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Davinder Malhotra and Srinivas Nippani
This study investigates the risk-adjusted performance of energy equity mutual funds across a 23-year period, employing the Cumulative Wealth Index (CWI) to gauge their long-term performance relative to benchmark indices. Despite inherent volatility due t...
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Suramaya Suci Kewal, Universitas Katolik Musi Charitas Palembang Yohanes Andri Putranto, Universitas Katolik Musi Charitas Palembang, Indonesia 10.21831/economia.v19i1.43957
Pág. 13 - 24
This study examines the comparison of stock performance as measured using the return and risk of stock portfolios of ethical and non-ethical companies on the Indonesia Stock Exchange. Portfolio formation using a single index model during 2016-2019. The d...
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Branimir Mocic
Pág. 65 - 78
Research Question: This paper investigates the performances of six portfolios constructed using robust optimization methods in the Serbian stock market. Motivation: Motivated by the lack of research that analyses the allocation strategies based on robust...
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Mirza Sikalo, Almira Arnaut-Berilo and Adela Delalic
Comparing portfolio performance is complex due to the fact that each model is dominant in its own risk space. Since there is no single dominant performance measure, the research problem is how to incorporate several different measures into a performance ...
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Nassar S. Al-Nassar
This study contributes to the ongoing debate on the size effect and size-based investment styles by investigating the return and volatility spillovers and time-varying conditional correlations among Saudi large-, mid-, and small-cap indices. To this end,...
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Abdellilah Nafia, Abdellah Yousfi and Abdellah Echaoui
In recent years, a great deal of attention has been devoted to the use of neural networks in portfolio management, particularly in the prediction of stock prices. Building a more profitable portfolio with less risk has always been a challenging task. In ...
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Adrian Millea and Abbas Edalat
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Mohammad Sharik Essa and Evangelos Giouvris
The study investigates the impact of financial distress (credit spread) and liquidity crises (TED spread) on size, value, profitability, investment and momentum premiums within the US Real Estate Investment Trust market. Using daily data from 2001 to 202...
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Ad van Riet
Pág. Finance an - 57
European financial regulation consistently gives governments privileged access to private investors, reflecting the anchor role assigned to sovereign securities as safe and liquid assets for the financial system. Legislative reforms after the financial c...
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Hyunsun Song and Hyunjun Choi
Various deep learning techniques have recently been developed in many fields due to the rapid advancement of technology and computing power. These techniques have been widely applied in finance for stock market prediction, portfolio optimization, risk ma...
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