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Articoli di riviste sul tema "Portfolio investment"

Autore: Grafiati

Pubblicato: 4 giugno 2021

Ultima modifica: 25 luglio 2025

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1

Huang, Tian, Deyi Shi, and Shihao Xue. "The role and helpfulness of pensions in personal financial investment after retirement." BCP Business & Management 23 (August 4, 2022): 255–63. http://dx.doi.org/10.54691/bcpbm.v23i.1359.

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More than 90% of wage earners in the United States can receive pension options benefits after retirement. It is especially important to manage funds reasonably and choose the right investment after retirement. We use the capital asset pricing model (CAPM) and the Fama-French three-factor model to establish pension and non-pension investment portfolios and measure the return and risk changes of pension portfolio investments under different portfolio investments. The experimental results show that pensions are of great help to the return and Sharpe ratio of portfolio investments. With the interv

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2

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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3

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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4

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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5

M, Ismed Surianegara, and Sudjono. "Investment Portfolio Optimization and Performance (Case Study on PLN Pension Fund Period 2010-2020)." International Journal of Innovative Science and Research Technology 7, no. 8 (2022): 1772–79. https://doi.org/10.5281/zenodo.7098432.

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The Purpose of the research was to analyze the composition of the Investmen Portfolios that can provide optimal results. Portfolio optimization calculation using Model Markowitz with two assumptions, namely maximizing portfolio return and using Risk Adjusted Return (RAR). In the last three years, namely 2018, 2019 and 2020, the ROI phenomenon of DP-PLN investments is below the technical interest rate of 8.5%, so it is necessary to optimize the investment portfolio. Return on investment portfolio of DP-PLN The optimal result in this study is 11.30% with a portfolio risk of 3.77%. To achieve a r

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6

Jurevičienė, Daiva, and Agnė Jakavonytė. "Alternative Investments: Valuation of Wine as a Means for Portfolio Diversification." Verslas: Teorija ir Praktika 16, no. 1 (2015): 84–93. http://dx.doi.org/10.3846/btp.2015.606.

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This article analyses wine as an alternative investment tool and its relevance for investment portfolio diversification. Advantages and disadvantages of alternatives, benefits and weakness and peculiarities of investing in wine are systemised. In addition, the article looks at statistical data analysis of fine wine market and compares wine with other investment tools. The examination is based on three investment instruments: US equities (using SandP 500 index), bonds (using US 20-Year treasury constant maturity rate/DGS20) and wine (based on Fine Wine Investable index) using 1993–2012 (end of

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7

Jurevičienė, Daiva, and Agnė Jakavonytė. "Alternative Investments: Valuation of Wine as a Means for Portfolio Diversification." Business: Theory and Practice 16, no. (1) (2015): 84–93. https://doi.org/10.3846/btp.2015.606.

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This article analyses wine as an alternative investment tool and its relevance for investment portfolio diversification. Advantages and disadvantages of alternatives, benefits and weakness and peculiarities of investing in wine are systemised. In addition, the article looks at statistical data analysis of fine wine market and compares wine with other investment tools. The examination is based on three investment instruments: US equities (using S&P 500 index), bonds (using US 20-Year treasury constant maturity rate/DGS20) and wine (based on Fine Wine Investable index) using 1993–2012 (end o

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8

Gusliana, Shindi Adha, and Yasir Salih. "MEAN-VARIANCE INVESTMENT PORTFOLIO OPTIMIZATION MODEL WITHOUT RISK-FREE ASSETS IN JII70 SHARE." International Journal of Business, Economics, and Social Development 3, no. 4 (2022): 168–73. http://dx.doi.org/10.46336/ijbesd.v3i4.352.

