Stock Exchange." Highlights in Business, Economics and Management 21 (December 12, 2023): 1081–90. http://dx.doi.org/10.54097/hbem.v21i.14968.

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Around the Merge and Acquisition (M&A) announcement date, the targets will experience dramatic increases in their share price. The movement of share pricesbrings investment opportunities. To successfully predict the future targets and make an investment strategy, investors can obtain the abnormal return from the increment of the share price. However, many articles of research show that even successfully predicted large numbers of targets, within the investment portfolio, are still unable to show the abnormal return. To make a successful investment strategy, researchers summarized the poten

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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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Zhang, Weiwei, Tiezhu Sun, Zilong Wang, Vishnu Raj Kumar, and Yechi Ma. "DOES FAITH HAS IMPACT ON INVESTMENT RETURN: EVIDENCE FROM REITS." International Journal of Strategic Property Management 23, no. 6 (2019): 378–89. http://dx.doi.org/10.3846/ijspm.2019.10428.

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This paper investigates whether faith has impact on investment returns. Specifically, we choose the Shariah compliance and REITs investment for the purpose of investigation. Synthetic Shariah compliant portfolios are constructed with various interpretation of compliance. We compare the performance of Shariah compliant portfolios with US Equity REIT portfolio during 1993–2017 by examining the abnormal returns using CAPM and Carhart four-factor model. We find no evidence of underperformance or outperformance of the Shariah compliant investments. This is also true during the financial crisis peri

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Peters, Glen. "Beyond Strategy — Benefits Identification and Management of Specific IT Investments." Journal of Information Technology 5, no. 4 (1990): 205–14. http://dx.doi.org/10.1177/026839629000500405.

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Much effort has been concentrated in the eighties on IT strategy and many companies today have an IT investment portfolio. Managing the benefits of the investment portfolio presents new challenges. The author has previously published the first stage to a method for linking investment strategy to benefits and in this paper discusses the second of the process when it is necessary to identify benefits for specific investments to ensure their realization. The process ensures that sponsors not only understand the impact of the investment on key operating variables but also take responsibility for e

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Khalyapin, Alexey Alekseevich, Veronika Vyacheslavovna Bilevich, Shaig Faik oglu Aliev, and Rimma Aslanovna Mez. "TECHNIQUES FOR DEVELOPMENT AND CONTROL OF THE INVESTMENT PORTFOLIO IN ENTERPRISES." Scientific Review: Theory and Practice 14, no. 10 (2024): 1875–92. https://doi.org/10.35679/2226-0226-2024-14-10-1875-1892.

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In today's economy, companies aim to enhance the efficiency of their investments through the creation of balanced portfolios that reduce potential risks and increase the likelihood of return. This strategic approach to investing helps organizations to successfully achieve their financial goals. The creation of such a portfolio requires careful selection of investment assets, a deep understanding of the market, and the use of advanced analytical tools. The approach to portfolio formation is based on a comprehensive use of valuation and management methods that ensure an optimal combination of in

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Maslov, Sergei, and Yi-Cheng Zhang. "Optimal Investment Strategy for Risky Assets." International Journal of Theoretical and Applied Finance 01, no. 03 (1998): 377–87. http://dx.doi.org/10.1142/s0219024998000217.

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We design an optimal strategy for investment in a portfolio of assets subject to a multiplicative Brownian motion. The strategy provides the maximal typical long-term growth rate of investor's capital. We determine the optimal fraction of capital that an investor should keep in risky assets as well as weights of different assets in an optimal portfolio. In this approach both average return and volatility of an asset are relevant indicators determining its optimal weight. Our results are particularly relevant for very risky assets when traditional continuous-time Gaussian portfolio theories are

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Nurwahidah, Nurwahidah, Asriani Hasan, and Ratnah Kurniati MA. "Portofolio Efisien Model Markowitz dengan Kendala Proporsi Aset Positif dan Target Return yang Ditentukan." Journal of Mathematics Computations and Statistics 6, no. 1 (2023): 10. http://dx.doi.org/10.35580/jmathcos.v6i1.43484.

