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Journal articles on the topic 'Portfolio'

Author: Grafiati

Published: 4 June 2021

Last updated: 25 July 2025

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1

Micán, Camilo, Gabriela Fernandes, and Madalena Araújo. "Disclosing the Tacit Links between Risk and Success in Organizational Development Project Portfolios." Sustainability 14, no. 9 (2022): 5235. http://dx.doi.org/10.3390/su14095235.

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Project portfolios aim to impact organizational strategic goals, influencing both the organization’s business model and its processes. Nonetheless, the actual impact is dependent on the portfolio’s success, which is affected by the materialization of risk factors. This study aims to examine the tacit conceptualization of project portfolio risk as a risk measure explicitly based on project portfolio success itself. In order to focus on the portfolios of organizational development projects, Social Representation Theory was adopted to analyze empirical evidence from twenty-eight semi-structured i

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2

Nisani, Doron. "Portfolio selection using the Riskiness Index." Studies in Economics and Finance 35, no. 2 (2018): 330–39. http://dx.doi.org/10.1108/sef-03-2017-0058.

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PurposeThe purpose of this paper is to increase the accuracy of the efficient portfolios frontier and the capital market line using the Riskiness Index.Design/methodology/approachThis paper will develop the mean-riskiness model for portfolio selection using the Riskiness Index.FindingsThis paper’s main result is establishing a mean-riskiness efficient set of portfolios. In addition, the paper presents two applications for the mean-riskiness portfolio management method: one that is based on the multi-normal distribution (which is identical to the MV model optimal portfolio) and one that is base

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Wu, Liyun, Muneeb Ahmad, Salman Ali Qureshi, Kashif Raza, and Yousaf Ali Khan. "An analysis of machine learning risk factors and risk parity portfolio optimization." PLOS ONE 17, no. 9 (2022): e0272521. http://dx.doi.org/10.1371/journal.pone.0272521.

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Many academics and experts focus on portfolio optimization and risk budgeting as a topic of study. Streamlining a portfolio using machine learning methods and elements is examined, as well as a strategy for portfolio expansion that relies on the decay of a portfolio’s risk into risk factor commitments. There is a more vulnerable relationship between commonly used trademarked portfolios and neural organizations based on variables than famous dimensionality decrease strategies, as we have found. Machine learning methods also generate covariance and portfolio weight structures that are more diffi

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Tamara, Dewi, and Grigory Ryabtsev. "VALUE-AT-RISK (VAR) APPLICATION AT HYPOTHETICAL PORTFOLIOS IN JAKARTA ISLAMIC INDEX." Journal of Applied Finance & Accounting 3, no. 2 (2011): 153–80. http://dx.doi.org/10.21512/jafa.v3i2.168.

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The paper is an exploratory study to apply the method of historical simulation based on the concept of Value at Risk on hypothetical portfolios on Jakarta Islamic Index (JII). Value at Risk is a tool to measure a portfolio’s exposure to market risk. We construct four portfolios based on the frequencies of the companies in Jakarta Islamic Index on the period of 1 January 2008 to 2 August 2010. The portfolio A has 12 companies, Portfolio B has 9 companies, portfolio C has 6 companies and portfolio D has 4 companies. We put the initial investment equivalent to USD 100 and use the rate of 1 USD=Rp

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Yan, Kuan. "Approaching Portfolio Optimization through Empirical Examination." BCP Business & Management 21 (July 20, 2022): 63–66. http://dx.doi.org/10.54691/bcpbm.v21i.1177.

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In this project, the study focuses on the portfolio profitability, one of the most vital quantitative-finance measurements. Out of all possible portfolios being considered, portfolio optimization is the process of selecting the best portfolio, according to some objective. It is a quantitative principle based on statistics, research methods, and advanced mathematical calculation. In this model, financial risk is calculated to usually be minimum while factors such as expected return are maximized. These factors may include physical aspects, "tangible" indicators, and financial metrics. Based on

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Levchenko, Valentyna, and Myroslav Ostapenko. "Formation of the optimal portfolio of insurer’s services of the voluntary types of insurance." Insurance Markets and Companies 7, no. 1 (2016): 45–51. http://dx.doi.org/10.21511/imc.7(1).2016.05.

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The article studies the possibility of using optimization modelling to form the optimal structure of insurance services’ portfolio of insurance companies. Based on the data of net insurance payments and profitability of the voluntary types of insurance in 2005-2015, the authors conducted their analysis according to the possibility to be included in the general insurance portfolio of the insurance company. The optimization model is based on the approach developed by G. Markowitz. The formation of insurance services portfolio is conducted by solving the optimization problem to maximize the portf

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Berouaga, Younes, Cherif El Msiyah, and Jaouad Madkour. "Portfolio Optimization Using Minimum Spanning Tree Model in the Moroccan Stock Exchange Market." International Journal of Financial Studies 11, no. 2 (2023): 53. http://dx.doi.org/10.3390/ijfs11020053.