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In investing, investors will try to limit all the risks in managing their investments. Investor strategies to minimize investment risk are diversification by forming investment portfolios, one of which is the Mean-Variance without risk-free assets. The calculation results will show the composition of the optimum portfolio return for each stock that forms the portfolio. Optimum portfolio obtained with wT = (0.39853, 0.25519, 0.13644, 0.09788, 0.11196) sequential weight composition for TLKM, KLBF, INCO, HRUM, and FILM stocks. The composition of this optimal portfolio return is ???? 0.04 with a r

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9

Kiyko, S., L. Deineha, M. Basanets, D. Kamienskyi, and A. Didenko. "PORTFOLIO MANAGEMENT OF ENERGY SAVING PROJECTS BASED ON THE MARKOVITS THEORY." Integrated Technologies and Energy Saving, no. 3 (November 9, 2021): 79–91. http://dx.doi.org/10.20998/2078-5364.2021.3.08.

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The goal of the work was to identify research and compare methods of portfolio management of energy saving projects and to develop software for optimizing portfolio investments using several methods. The key elements and strategies of creating an effective investment portfolio are considered: diversification, rebalancing, active portfolio management, passive portfolio management. Given the basic principles of investment theory, the task of portfolio investment is to form an investment portfolio with known shares of certain assets to maximize returns and minimize risk. To solve this probl

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10

Gusliana, Shindi Adha, and Yasir Salih. "Mean-Variance Investment Portfolio Optimization Model Without Risk-Free Assets in Jii70 Share." Operations Research: International Conference Series 3, no. 3 (2022): 101–6. http://dx.doi.org/10.47194/orics.v3i3.185.

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Abstract (sommario):

In investing, investors will try to limit all the risks in managing their investments. Investor strategies to minimize investment risk are diversification by forming investment portfolios, one of which is the Mean-Variance without risk-free assets. The calculation results will show the composition of the optimum portfolio return for each stock that forms the portfolio. Optimum portfolio obtained with wT = (0.39853, 0.25519, 0.13644, 0.09788, 0.11196) sequential weight composition for TLKM, KLBF, INCO, HRUM, and FILM stocks. The composition of this optimal portfolio return is 𝜏 0.04 with a retu

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11

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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12

Usmonov, Xikmatilla. "BANK INVESTMENT PORTFOLIO DEVELOPMENT." INNOVATIONS IN ECONOMY 6, no. 3 (2020): 33–38. http://dx.doi.org/10.26739/2181-9491-2020-6-5.

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This article analyzes the development of the investment portfolio of commercial banks in Uzbekistan and their investment factors. In order to develop the investment portfolios of banks, recommendations were given on the use of international experience. Report on investment portfolio and commercial banks. It also covers the investment portfolio, the nature of investment asset management, the risks associated with it, the risks that affect the effectiveness of investment portfolio management, and the importance of effective investment portfolio management

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Blagoev, Dimitar, and Krasimir Petkov. "EQUITY CROWDFUNDING AS A TYPE OF PROJECT INVESTING." Trakia Journal of Sciences 17, Suppl.1 (2019): 234–42. http://dx.doi.org/10.15547/tjs.2019.s.01.039.

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PURPOSE The Article aims to present the potential and capabilities of the application of equity crowdfunding as an option to invest and to form investment portfolios for the individual investors. The emphasis is shifted from the widespread use of the concept of crowdfunding, as a cutting-edge source for providing capital for investment projects of innovative companies (especially suitable source for the so called Startup companies), to its use as a tool for establishing an investment portfolio based on appropriate balance between the rates of return and risk. METHODS Various authors' views on

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14

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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15

Qi, Yue, and Xiaolin Li. "On Imposing ESG Constraints of Portfolio Selection for Sustainable Investment and Comparing the Efficient Frontiers in the Weight Space." SAGE Open 10, no. 4 (2020): 215824402097507. http://dx.doi.org/10.1177/2158244020975070.

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Sustainable investment is typically fulfilled by screening of environmental, social, and governance (ESG); the screening strategies are practical and expedite sustainable-investment development. However, the strategies typically build portfolios by a list of good stocks and ignore portfolio completeness. Moreover, there has been limited literature to study the portfolio weights of sustainable investment in the weight space. In such an area, this article contributes to the literature as follows: We extend a conventional portfolio-selection model and impose ESG constraints. We analytically solve

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16

Inci, A. Can, and Rachel Lagasse. "Cryptocurrencies: applications and investment opportunities." Journal of Capital Markets Studies 3, no. 2 (2019): 98–112. http://dx.doi.org/10.1108/jcms-05-2019-0032.