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Rational investors tend to diversify their asset for reducing investment risk. Markowitz portfolio model can be an investment strategy to minimize risk and maximize return of investment. This study establishes the Markowitz model portfolio with positive asset weight constraints and determined target returns. Quadratic programming is an approach used to determine the proportion of each stock in the portfolio. Therefore, 5 efficient portfolios with less risk level than individual stocks are obtained. The results of the performance measurement stated that the portfolio with asset centered proport

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Rutkauskas, Aleksandras Vytautas, Algita Miečinskienė, and Viktorija Stasytytė. "INVESTMENT DECISIONS MODELLING ALONG SUSTAINABLE DEVELOPMENT CONCEPT ON FINANCIAL MARKETS / INVESTICINIŲ SPRENDIMŲ MODELIAVIMAS VARTOJANT TVARIOSIOS PLĖTROS SĄVOKĄ FINANSŲ RINKOSE." Technological and Economic Development of Economy 14, no. 3 (2008): 417–27. http://dx.doi.org/10.3846/1392-8619.2008.14.417-427.

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The goal of the paper is development of the conception of sustainable return investment decisions strategy in capital and money markets and modeling of investment decisions along sustainable development concept in capital and money markets. The research was performed with an experiment in FOREX and in some matured and emerging capital markets. The adequate for investments decisions reliability assessment portfolio will be presented and analysed as main instrument for developing sustainable return investment decisions strategy. The cases of practical implementation of adequate portfolio will be

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Sitinjak, Elizabeth Lucky Maretha. "Pola Strategi Investasi Investor Individu Saham Menurut Generasi X, Y, Dan Z." Jurnal Pasar Modal dan Bisnis 1, no. 1 (2019): 67–78. http://dx.doi.org/10.37194/jpmb.v1i1.10.

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Purpose- The purpose of this study, showing the pattern of stock investment strategy in accordance with the type of generation in order to manage the portfolio optimally. Methods- This research method using Anova with data obtained from Meta Data Analysis subjects of previous research experiments. Finding- The results show, each generation has a pattern of different stock investment strategies. This can be seen from the level of investor risk, and stock portfolio. The combination of stock portfolios tends to consist of private companies located in 10 sectors, private companies-BUMN

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Худяков and S. Khudyakov. "Investment portfolio strategy formation (multiobjective optimization)." Economics of the Firm 2, no. 1 (2013): 0. http://dx.doi.org/10.12737/303.

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In the article the transition from business process reengineering, the formation of the investment portfolio to the problems of optimization, formulated in a general form of multiobjective problems of a linear programming. The toolssupport reverse engineering on different levels of the value chain organization can justify the choice of the optimal economic strategies for the development and operation of companies.

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Chu, Eric Liluan. "The Investment Strategy of Free Cash Flow Multiple." Review of Pacific Basin Financial Markets and Policies 01, no. 03 (1998): 355–67. http://dx.doi.org/10.1142/s0219091598000223.

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This study applies the investment strategy recommended by Hackel and Livnat (1993), the free cash flow (FCF) multiple, in Taiwan after the promulgation of Taiwan's FASB No. 95 in 1989. The results indicate that the portfolio with the higher FCF/Price ratio significantly rewards returns in excess of the market. Instead of using earnings/price ratio in the forming portfolio, the study shows that the decile portfolio with the highest FCF/Price ratio significantly outperforms the market during the period from 1990 to 1994. If daily returns are adjusted by the market model, the decile portfolio pre

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Catalano, Francesco, Laura Nasello, and Daniel Guterding. "Quantum Computing Approach to Realistic ESG-Friendly Stock Portfolios." Risks 12, no. 4 (2024): 66. http://dx.doi.org/10.3390/risks12040066.