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Portfolio optimization is a pertinent topic of significant importance in the financial literature. During the portfolio construction, an investor confronts two important steps: portfolio selection and portfolio allocation. This article seeks to investigate portfolio optimization based on the Minimum Spanning Tree (MST) method applied on the Moroccan All Shares Index (MASI) historical stock log returns covering the period from 2 January 2013 to 27 October 2022 allowing us to build two portfolios: MST-Portfolio and MST-Portfolio 2. Portfolio selection was carried out for MST-Portfolio and MST-Po

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Romano, Tom. "Portfolio on Portfolios." English Education 29, no. 3 (1997): 158–72. http://dx.doi.org/10.58680/ee19973711.

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Offers a discussion, in the form of a portfolio, of how the author helps student teachers reflect on their teaching through learning portfolios including artifacts on the culture of teaching, pedagogical insights, big risks and monumental leaps, and failures. Notes that these portfolios often surprise and instruct the author about students’ subjective teaching experience. Full article available in print version only.

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Zhang, Xinyue. "The Impact of Bitcoin and Gold in the Portfolio A Research Based on Copula." Advances in Economics, Management and Political Sciences 107, no. 1 (2024): 160–65. https://doi.org/10.54254/2754-1169/2024.ga18165.

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Gold and cryptocurrencies play an important role in portfolios, especially in risk management. Due to the special nature of these financial products, people usually add a small amount of gold or cryptocurrencies to the origin portfolio to balance return and risk. This article takes Bitcoin as the representative of cryptocurrencies to analyze the different impacts of Bitcoin and gold in the portfolio. This article employs copula functions to fit the Value-at-Risk, Conditional Value-at-Risk, mean return, and Sharpe ratio. Value-at-Risk and Conditional Value-at-Risk are used to measure the portfo

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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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Faisal Hasan Shoman, Hasanain, and Mustafa Muneer Isma'eel. "Hedging an Efficient Portfolio against Expected Inflation Risk: An Applied Research in the Iraq Stock Exchange." Journal of Economics and Administrative Sciences 30, no. 140 (2024): 104–35. http://dx.doi.org/10.33095/6dt08n85.

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This research aims to hedge the efficient portfolio of the investor against the expected inflation risk and to evaluate the extent of improvement in the quality of its performance. It has applied to an intentional sample of companies whose shares traded on the Iraq Stock Exchange, consisting of (37) companies, with (120) monthly observations for each company from 2012 to 2021. The simple ranking model of Elton et al. (1978) has been used to build the nominally efficient portfolio and the inflation-adjusted model of Chen and Moore (1985) to hedge a portfolio against expected inflation risk. The

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Yang, Hyunjun, Hyeonjun Park, and Kyungjae Lee. "A Selective Portfolio Management Algorithm with Off-Policy Reinforcement Learning Using Dirichlet Distribution." Axioms 11, no. 12 (2022): 664. http://dx.doi.org/10.3390/axioms11120664.

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Existing methods in portfolio management deterministically produce an optimal portfolio. However, according to modern portfolio theory, there exists a trade-off between a portfolio’s expected returns and risks. Therefore, the optimal portfolio does not exist definitively, but several exist, and using only one deterministic portfolio is disadvantageous for risk management. We proposed Dirichlet Distribution Trader (DDT), an algorithm that calculates multiple optimal portfolios by taking Dirichlet Distribution as a policy. The DDT algorithm makes several optimal portfolios according to risk leve

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Jayeola, Dare, Zulhaimy Ismail, and Suliadi Firdaus Sufahani. "Effects of diversification of assets in optimizing risk of portfolio." Malaysian Journal of Fundamental and Applied Sciences 13, no. 4 (2017): 584–87. http://dx.doi.org/10.11113/mjfas.v0n0.567.

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Diversification is a strategic option that investors use to optimize their portfolio. Diversification is investing in many assets for the purpose of minimizing risk or maximizing return of portfolio. It is an opportunity by which investors improve from his micro-firm into macro-firm. The investors’ aim is to make an optimal choice that leads to minimization of risk and maximization of return, but the platform that achieves these objectives is not at the finger tips. The purpose of this study is to propose procedures for constructing optimal portfolio for rational investors. Also, the study dem

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Tarczyński, Waldemar. "Different Variants of Fundamental Portfolio." Folia Oeconomica Stetinensia 14, no. 1 (2014): 47–62. http://dx.doi.org/10.2478/foli-2014-0104.