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Purpose This study investigates the role of cryptocurrencies in enhancing the performance of portfolios constructed from traditional asset classes. Using a long sample period covering not only the large value increases but also the dramatic declines during the beginning of 2018, the purpose of this paper is to provide a more complete analysis of the dynamic nature of cryptocurrencies as individual investment opportunities, and as components of optimal portfolios. Design/methodology/approach The mean-variance optimization technique of Merton (1990) is applied to develop the risk and return char

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17

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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18

I, Made Gede Abandi Semeru, and A. Nainggolan Yunieta. "Investment Portfolio Optimization in Indonesia (Study On: Lq-45 Stock Index, Government Bond, United States Dollar, Gold and Bitcoin)." International Journal of Current Science Research and Review 06, no. 07 (2023): 4922–34. https://doi.org/10.5281/zenodo.8176420.

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Abstract : In forming their portfolios, investors should analyze the risk and return of each investment instrument. This is aimed at preventing investors from speculating and gambling with their investments. Conducting an investment portfolio optimization study on LQ-45 stock index, government bond, USD, gold, and Bitcoin can provide valuable insights due to unique market characteristics in Indonesia. This research analyzes the formation of investment instruments over the last 60 months, specifically from January 2018 to December 2022. The research method used in this study is quantitative res

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19

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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20

Rutkauskas, Aleksandras Vytautas, and Grigorij Žilinskij. "Investment Portfolio Optimisation Model Based on Stocks Investment Attractiveness." Business: Theory and Practice 13, no. (3) (2012): 242–52. https://doi.org/10.3846/btp.2012.26.

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Firm's performance and potential return on investments in its stocks are determined by many factors. However, most of portfolio optimisation methods are oriented to decision- making based on stock price changes in the past. Recent financial crisis has showed that often the biggest downfall in the period of crisis is experienced by stocks, which had the biggest growth before crisis. So decision- making based on stock price tendencies analysis by ignoring fundamental factors can be inefficient. The variety of MCDM methods was briefly described and their application possibilities for portfolio op

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Wang, Lei. "Portfolio Construction Based on the Modern Portfolio Theory Including Gold, Crude Oil and Cryptocurrency." BCP Business & Management 38 (March 2, 2023): 3343–51. http://dx.doi.org/10.54691/bcpbm.v38i.4296.

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Finding and optimizing the best investment strategies is one of the most important skills in financial markets. However, the research on the construction of different types of investment portfolios including stocks, goods, and cryptocurrency is not perfect enough. This article constructs an optimal portfolio utilized Modern Portfolio Theory and Sharpe ratio. Based on the price data of two stocks in China Securities Index 300, three stocks in Standard and Poor's 500, Gold, Crude Oil and Bitcoin, the portfolio of 8 kinds of price data are simulated and calculated. A variety of optimal investment

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22

Lee, Yongjae, Woo Chang Kim, and Jang Ho Kim. "Achieving Portfolio Diversification for Individuals with Low Financial Sustainability." Sustainability 12, no. 17 (2020): 7073. http://dx.doi.org/10.3390/su12177073.

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While many individuals make investments to gain financial stability, most individual investors hold under-diversified portfolios that consist of only a few financial assets. Lack of diversification is alarming especially for average individuals because it may result in massive drawdowns in their portfolio returns. In this study, we analyze if it is theoretically feasible to construct fully risk-diversified portfolios even for the small accounts of not-so-rich individuals. In this regard, we formulate an investment size constrained mean-variance portfolio selection problem and investigate the r

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Sriyono, Sriyono, Detak Prapanca, and Adelia Oktaviani. "Pengambilan Keputusan Investasi Portofolio : Pendekatan Model Indeks Tunggal Saham." Benefit: Jurnal Manajemen dan Bisnis 6, no. 2 (2021): 72–96. http://dx.doi.org/10.23917/benefit.v6i2.14489.

