|
|
|
|
|
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...
ver más
|
|
|
|
|
|
|
|
|
|
|
Yassin Ibrahim Eltahir,Osama Azmi Sallam,Hussien Omer Osman,Fethi Klabi
Pág. 14 - 22
This study attempts to answer the main question: are there reciprocal effects between the variances of the stock returns in the Saudi market, also the answer to a sub-question. What are the leading stocks in the Saudi market?. Study selected a sample of ...
ver más
|
|
|
|
|
|
|
|
|
|
|
Gulzar Ali,Ansa Javed Khan,Sara Rafiq
Pág. 198 - 203
The Initial Public Offering (IPO) underpricing in the stock market is considered an important factor to attract the investor towards the stock. In this study in addition to IPO the economic analysis of underpricing is investigated to examine economic eff...
ver más
|
|
|
|
|
|
|
|
|
|
|
Yassin Eltahir,Fethi Klabi,Osama Azmi Sallam,Hussien Omer Osman
Pág. 91 - 97
This study asks about the existence of co-variances and correlations among variances in the Saudi stock returns and aims at knowing which stocks are the most closely related to other stocks. A sample of five stocks representing basic materials, banking, ...
ver más
|
|
|
|
|
|
|
|
|
|
|
Masud Pervez,Md. Harun Ur Rashid,Md. Asad Iqbal Chowdhury,Mahbubur Rahaman
Pág. 88 - 95
This study aims to examine the weak form efficiency of Dhaka Stock Exchange (DSE) using random walk model of EMH based on daily return series. The study applies both non-parametric [Kolmogorov-Smirnov test with Lilliefors coefficient, run test] and param...
ver más
|
|
|
|
|
|
|
|
|
|
|
Michele Rílany Rodrigues Machado,Ivan Ricardo Gartner,Lúcio de Souza Machado
Pág. 435 - 468
This paper examined if macroeconomic variables individually have long-term relationship with Brazilian stock return rates, where the Ibovespa. For this, we applied the Markov-switching dynamic model with change in variance, between macroeconomic variable...
ver más
|
|
|
|
|
|
|
|
|
|
|
Sheereen Fauzel
Pág. 745 - 755
During the past decades, the efficient market hypothesis (EMH) has been at the heart of the debate in the financial literature. Ultimately, the consequence of the efficiency of a market is that prices always fully reflect all available information. The o...
ver más
|
|
|
|
|
|
|
|
|
|
|
Arben Zibri, Agim Kukeli
The paper studies the differences in risk reduction among global minimum variance portfolios (GMVPs) derived from the optimization of weekly and monthly return. This research follows the analysis of Zibri and Kukeli (2014) regarding differences in perfor...
ver más
|
|
|
|
|
|
|
|
|
|
|
Paulo Ferreira Naibert,João Caldeira
Pág. 504 - 543
In this paper, we study the problem of minimum variance portfolio selection based on a recent methodology for portfolio optimization restricting the allocation vector proposed by Fan et al. (2012). To achieve this, we consider different conditional and u...
ver más
|
|
|
|
|
|
|
|
|
|
|
Rafik Nazarian,Esmaeil Naderi,Nadiya Gandali Alikhani,Ashkan Amiri
Pág. 16 - 26
This study is an attempt to review the theory and applications of autoregressive fractionally integrated moving average (ARFIMA) and fractionally integrated generalized autoregressive conditional heteroskedasticity (FIGARCH) models, mainly for the purpos...
ver más
|
|
|
|
|
|