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Minh Tran, Duc Pham-Hi and Marc Bui
In this paper, we propose a novel approach to optimize parameters for strategies in automated trading systems. Based on the framework of Reinforcement learning, our work includes the development of a learning environment, state representation, reward fun...
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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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Wei Pan, Jide Li and Xiaoqiang Li
Traditional portfolio theory divides stocks into different categories using indicators such as industry, market value, and liquidity, and then selects representative stocks according to them. In this paper, we propose a novel portfolio learning approach ...
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Johannes P. Steyn,Lomari Theart
AbstractOrientation: It is rational for investors to expect additional compensation for an increased risk exposure. This positive risk?return relationship is in line with traditional financial theory; however, this relationship does not always hold in em...
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Ronaldo Lamounier Locatelli,Thiago Luiz de Barros Reis,José Edson Lara,Wanderley Ramalho
Pág. 78 - 92
The Real Plan of stabilization brought about great transformations in the financial sector of the country and paved the way for the development of alternative forms of resource applications. The funds characterized as variable income and multimarket have...
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Paulo Rotela Junior, Luiz Célio Souza Rocha, Giancarlo Aquila, Edson de Oliveira Pamplona, Pedro Paulo Balestrassi, Anderson Paulo de Paiva
Pág. 623 - 631
The objective of this paper is to present a proposal to form robust portfolios using a stochastic efficiency analysis of assets from companies in the Sao Paulo Stock Exchange, focusing on the worst market state. In order to do this, information about the...
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Johannes Stübinger,Jens Bredthauer
Pág. 650 - 662
In recent years, more sophisticated techniques for analyzing data and exponential increase in computing power allow high-frequency trading. This paper provides a detailed overview on pairs trading in the context of intraday data and applies different str...
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Elisângela de Magalhães Soares,Bruno Milani
Pág. 26 - 42
The objective of this study is to compare the performance of traditional investment funds and Exchange traded funds (ETFs), which benchmarks are Ibovespa, IBrX and Sustainability Indexes, as well as free funds using daily frequency data covering the peri...
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André Alves Portela Santos
Pág. 141 - 166
Robust optimization has been receiving increased attention in the recent few years due to the possibility of considering the problem of estimation error in the portfolio optimization problem. A question addressed so far by very few works is whether this ...
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