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Abstract. This study aims to determine the composition of the optimal portfolio formation using the Single Index method on LQ-45 shares in the Indonesia Stock Exchange period 2016 - 2018. This research was conducted on the basis of the increasing number of investors who chose to invest their funds in shares, where this is indicated from the increasing positive sentiment on stock investment compared to other investments. Portfolio formation using the Single Index model is one model that can be used to form optimal portfolios, because with this model portfolios are easily formed to fit the desir

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Yakupov, B. T. "A new approach to analyzing volatility and risk in portfolio investments." Lomonosov Economics Journal 59, no. 2_2024 (2024): 75–94. http://dx.doi.org/10.55959/msu0130-0105-6-59-2-4.

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In this article volatility as a measure of risk is considered by the author as the main problem of modern portfolio theory and not as a risk in its traditional sense. The author proposes to introduce the concepts of volatility risk and risk of capital loss, as well as their interpretation in order to distinguish the situations in portfolio investment, when the risk in the form of volatility (standard deviation) according to Markowitz portfolio theory is implied and when there is a real threat of capital loss by the investor. The purpose of the study is to revise the existing concept of assessi

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Meng, Lingyan, and Dishi Zhu. "Application of Algorithms of Constrained Fuzzy Models in Economic Management." Complexity 2021 (April 15, 2021): 1–12. http://dx.doi.org/10.1155/2021/9912534.

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Stochasticity and ambiguity are two aspects of uncertainty in economic problems. In the case of investments in risky assets, this uncertainty is manifested in the uncertainty of future returns. On the contrary, the complexity of the economic phenomenon itself and the ambiguity inherent in human thinking and judgment are characterized by indistinct boundaries. For the same problem, research from different perspectives can often provide us with more comprehensive and systematic information. Currently, the expected value of return or the variance representing risk is still used as a rational inve

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KIMANI, MBOGO PETER, and DR JOSIAH ADUDA. "THE EFFECT OF PORTFOLIO SIZE ON THE FINANCIAL PERFORMANCE OF PORTFOLIOS OF INVESTMENT FIRMS IN KENYA." International Journal of Finance and Accounting 1, no. 2 (2016): 77. http://dx.doi.org/10.47604/ijfa.153.

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Purpose The purpose of this study was to determine the effect of portfolio size on the financial performance of portfolios of investment firms in Kenya. Methodology: The research design adopted a descriptive survey study. This implied that the total population of this study is 90 firms as given by the Kenya Association of Investment Groups (KAIG). For representativeness purposes, the current study took a sample size of 50% of the population. This was 45 firms. The study used secondary data from the financial statements of the investments firms. The selected period was 5 years. The researcher u

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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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Waluyo, Dwi Eko, Sih Darmi Astuti, and Gerald Guan Gan Goh. "The Optimum Portfolio of Sharia Stocks in Indonesia." IKONOMIKA 8, no. 2 (2023): 267. https://doi.org/10.24042/ijebi.v8i2.21314.

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This research investigates whether optimizing stock portfolios aligns with prudence in Sharia-compliant stock investment. It compares the portfolio optimization analysis between Sharia-compliant securities and the Jakarta Islamic Index. Each group is structured with its optimal portfolio composition to achieve the highest expected return for various possible risks. Two efficient frontiers are derived from both optimal portfolios. A slight intersection is found in the efficient frontier between these two portfolio groups, justifying that taking high risks in one group results in a low-risk choi

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Amal, Moh Alfi, Herlina Napitupulu, and Sukono. "Particle Swarm Optimization Algorithm for Determining Global Optima of Investment Portfolio Weight Using Mean-Value-at-Risk Model in Banking Sector Stocks." Mathematics 12, no. 24 (2024): 3920. https://doi.org/10.3390/math12243920.