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Abstract The paper proposes the fundamental portfolio of securities. This portfolio is an alternative for the classic Markowitz model, which combines fundamental analysis with portfolio analysis. The method’s main idea is based on the use of the TMAI1 synthetic measure and, in limiting conditions, the use of risk and the portfolio’s rate of return in the objective function. Different variants of fundamental portfolio have been considered under an empirical study. The effectiveness of the proposed solutions has been related to the classic portfolio constructed with the help of the Markowitz mod

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Famara Badji, Cherif, Cristiane Benetti, and Renato Guimaraes. "Diversification Benefits of European REIT, Equities and Bonds." New Challenges in Accounting and Finance 6 (November 2021): 31–49. http://dx.doi.org/10.32038/ncaf.2021.06.03.

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This study aims to demonstrate the benefits related to the inclusion of European REIT in a portfolio of stocks and bonds traded on European markets. Major studies of the portfolio’s diversification those considered REIT was carried out on the American real estate market. Therefore, this research project aims to extend the work to the European scale by forming a mixed pan‐European REIT portfolio. The database is composed of monthly dividend‐adjusted closing prices, over the past 11 years, from different stock indexes collected during eleven years of different European market indexes. Four hypot

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Giemza, Dawid. "Ranking of optimal stock portfolios determined on the basis of expected utility maximization criterion." Journal of Economics and Management 43 (2021): 154–78. http://dx.doi.org/10.22367/jem.2021.43.08.

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Aim/purpose – The aim of the paper is to rank the optimal portfolios of shares of com- panies listed on the Warsaw Stock Exchange, taking into account the investor’s propen- sity to risk. Design/methodology/approach – Investment portfolios consisting of varied number of companies selected from WIG 20 index were built. Next, the weights of equity holdings of these companies in the entire portfolio were determined, maximizing portfolio’s expected (square) utility function, and then the obtained structures were compared between investors with various levels of risk propensity. Using Hellwig’s tax

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17

Chandavar, Vanita, Komal Gadade, and Sagar Patil. "Risk-return Analysis and Portfolio Construction of S&P BSE-30 Listed Companies." MUDRA: Journal of Finance and Accounting 9, no. 2 (2022): 39–59. http://dx.doi.org/10.17492/jpi.mudra.v9i2.922203.

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Portfolio construction is the process of choosing securities with the lowest possible risk in order to get the highest returns. A risk and return analysis are the trade-off between aids in portfolio creation. The study aims to formulate portfolio based on assessment of volatility. Exploratory research is being undertaken. For the analysis, S&P BSE listed 30 companies are considered. The data during 2017-2022 is collected from secondary sources. Using the Beta, a volatility measure, all 30 companies are divided into three portfolios. Hypothesis was tested. And Sharpe’s, Treynor’s and Jensen

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18

Yu-Hsiang (John) Huang, Yu-Ju (Tony) Tu, Troy J. Strader, Michael J. Shaw, and Ramanath (Ram) Subramanyam. "Selecting the Most Desirable IT Portfolio Under Various Risk Tolerance Levels." Information Resources Management Journal 32, no. 4 (2019): 1–19. http://dx.doi.org/10.4018/irmj.2019100101.

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To better assist decision-makers (e.g., enterprise executives) in selecting the most desirable IT portfolio, this study proposes a new IT Portfolio Efficient Frontier model that incorporates the decision-maker's risk tolerance levels. The proposed model, built on portfolio optimization along with experimental design and simulation data, considers three IT portfolio scenarios: even distribution-based IT portfolios, uneven distribution-based IT portfolios, and dominant IT portfolios. Our findings show that the IT portfolio efficient frontiers derived from both an even distribution-based IT portf

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19

Matar, Ali. "Does Portfolio’s Beta in Financial Market Affected by Diversification? Evidence from Amman Stock Exchange." International Journal of Business and Management 11, no. 11 (2016): 101. http://dx.doi.org/10.5539/ijbm.v11n11p101.

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This study’s goal is to examine the effect of diversification on the portfolio’s beta for stocks of companies listed on the Amman Stock exchange (ASE) return over the 2005-2014 period. Moreover, it will show if the investors can reduce beta in their portfolios by diversification. Monthly data, Capital Assets Pricing Model (CAPM) and portfolio selection model were applied to measure the risk and required rate of return and compare it with the realized rate of return. The results suggest evidence that diversification can only affect unsystematic risk leaving systematic risk unaffected. The regre

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20

Micán, Camilo, Gabriela Fernandes, and Madalena Araújo. "Towards a comprehensive framework for risk assessment of organizational development project portfolios." International Journal of Information Systems and Project Management 12, no. 3 (2024): 50–69. http://dx.doi.org/10.12821/ijispm120303.

