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Apichat Chaweewanchon and Rujira Chaysiri
With the advances in time-series prediction, several recent developments in machine learning have shown that integrating prediction methods into portfolio selection is a great opportunity. In this paper, we propose a novel approach to portfolio formation...
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Francesca Bell,Gary van Vuuren
AbstractOrientation: Environmental, social and governance (ESG) factors have evolved from peripheral significance (2000s) to a leading factor (2022) for many corporates. Most are now assigned ESG grades; which are increasingly scrutinised by investors.Re...
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Imroz Mahmud
Pág. 127 - 142
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Jelena Z. Stankovic,Evica Petrovic,Ksenija Dencic-Mihajlov
Pág. 017 - 026
Despite its wide use in practice, Modern Portfolio Theory and Markowitz?s approach to optimization, which is based on quadratic programming and the first two moments of the probability distribution of returns as major parameters, was faced with criticism...
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Unbreen Arif,Muhammad Tayyab Sohail
Pág. 243 - 255
The development of asset pricing model is attributed to Markowitz (1952) which initiated towards Modern Portfolio Theory (MPT). The whole concept of MPT based on normality of returns assumption but in emerging economies volatility of returns is an import...
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