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Computational algorithms are systematically written instructions or steps used to solve logical and mathematical problems with computers. These algorithms are crucial to rapidly and efficiently analyzing complex data, especially in global optimization problems like portfolio investment optimization. Investment portfolios are created because investors seek high average returns from stocks and must also consider the risk of loss, which is measured using the value at risk (VaR). This study aims to develop a computational algorithm based on the metaheuristic particle swarm optimization (PSO) model

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Robiyanto, Robiyanto, Bayu Adi Nugroho, Andrian Dolfriandra Huruta, Budi Frensidy, and Suyanto Suyanto. "Identifying the Role of Gold on Sustainable Investment in Indonesia: The DCC-GARCH Approach." Economies 9, no. 3 (2021): 119. http://dx.doi.org/10.3390/economies9030119.

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This research investigated the performance of a dynamic portfolio that consists of sustainable/ethical stocks and gold. The main purpose of this study is to prove that the inclusion of gold in sustainable/ethical stocks portfolios could produce better performance. Therefore, the method used in this research, DCC-GARCH, was relaxing the basic assumptions in the theory of modern portfolio that is under the assumption of the normality of stock return and securities would have constant correlation. This research used data such as SRI-KEHATI Index (SKI) and Jakarta Islamic Index (JII) in Indonesia

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Gao, Haoxuan. "A Review of the Development of Portfolio Theory and Its Application in the Chinese Securities Market." Advances in Economics, Management and Political Sciences 87, no. 1 (2024): 214–22. http://dx.doi.org/10.54254/2754-1169/87/20240998.

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In the field of financial investment, portfolio theory has been widely studied as an important risk management and asset allocation tool. Generally speaking, investors will always aim for low risk and high yield. The portfolio theory fully accounts for investor psychology and introduces the concept of diversified investment, which focuses on finding ways to diversify investments to minimize non-systematic risk and maximize returns when people's expected income is impacted by a variety of uncertain factors. Portfolio theory, as one of the most important theories in the modern financial field, a

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Wulandari, Diah, Dwi Ispriyanti, and Abdul Hoyyi. "OPTIMALISASI PORTOFOLIO SAHAM MENGGUNAKAN METODE MEAN ABSOLUTE DEVIATION DAN SINGLE INDEX MODEL PADA SAHAM INDEKS LQ-45." Jurnal Gaussian 7, no. 2 (2018): 119–31. http://dx.doi.org/10.14710/j.gauss.v7i2.26643.

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Stock investment is the planting of money in a securities that indicates the ownership of a company in order to provide benefits in the future. In obtaining optimal results from stock investments, investors are expected to create a series of portfolios. The portfolio will help investors in allocating some funds in different types of investments in order to achieve optimal profitability. For selection of optimal stocks representing LQ-45 Index, used 2 methods of Mean Absolute Deviation (MAD) method and Single Index Model (SIM) method. In MAD method, 5 best stocks are BBCA with weight 23%, INDF

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Dubrovin, Valerii, Larysa Deineha, and Valerii Laktionov. "Decision-making support system for managing portfolios of energy saving projects at energy-intensive enterprises." Electrical Engineering and Power Engineering, no. 4 (January 30, 2023): 24–32. http://dx.doi.org/10.15588/1607-6761-2022-4-3.

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Purpose. Development of a software complex based on decision-making methods for managing a portfolio of energy-saving projects at energy-intensive enterprises. Methodology. To solve the problem of managing project portfolios, Markowitz's portfolio theory of financial investments was chosen, which allows for the most profitable distribution of portfolio risk and performing income assessment using optimization methods. In combination with this theory, it was determined to use the methods of finding the maximum Sharpe ratio, as well as the minimum volatility based on a data package of randomly ge

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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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Bekareva, Svetlana Viktorovna, Anna Vladimirovna Getmanova, and Anastasiya Igorevna Ivanova. "Effectiveness of an interactive method in teaching investment literacy: Factors determining the return of beginning investors’ portfolios." Science for Education Today 12, no. 5 (2022): 137–61. http://dx.doi.org/10.15293/2658-6762.2205.08.