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The benefits of risk management in the context of project portfolios have been widely recognized in the literature. However, approaches that assess the risk of organizational development project portfolios from the perspective of how the portfolio delivers value to the parent organization remain largely unexplored. To address this gap, our research takes a constructivist approach and an organizational perspective on project portfolios. We conducted twenty-eight semi-structured interviews and used thematic analysis to identify and relate four themes of a comprehensive project portfolio risk ass

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21

Širůček, Martin, and Lukáš Křen. "Application of Markowitz Portfolio Theory by Building Optimal Portfolio on the US Stock Market." Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis 63, no. 4 (2015): 1375–86. http://dx.doi.org/10.11118/actaun201563041375.

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This paper is focused on building investment portfolios by using the Markowitz Portfolio Theory (MPT). Derivation based on the Capital Asset Pricing Model (CAPM) is used to calculate the weights of individual securities in portfolios. The calculated portfolios include a portfolio copying the benchmark made using the CAPM model, portfolio with low and high beta coefficients, and a random portfolio. Only stocks were selected for the examined sample from all the asset classes. Stocks in each portfolio are put together according to predefined criteria. All stocks were selected from Dow Jones Indus

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Cui, Han, Yu Ping Tong, and Yue Ming Hou. "The Application of E-Portfolios in Designing Alternative Assessment System for Foreign Language Education." Advanced Materials Research 591-593 (November 2012): 2341–44. http://dx.doi.org/10.4028/www.scientific.net/amr.591-593.2341.

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Effective foreign language education assessment is an issue worthy of exploring. Hence, the purpose of this paper is to facilitate quality language education via the application of e-portfolios as an alternative language assessment tool. After the reserch on e-portfolios and portforlio assessment, several strategies for designing e-portfolio language assessment system are put forward, with the expectation that language learners will become life-long, innovative language users.

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Zhang, Zheyao, and Peibiao Zhao. "Portfolio Construction Based on Stock Characteristics Using Function Generation." Advances in Economics and Management Research 13, no. 1 (2025): 108. https://doi.org/10.56028/aemr.13.1.108.2025.

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This paper extends the function-generated portfolio framework by incorporating stock-specific information based on stochastic portfolio theory. It allows portfolio weights to depend on stock characteristics and market weights, demonstrating improved relative arbitrage efficiency and portfolio performance. An empirical analysis using SSE 50 Index data over 10 years shows that, even with transaction costs, portfolios constructed with the ROA indicator outperform market portfolios and other function-generated portfolios, offering superior arbitrage opportunities.

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Kaczmarek, Krzysztof, Ludmila Dymova, and Pavel Sevastjanov. "A Simple View on the Interval and Fuzzy Portfolio Selection Problems." Entropy 22, no. 9 (2020): 932. http://dx.doi.org/10.3390/e22090932.

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In this paper, first we show that the variance used in the Markowitz’s mean-variance model for the portfolio selection with its numerous modifications often does not properly present the risk of portfolio. Therefore, we propose another treating of portfolio risk as the measure of possibility to earn unacceptable low profits of portfolio and a simple mathematical formalization of this measure. In a similar way, we treat the criterion of portfolio’s return maximization as the measure of possibility to get a maximal profit. As the result, we formulate the portfolio selection problem as a bicriter

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Kantarelis, Demetri. "Impact of Correlation on Risky Portfolio Choice, Diversification, and Performance." Advances in Social Sciences Research Journal 12, no. 01 (2025): 114–23. https://doi.org/10.14738/assrj.1201.18173.

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Using Modern Portfolio Theory, applied on risky (stock) portfolios with real price data, it is shown that lower average portfolio correlation enables the investor to improve diversification and, consequently, experience lower portfolio risk as well as reach higher wealth indifference curves. Based on low and high correlation risky investments, results are calculated for Equally Weighted, Minimum Risk, Maximum Expected Return, and Maximum Sharpe Ratio portfolios. Long position performance is measured in terms of Expected Portfolio Return, Portfolio Standard Deviation, and Sharpe Ratio and, with

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Mulyono, Gharyni Nurkhair, Deni Saepudin, and Aniq Atiqi Rohmawati. "Portfolio Optimization Based on Return Prediction and Semi Absolute Deviation (SAD)." International Journal on Information and Communication Technology (IJoICT) 9, no. 1 (2023): 14–26. http://dx.doi.org/10.21108/ijoict.v9i1.698.

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A portfolio is a collection of investment financial assets managed by financial institutions or individuals. In investment activities, investors expect minimal loss risk and optimal stock portfolio weight to get maximum profit. Investors can monitor changes in stock index values to compare portfolio performance. This research has discussed how to build a portfolio based on stock datasets with the LQ45 index using return predictions from the artificial neural network (ANN) method with semi-absolute deviation (SAD). Furthermore, the portfolio is optimized by looking for weights that match it. Af

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Liu, Dong. "Portfolio Optimization for Industries in Chinas A-shares Market." Advances in Economics, Management and Political Sciences 4, no. 1 (2023): 572–79. http://dx.doi.org/10.54254/2754-1169/4/2022959.