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Finding an optimal balance between risk and returns in investment portfolios is a central challenge in quantitative finance, often addressed through Markowitz portfolio theory (MPT). While traditional portfolio optimization is carried out in a continuous fashion, as if stocks could be bought in fractional increments, practical implementations often resort to approximations, as fractional stocks are typically not tradeable. While these approximations are effective for large investment budgets, they deteriorate as budgets decrease. To alleviate this issue, a discrete Markowitz portfolio theory (

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Ihsan Sadeq Rashed Al-Shimary. "The investment portfolio in facing the repercussions of the epidemiological crisis in Iraq (A diagnostic study in building investment portfolios)." Economic and Administrative Studies Journal 2, no. 1 (2023): 101–17. http://dx.doi.org/10.58564/easj/2.1.2023.7.

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The research aims to highlight the role that investment portfolios play, improving the economic situation, companies and individuals, given that the governor exercises its activity in an environment that is witnessing new and accelerating changes, the most important of which is the Coronavirus COVID-19 & Omicron crisis, which governs investors to gain experience for effectiveness and a group of investment and mental projects has been established Investment in a group of investment projects, sanctions in investment, and penalties in investing in investment investments, And that the investme

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LEVINA, TATSIANA, and GLENN SHAFER. "PORTFOLIO SELECTION AND ONLINE LEARNING." International Journal of Uncertainty, Fuzziness and Knowledge-Based Systems 16, no. 04 (2008): 437–73. http://dx.doi.org/10.1142/s0218488508005364.

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This paper studies a new strategy for selecting portfolios in the stock market. The strategy is inspired by two streams of previous work: (1) work on universalization of strategies for portfolio selection, which began with Thomas Cover's work on constant rebalanced portfolios, published in 1991,4 and (2) more general work on universalization of online algorithms,17,21,23,30 especially Vladimir Vovk's work on the aggregating algorithm and Markov switching strategies.32 The proposed investment strategy achieves asymptotically the same exponential rate of growth as the portfolio that turns out to

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GRINEVA, NATALIA. "DYNAMIC OPTIMIZATION OF THE INVESTMENT PORTFOLIO MANAGEMENT TRAJECTORY." Economic Problems and Legal Practice 17, no. 3 (2021): 73–77. http://dx.doi.org/10.33693/2541-8025-2021-17-3-73-77.

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The task of control from the position of mathematical tools application is discussed, economic statement and mathematical model of optimization problem are formulated, the sequential realization of the research aim - the mechanism of optimal portfolio management strategy formation - is presented. The results of dynamic optimization of decisions made at each step form the optimum law of the portfolio management. Scientific novelty of the study consists in the fact that the constructed portfolio takes into account the real incompleteness of the initial data on the processes of change in the yiel

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Anuno, Fernando, Mara Madaleno, and Elisabete Vieira. "Testing of Portfolio Optimization by Timor-Leste Portfolio Investment Strategy on the Stock Market." Journal of Risk and Financial Management 17, no. 2 (2024): 78. http://dx.doi.org/10.3390/jrfm17020078.

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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 achieving maximum returns in the dynamics of Timor-Leste’s equity portfolio in the international capital market for the period from January 2006 to December 2019. The empirical findings of this study indicate that the correlation matrix showed that JPM has a very strong positive correlation with one of the twenty assets, namely BAC (0.80). Moreover

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Walkshäusl, Christian, and Sebastian Lobe. "The Enterprise Multiple Investment Strategy: International Evidence." Journal of Financial and Quantitative Analysis 50, no. 4 (2015): 781–800. http://dx.doi.org/10.1017/s002210901500023x.