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Introduction. The article examines how certain factors influence the efficiency of forming virtual portfolio of financial assets. The purpose of the article is to identify the factors that contribute to the investment return of beginning investors. Materials and Methods. The methodological basis of the study includes Russian and international research articles devoted to enhancing financial and investment literacy on the national level, the role of financial education in successful investments, and the factors of return estimations for various groups of investors, including young people and be

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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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Wang, Heran. "Constrained Portfolio Optimization: Markowitz Model and Index Model." SHS Web of Conferences 208 (2024): 04021. https://doi.org/10.1051/shsconf/202420804021.

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Portfolio optimization is a crucial aspect of contemporary finance, facilitating the efficient balancing of risk and return for investors. In light of the intricate nature of actual investments, constrained portfolio optimization has assumed greater significance as a means of reflecting the practical realities of investment scenarios. Based on historical data, this study employs the Markowitz and Index models to optimize portfolios utilizing 24 years (2000-2024) of daily total return from 10 stocks across five sectors as well as the S&P 500 index. Several financial metrics are calculated,

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Tudor, Cristiana. "Opportunities in clean energy equity markets: the compelling case for nuclear energy investments." Journal of Business Economics and Management 25, no. 5 (2024): 960–80. http://dx.doi.org/10.3846/jbem.2024.22350.

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This study analyzes the post-pandemic dynamics and investment potential of diverse clean energy equities, including solar, wind, nuclear, and other renewable assets, highlighting nuanced differences and investment opportunities within this critical sector. The analysis reveals that nuclear energy portfolios (NLR) exhibit notable resilience, sustaining growth amidst significant market volatility. Within the mean-variance portfolio optimization (MVO) framework, this study identifies strategic investments that balance risk and return, underscoring NLR’s role as a stabilizing force and return enha

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van Bilsen, Servaas, Ilja A. Boelaars, and A. Lans Bovenberg. "The Duration Puzzle in Life-Cycle Investment*." Review of Finance 24, no. 6 (2020): 1271–311. http://dx.doi.org/10.1093/rof/rfaa009.

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Abstract By analyzing the portfolio allocations of target date funds (TDFs), we document that the observed durations of TDF portfolios are inconsistent with the durations predicted by classical portfolio theory. We call this stylized fact the duration puzzle. We investigate to what extent several extensions of classical portfolio theory can explain the duration puzzle. More specifically, we consider the impact of human capital, inflation risk, and portfolio restrictions on the duration of the optimal portfolio. We find that it is difficult to explain the duration puzzle, especially for individ

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Wu, Chang. "Applications of Modern Portfolio Theory in Resource Allocation and Asset Management for Institutional Investors: A Review." Advances in Economics, Management and Political Sciences 199, no. 1 (2025): 77–83. https://doi.org/10.54254/2754-1169/2025.bj24978.

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Modern Portfolio Theory (MPT) provides a framework for constructing portfolios that minimize associated risk parameters. The author searched Google Scholar for applications of Modern Portfolio Theory from 2015 to 2024, with a focus on uses of the theory in investments. The article discusses some scenarios involving applying MPT. This mean-variance optimization approach revolutionizes investment strategies by replacing speculative decisions with systematic risk management. The studys applications extend beyond traditional equity markets to many other circumstances, such as resource allocation a

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Abdul Hali, Nurfadhlina, and Ari Yuliati. "Markowitz Model Investment Portfolio Optimization: a Review Theory." International Journal of Research in Community Services 1, no. 3 (2020): 14–18. http://dx.doi.org/10.46336/ijrcs.v1i3.104.

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In the face of investment risk, investors generally diversify and form an investment portfolio consisting of several assets. The problem is the fiery proportion of funds that must be allocated to each asset in the formation of investment portfolios. This paper aims to study the optimization of the Markowitz investment portfolio. In this study, the Markowitz model discussed is that which considers risk tolerance. Optimization is done by using the Lagrangean Multiplier method. From the study, an equation is obtained to determine the proportion (weight) of fund allocation for each asset in the fo

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Zverev, Alexei, Victoria Mandron, Tatiana Rebrina, Maria Mishina, and Yulia Karavaeva. "Investment policy of the banking sector: data from Russia." Revista Amazonia Investiga 10, no. 42 (2021): 149–62. http://dx.doi.org/10.34069/ai/2021.42.06.14.