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Portfolio optimization has always been a hot topic in financial research. Rational investors seek to balance risk and return in asset allocation. This article conducts a portfolio analysis of the military, liquor, new energy vehicles, medical service, and real estate industries in Chinese market. We select a representative asset from each industry and construct a large number of portfolios using the mean-variance model. Among the efficient frontier, we mainly focus on two portfolios. One is the minimum variance portfolio, and the other is the tangency portfolio. Finally, we compare these two p

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Wang, Lijuan, and Chunyan He. "Review of Research on Portfolios in ESL/EFL Context." English Language Teaching 13, no. 12 (2020): 76. http://dx.doi.org/10.5539/elt.v13n12p76.

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The portfolio is considered a useful tool both for instruction and assessment. Properly designed and implemented, it provides authentic language material for assessment, increases learners&rsquo; involvement in learning process and promotes self-reflection. This article mainly reviews the empirical research on portfolios in ESL/EFL context and offers suggestions for future research. The article starts by providing a brief introduction to portfolio and the framework for systematically designing and implementing portfolio assessment in the classroom. Then it reviews the empirical studies of

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Ziane, Mohammed, Chillali Sara, Belhabib Fatima, Chillali Abdelhakim, and Karim EL MOUTAOUAKIL. "Portfolio selection problem: main knowledge and models (A systematic review)." Statistics, Optimization & Information Computing 12, no. 3 (2024): 799–816. http://dx.doi.org/10.19139/soic-2310-5070-1961.

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The challenge in portfolio optimization lies in creating a collection of assets that attains a target expected returnwhile mitigating risk. This problem is often framed as an optimization task, specifically Mean Variance Optimization (MVO). MVO involves formulating an objective function, typically quadratic, that is contingent on the composition of the portfolio, and linear constraints that represents the portfolio's asset allocation restriction. Several improvements have been proposed, such as adding constraints to MVO or using alternative risk measures. As a result, even though MVO model rem

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Boloș, Marcel-Ioan, Ioana-Alexandra Bradea, and Camelia Delcea. "Neutrosophic Portfolios of Financial Assets. Minimizing the Risk of Neutrosophic Portfolios." Mathematics 7, no. 11 (2019): 1046. http://dx.doi.org/10.3390/math7111046.

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This paper studies the problem of neutrosophic portfolios of financial assets as part of the modern portfolio theory. Neutrosophic portfolios comprise those categories of portfolios made up of financial assets for which the neutrosophic return, risk and covariance can be determined and which provide concomitant information regarding the probability of achieving the neutrosophic return, both at each financial asset and portfolio level and also information on the probability of manifestation of the neutrosophic risk. Neutrosophic portfolios are characterized by two fundamental performance indica

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SARAL, KUNIKA. "Analyzing the Relationship between Real Estate Investments and Portfolio Diversification." INTERANTIONAL JOURNAL OF SCIENTIFIC RESEARCH IN ENGINEERING AND MANAGEMENT 08, no. 05 (2024): 1–5. http://dx.doi.org/10.55041/ijsrem32966.

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Real estate has long been considered an attractive investment option for individuals and institutions seeking to build wealth and diversify their portfolios. Unlike traditional investment vehicles such as stocks and bonds, real estate offers unique characteristics that can potentially enhance returns and mitigate risk. This analysis aims to explore the role of real estate investments in portfolio diversification and assess their potential impact on overall portfolio performance. Portfolio diversification is a fundamental principle in investment management, as it helps to spread risk across dif

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Shon, Jin Gon. "e-Portfolio Standardization for Sustainable Learning Communities." Asian Association of Open Universities Journal 6, no. 1 (2011): 32–42. http://dx.doi.org/10.1108/aaouj-06-01-2011-b004.

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A portfolio is used to plan, organize and document learning, and it accumulates results of learning. However, there are some problems in managing a portfolio. For example, it is very difficult to keep the portfolio in the original form physically, and it requires a lot of time and effort to keep it updated. These problems can be solved by an electronic portfolio (e-portfolio), a collection of electronic evidence assembled and managed by a user, usually on the Web. It can efficiently support a learner to manage his or her learning history and keep on learning more to move on to the next level i

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Pratama, Aditya Nugraha, Neva Satyahadewi, and Evy Sulistianingsih. "ANALYSIS OF OPTIMAL PORTFOLIO FORMATION ON IDX30 INDEXED STOCK WITH THE MEAN ABSOLUTE DEVIATION METHOD." BAREKENG: Jurnal Ilmu Matematika dan Terapan 18, no. 3 (2024): 1753–64. http://dx.doi.org/10.30598/barekengvol18iss3pp1753-1764.

