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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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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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Zexin Hu, Yiqi Zhao and Matloob Khushi
Predictions of stock and foreign exchange (Forex) have always been a hot and profitable area of study. Deep learning applications have been proven to yield better accuracy and return in the field of financial prediction and forecasting. In this survey, w...
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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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This paper investigates a novel optimization problem motivated by sparse, sustainable and stable portfolio selection. The existing benchmark portfolio via the Dantzig type optimization is used to construct a sparse, sustainable and stable portfolio. Base...
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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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Yaqoob Ahmad,Guangguo Sun,Waqas Bin Khidmat
Pág. 359 - 370
This study is an attempt to investigate the fund-specific determinants of performance of conventional and Islamic mutual funds in Pakistan. For this purpose, Sharpe Ratio, Sortino Ratio, Information Ratio and Jensen Alpha are used as proxies of funds? pe...
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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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Stephanos Papadamou, Nikolaos A. Kyriazis and Lydia Mermigka
This paper investigates how mutual funds performed in Japan before and after the 2008 outburst of the global financial crisis, that is during the extension of an extraordinary unconventional monetary policy by the Bank of Japan. Style and performance ana...
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