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Abstract (sommario):

The growing investment activity of banking sector organisations is an important condition for securing diversification of assets and obtaining additional sources of income, as well as maintaining the required level of liquidity. Economic crises and instability of stock markets affect the investment policy of a bank, the quality of its investment portfolio, and the scope of investment transactions with securities. The purpose of the research is to carry out a comprehensive analysis of the investment mechanism of the Russian banking sector and its organisation, to characterise the investment pol

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Назарова, Elena Nazarova, Жданова, and O. Zhdanova. "Theories of Investment Portfolio Optimization." Economics of the Firm 5, no. 4 (2016): 51–57. http://dx.doi.org/10.12737/24442.

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Abstract (sommario):

The article presents an analysis of the theories of the investment portfolio optimization, characterizes diversification strategies, gives the evaluation of the Russian theory of optimization of investment portfolios.

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Dr., Keshav Gupta, and Ritika Gupta Ms. "CONSTRUCTING INVESTMENT PORTFOLIO: AN ANALYSIS OF PRICING OF SECURITIES." International Journal of Marketing & Financial Management 2, no. 1 (2014): 150–71. https://doi.org/10.5281/zenodo.10782296.

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Abstract: <strong> </strong> An investment portfolio is a collection of assets owned by an individual or by an institution. An investor's portfolio can include real estate and so-called "hard" assets, such as gold bars. But most investment portfolios, particularly portfolios that are assembled to pay for a retirement, are made up mainly of securities, such as stocks, bonds, mutual funds, money market funds and exchange traded funds. The Objectives of the study is to explore application of financial modeling in selection of securities portfolio. The stress has been given to check validity

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Sai, Priya KV. "Evaluating the Role of Virtual Digital Assets in Diversifying Investment Portfolios." Journal of Research and Review in Digital Marketing and Communications 2, no. 1 (2024): 54–61. https://doi.org/10.5281/zenodo.14032548.

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<em>Cryptocurrencies have emerged as the new type of assets that recently became popular in the financial markets. This paper focuses on the effects of virtual digital assets on investment portfolios. Using MPT as a theoretical framework, the research analyzes how the digital assets impact portfolio risk, return, and diversification. Its distinguishing features are decentralization, non-correlation with conventional financial instruments and relative high incidence. These features give portfolio optimization a new angle in diversification which would eliminate general risks and also improve po

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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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Abstract (sommario):

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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Huang, Zi’an. "Investment Portfolio Management Based on Realistic US’s Stock Data with Two Models." BCP Business & Management 26 (September 19, 2022): 929–36. http://dx.doi.org/10.54691/bcpbm.v26i.2055.

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Abstract (sommario):

Portfolio theory is widely used in the financial field. Let us Suppose we combine the modern investment portfolio theory and diversify the investment portfolio. In that case, we can reduce investment risks and increase the possibility of satisfying all kinds of investors to obtain investment returns. In this article, we mainly consider applying the Markowitz model and the index model in portfolio theory, trying to explore its rate of return in the US market. We found that in the constructed investment portfolio, the portfolio’s return and Sharpe ratio constructed by the Markowitz model are con

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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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Abstract (sommario):

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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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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Henriques, Irene, and Perry Sadorsky. "Can Bitcoin Replace Gold in an Investment Portfolio?" Journal of Risk and Financial Management 11, no. 3 (2018): 48. http://dx.doi.org/10.3390/jrfm11030048.

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Bitcoin is an exciting new financial product that may be useful for inclusion in investment portfolios. This paper investigates the implications of replacing gold in an investment portfolio with bitcoin (“digital gold”). Our approach is to use several different multivariate GARCH models (dynamic conditional correlation (DCC), asymmetric DCC (ADCC), generalized orthogonal GARCH (GO-GARCH)) to estimate minimum variance equity portfolios. Both long and short portfolios are considered. An analysis of the economic value shows that risk-averse investors will be willing to pay a high performance fee

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