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In investing in stocks, an investor must be able to form a stock portfolio to obtain optimal results. Factor analysis is one way to select stocks to form a portfolio. Factor analysis with Principal Component Analysis (PCA) extraction is used to summarize many variables into new smaller factors by producing the same information. The new factor formed is called a portfolio. This study aims to form an optimal portfolio using the Mean Absolute Deviation (MAD) method, which is an alternative to Markowitz optimization, and assess the stock portfolio's performance using the Sharpe index. This researc

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Simlai, Prodosh Eugene. "Risk Characterization of Firms with ESG Attributes Using a Supervised Machine Learning Method." Journal of Risk and Financial Management 17, no. 5 (2024): 211. http://dx.doi.org/10.3390/jrfm17050211.

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We examine the risk–return tradeoff of a portfolio of firms that have tangible environmental, social, and governance (ESG) attributes. We introduce a new type of penalized regression using the Mahalanobis distance-based method and show its usefulness using our sample of ESG firms. Our results show that ESG companies are exposed to financial state variables that capture the changes in investment opportunities. However, we find that there is no economically significant difference between the risk-adjusted returns of various ESG-rating-based portfolios and that the risk associated with a poor ESG

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Gubu, La, and Muhamad Rashif Hilmi. "Pembentukan Portofolio Optimal Saham Dengan Menggunakan Model Portofolio Mean-Variance-Skewness-Kurtosis." Jurnal Derivat: Jurnal Matematika dan Pendidikan Matematika 11, no. 2 (2024): 123–33. http://dx.doi.org/10.31316/jderivat.v10i2.6218.

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This paper presents the development of Markowitz's classic Mean-Variance (MV) portfolio model, namely the Mean-Variance-Skewness-Kurtosis (MVSK) portfolio model. The MVSK portfolio model aims to overcome the fact that most stock returns in the capital market do not follow a normal distribution, and there are skewness and excessive kurtosis. The solution of the MVSK portfolio model is determined using the Newton-Raphson method. To see the advantages of the MVSK model, an empirical study was carried out on a portfolio construction using the four best stocks on the Indonesian Stock Exchange, whic

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Mercurio, Peter Joseph, Yuehua Wu, and Hong Xie. "Option Portfolio Selection with Generalized Entropic Portfolio Optimization." Entropy 22, no. 8 (2020): 805. http://dx.doi.org/10.3390/e22080805.

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In this third and final paper of our series on the topic of portfolio optimization, we introduce a further generalized portfolio selection method called generalized entropic portfolio optimization (GEPO). GEPO extends discrete entropic portfolio optimization (DEPO) to include intervals of continuous returns, with direct application to a wide range of option strategies. This lays the groundwork for an adaptable optimization framework that can accommodate a wealth of option portfolios, including popular strategies such as covered calls, married puts, credit spreads, straddles, strangles, butterf

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Cloutier, Richard, and Alan C. Mikkelson. "The effect of absolute return strategies on risk-factor diversification and portfolio performance." Investment Management and Financial Innovations 20, no. 3 (2023): 91–101. http://dx.doi.org/10.21511/imfi.20(3).2023.08.

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Absolute return strategies attempt to generate positive returns that are uncorrelated with equity or bond markets and can be used to increase diversification and performance within multi-asset class portfolios. The current paper compared diversification and portfolio performance between traditional multi-asset class portfolios and multi-asset class portfolios with the addition of absolute return strategies. Using closing prices from January 1, 2000 – June 30, 2018, this paper back-tested two multi-asset class portfolios, one composed of equities, fixed income securities, and real return strate

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Khan, Ameer Tamoor, Xinwei Cao, Bolin Liao, and Adam Francis. "Bio-Inspired Machine Learning for Distributed Confidential Multi-Portfolio Selection Problem." Biomimetics 7, no. 3 (2022): 124. http://dx.doi.org/10.3390/biomimetics7030124.

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The recently emerging multi-portfolio selection problem lacks a proper framework to ensure that client privacy and database secrecy remain intact. Since privacy is of major concern these days, in this paper, we propose a variant of Beetle Antennae Search (BAS) known as Distributed Beetle Antennae Search (DBAS) to optimize multi-portfolio selection problems without violating the privacy of individual portfolios. DBAS is a swarm-based optimization algorithm that solely shares the gradients of portfolios among the swarm without sharing private data or portfolio stock information. DBAS is a hybrid

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Willim, Andre Prasetya. "Analisis Komparatif Tingkat Pengembalian Value Stocks dan Growth Stocks di Bursa Efek Indonesia." Jurnal Pasar Modal dan Bisnis 1, no. 1 (2019): 13–22. http://dx.doi.org/10.37194/jpmb.v1i1.8.