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AbstractThe enterprise multiple (EM) predicts the cross section of international returns. The return predictability of EM is similarly pronounced in developed and emerging markets and likewise strong among small and large firms. An international portfolio of low-EM firms outperforms a portfolio of high-EM firms by about 1% per month. The EM value premium is individually significant for the majority of countries, remains largely unexplained by existing asset pricing models, is robust after controlling for comovement with the respective U.S. premium, and is highly persistent for up to 5 years af

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Violisa Halim, Shaeva, and Dwi Fitrizal Salim. "SMART BETA PORTFOLIO STRATEGY ON TECHNOLOGY AND FOOD STOCK IN SOUTH KOREA." International Journal of Advanced Research 13, no. 01 (2025): 265–76. https://doi.org/10.21474/ijar01/20189.

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This study discusses the performance of stocks of technology companies and food companies in South Korea in the period January 2019-November 2024 which are attractive to foreign investors due to their strategic position in the global economy. However, companies do not always show good performance. Therefore, a careful investment strategy is needed, including the preparation and management of portfolios. In compiling the portfolio, this study uses a smart beta strategy that has been proven to provide superior returns compared to traditional portfolios. Portfolio management involves two strategi

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NKEKI, CHARLES I. "OPTIMAL INVESTMENT STRATEGY WITH DIVIDEND PAYING AND PROPORTIONAL TRANSACTION COSTS." Annals of Financial Economics 13, no. 01 (2018): 1850001. http://dx.doi.org/10.1142/s201049521850001x.

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A Markowitz’s mean-variance investment strategy is studied in a market with a stock, a bond, dividend payment and proportional transaction costs. Two control variables, portfolio strategy and dividend are considered in this paper. The control variables are inherent with a finite time horizon. This paper aims at minimizing the investment portfolio risk and maximizing the dividend process of the investment over time subject to portfolio allocation strategy, expected net wealth and investment costs over time. The method of Lagrangian multiplier was adopted. As a result, the optimal portfolio and

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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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Rabin, Sebayang, and Soekarno Subiakto. "The Investment Strategy of Sector Rotation over Business Cycles in the Indonesia Stock Exchange to Generate Superior Return." International Journal of Current Science Research and Review 06, no. 06 (2023): 3324–43. https://doi.org/10.5281/zenodo.8041522.

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<strong>ABSTRACT: </strong>The investment strategy of sector rotation over business cycles is one of the investment strategies in The Indonesia Stock Exchange. The basic philosophy of the investment strategy of sector rotation is to invest assets in sectors that are expected to perform well and avoid sectors that are expected to perform otherwise. In this research, the investment strategy of sector rotation begins with the identification of the business cycle based on Indonesia's economic growth or GDP data. The business cycle is divided into four stages referring to the movement of the GD

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Peswani, Shilpa, and Mayank Joshipura. "Low-risk investment strategy: sector bets or stock bets?" Managerial Finance 48, no. 3 (2022): 521–39. http://dx.doi.org/10.1108/mf-09-2021-0415.

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PurposeThe portfolio of low-risk stocks outperforms the portfolio of high-risk stocks and market portfolios on a risk-adjusted basis. This phenomenon is called the low-risk effect. There are several economic and behavioral explanations for the existence and persistence of such an effect. However, it is still unclear whether specific sector orientation drives the low-risk effect. The study seeks to answer the following important questions in Indian equity markets: (a) Whether sector bets or stock bets mainly drive the low-risk effect? (b) Is it a mere proxy for the well-known value effect? (c)

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Himawan, Arie. "DAILY PORTFOLIO INVESTMENT RETURN ANALYSIS WITH DOLLAR COST AVERAGING METHOD." Business and Entrepreneurial Review 9, no. 2 (2016): 151. http://dx.doi.org/10.25105/ber.v9i2.33.

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The background of this research was daily investment return strategy with dollar cost averaging method from portfolios which established from day and date of investment in a month. Therefore, it was found that there was highest return from one of those day when investors make investment plans in capital market. The objectives of this research were analyzing best performance day that investors could make most return in a month and along with dollar cost averaging method to avoid rather on risk of single market timing to regular investing. The design of this research applies exploratory research

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