The importance of proper tail risk management is a crucial component of the investment
process and conditional Value at Risk (CVaR) is often used as a tail risk measure. CVaR is …

Optimal asset allocation is a key topic in modern finance theory. To realize the optimal asset
allocation on investor's risk aversion, various portfolio construction methods have been …

There are three distinguishing features in the financial time series, such as stock prices, are
as follows:(1) Non-normality,(2) serial correlation, and (3) leverage effect. All three points …

There are a lot of fuzzy uncertainties in the real financial market, and fuzzy numbers can well
depict this phenomenon. On the one hand, compared with fuzzy numbers (only with …

Risk diversification is an important topic for portfolio managers. Various portfolio optimization
algorithms have been developed to minimize portfolio risk under certain constraints. As an …

To clarify the evolution of credit risk research, the article searches the literature data on
credit risk research from 2007 to 2022 through the Web of Science (WOS) database and …

The mean-variance portfolio that considers the trade-off between expected return and risk
has been widely used in the problem of asset allocation for multi-asset portfolios. However …

Stock return prediction is one of the most important themes for investors. Until now, there are
many studies for the application of machine learning methods to predict stock returns in the …

Various predictive methods have been applied to predict the value of stocks. The purpose of
this research is to implement the discrete Hilbert transform in stock returns. The ability to …

Mean-Variance (MV) is a method that collects several assets using appropriate weight
intending to maximize profits and to reduce risk. Stock market conditions are very volatile …