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Purpose- This study aims to examine the difference in returns between portfolio value stocks and growth stocks with comparative analysis. Methods- The population of this research is all companies in the Indonesia Stock Exchange. Based on the results of the purposive sampling method, there were 396 companies that were sampled in this study with IPO criteria before 2011. There were four portfolios formed, namely small growth, small value, big growth and big value portfolios, each consisting of 59 companies. Portfolio performance in this study was measured by the Sharpe, Treynor and Jensen

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Hsieh, Heng-Hsing. "A Review of Performance Evaluation Measures for Actively-Managed Portfolios." Journal of Economics and Behavioral Studies 5, no. 12 (2013): 815–24. http://dx.doi.org/10.22610/jebs.v5i12.455.

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In the recognition that investment management is an on-going process, the performance of actively-managed portfolios need to be monitored and evaluated to ensure that funds under management are efficiently invested in order to satisfy the mandate specified in the policy statement. This paper discusses the primary performance evaluation techniques used to measure a portfolioâ€™s basic risk and return characteristics, risk-adjusted performance, performance attribution and market timing ability. It is concluded that the Treynor measure is more suitable for evaluating portfolios that are constitue

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Nugroho, Sulistyo Adi, Tony Irawan SE MappEc, and Ir Aruddy, Msi. "Portfolio Analysis Using the Single Index Method in the COVID-19 Pandemic Period." International Journal of Research and Review 8, no. 6 (2021): 215–25. http://dx.doi.org/10.52403/ijrr.20210626.

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The COVID-19 outbreak that occurred in early 2020 put pressure on economic activity in many countries, including Indonesia. The pressure on economic activity can be seen from the index movement in the capital market. The JCI as a composite index that reflects transaction activity in the Indonesian capital market has weakened due to the impact of the COVID-19 outbreak in a number of business sectors. The decline in the index is a warning for investors to rearrange the composition of assets in their portfolios so that returns can remain optimal during a pandemic. The single index model (SIM) can

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Pandey, Manas. "Application of Markowitz model in analysing risk and return a case study of BSE stock." Risk Governance and Control: Financial Markets and Institutions 2, no. 1 (2012): 7–15. http://dx.doi.org/10.22495/rgcv2i1art1.

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In this paper the optimal portfolio formation using real life data subject to two different constraint sets is attempted. It is a theoretical framework for the analysis of risk return choices. Decisions are based on the concept of efficient portfolios. Markowitz portfolio analysis gives as output an efficient frontier on which each portfolio is the highest return earning portfolio for a specified level of risk. The investors can reduce their risks and can maximize their return from the investment, The Markowitz portfolio selections were obtained by solving the portfolio optimization problems t

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Amir Paisal, Alifia Rachma Suhandoko, Dinah Siti Rubai’ah Adawiyah, Pebi Pebrianti, and Ujang Suherman. "Kinerja Portofolio Investasi Saham Dengan Standar Deviasi Untuk Mengukur Volatilitas Pasar Ekuitas Pada Pasar Modal Indonesia." Maeswara : Jurnal Riset Ilmu Manajemen dan Kewirausahaan 2, no. 1 (2023): 268–79. http://dx.doi.org/10.61132/maeswara.v2i1.620.

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The Indonesian capital market is a dynamic and challenging area for investment stakeholders, especially stock portfolio holders. This objective is to measure and analyze the performance of stock investment portfolios using standard deviation as a key indicator to measure equity market volatility in the Indonesian capital market. The writing method used is a descriptive method using standard deviation. The result of the standard deviation shows that the higher the investment risk between risk and return to compensate the return corresponding to the greater level of risk taken, but also increase

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Bayram, Erdi, and Rabia Aktaş. "Portfolio Construction with Postmodern Portfolio Theory Framework." Ekonomi Politika ve Finans Arastirmalari Dergisi 10, no. 1 (2025): 27–43. https://doi.org/10.30784/epfad.1576857.

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This study includes alternative portfolio construction approaches consistent with the Modern Portfolio Theory (MPT) and Postmodern Portfolio Theory (PMPT). We propose a weighting strategy based on Sharpe and Sortino optimization, and unlike MPT, we create PMPT portfolios using downside metrics, such as downside risk, downside beta, and downside capital asset pricing model (D-CAPM). Portfolios consist of stocks in the Borsa Istanbul Participation 30 Index (XK030), with the stocks in the portfolio having been revised according to screening periods. In addition, we created an equally weighted por

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Hausner, Jan Frederick, and Gary van Vuuren. "Portfolio performance under tracking error and benchmark volatility constraints." Journal of Economics, Finance and Administrative Science 26, no. 51 (2021): 94–111. http://dx.doi.org/10.1108/jefas-06-2019-0099.

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Purpose Using a portfolio comprising liquid global stocks and bonds, this study aims to limit absolute risk to that of a standardised benchmark and determine whether this has a significant impact on expected return in both high volatility period (HV) and low volatility period (LV). Design/methodology/approach Using a traditional benchmark comprising 40% equity and 60% bonds, a constant tracking error (TE) frontier was constructed and implemented. Portfolio performance for different TE constraints and different economic periods (expansion and contraction) was explored. Findings Results indicate

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Li, Lin. "Selecting Portfolios Directly Using Recurrent Reinforcement Learning (Student Abstract)." Proceedings of the AAAI Conference on Artificial Intelligence 34, no. 10 (2020): 13857–58. http://dx.doi.org/10.1609/aaai.v34i10.7201.

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Portfolio selection has attracted increasing attention in machine learning and AI communities recently. Existing portfolio selection using recurrent reinforcement learning (RRL) heavily relies on single asset trading system to heuristically obtain the portfolio weights. In this paper, we propose a novel method, the direct portfolio selection using recurrent reinforcement learning (DPS-RRL), to select portfolios directly. Instead of trading single asset one by one to obtain portfolio weights, our method learns to quantify the asset allocation weight directly via optimizing the Sharpe ratio of f

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Li, Yanru. "Portfolio Optimization for Several Industries among the U.S. Stock Market." BCP Business & Management 38 (March 2, 2023): 1523–29. http://dx.doi.org/10.54691/bcpbm.v38i.3927.

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Optimizing portfolio has been a popular topic since it was proposed because it can reduce the investment risk. This study selected five active stocks from different industries, including Online E-Commerce, Commercial Banks, Motor Vehicles, Mobile Communication Production, and Telecommunications. Then they were allocated into five kinds of portfolios, which are tangency portfolios and minimum variance portfolios under Capital Asset Pricing Model and Fama-French three-factor Model, as well as the 1/N portfolio. The results found that ‘BAC’ and ‘T’ have the largest weight and the lowest weight re

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Al-Nator, Mohammed S., and Sofya V. Al-Nator. "OPTIMAL PORTFOLIO SELECTION WITH FIXED COMMISSION." EKONOMIKA I UPRAVLENIE: PROBLEMY, RESHENIYA 4/2, no. 145 (2024): 144–51. http://dx.doi.org/10.36871/ek.up.p.r.2024.04.02.017.

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In this work the portfolio transactions with commission are investigated. It is shown that for portfolios allowing short positions, the problem of finding an optimal portfolio with a commission is non-smooth. It is also shown that the return of such portfolios is a non-smooth rational and bounded function on the weights themselves and their absolute value. Moreover, the optimal portfolio with commission may differ from the optimal portfolio without commission.

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Erwin, Dyah Astawinetu, Istiono, Hari Prastiwi Estik, and Santoso Rudy. "Optimal Portfolio Analysis on Stocks Listed in Lq45." Journal of Economics, Finance And Management Studies 07, no. 06 (2024): 3366–72. https://doi.org/10.5281/zenodo.11634966.

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The purpose of this study is to determine the optimal portfolio of stocks that are listed in the LQ-45 period (January 2023 – January 2024) and compare the return and risk in stocks that are included in the LQ-45 but not included in the optimal portfolio. The method used is the Single Index Method, which uses the ERB (Excess Return to Beta) assessment reference. The results showed that out of 45 stocks there were 10 stocks that had large ERB, which were included in the optimal portfolio were GGRM, BBTN, KLBF, EXCL, ICBP, MAPI, UNVR, CPIN, INDF, and TBIG, which provided a return of 6.61%

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Gubu, La, Dedi Rosadi, and Abdurakhman Abdurakhman. "Pembentukan Portofolio Saham Menggunakan Klastering Time Series K-Medoid dengan Ukuran Jarak Dynamic Time Warping." Jurnal Aplikasi Statistika & Komputasi Statistik 13, no. 2 (2021): 35–46. http://dx.doi.org/10.34123/jurnalasks.v13i2.295.

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This research will present the formation of stock portfolios by preprocessing data using time series clustering with a distance measure of Dynamic Time Warping (DTW). First, stocks are grouped into several clusters using the Partitioning Around Medoids (PAM) time series cluster based on the DTW distance measure. After the clustering process, stocks are selected to represent each cluster to build the optimum portfolio. The stock selected from each cluster is the one with the highest Sharpe ratio. The optimal portfolio is determined using three portfolio models, namely: the classic MV portfolio

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