With the increasing severity of the greenhouse effect and environmental pollution,
environmental, social, and governance (ESG) investing has received much attention in …

The concept of correlation appears to be the cornerstone of modern finance as it is applied
in almost all finance-related research studies. However, Fama (1963) argued that “if the …

With the continuous development of the spot market, in the multi-stage power market
environment with the day-ahead market and right market, the study associated with the …

In this paper, we propose an index tracking model with the conditional value-at-risk (CVaR)
constraint based on a non-parametric kernel (NPK) estimation framework. In theory, we …

Index-linked investment strategies are developing rapidly. However, few studies distinguish
between the returns of an indexation portfolio above and below a benchmark index. In this …

This article introduces the Risk Balancing Frontier (RBF), a new portfolio boundary in the
absolute risk-total return space: the RBF arises when two risk indicators, the Tracking Error …

Active portfolios subject to tracking error constraints are bound by an ellipse in absolute risk-
return space, known as the constant tracking error frontier, where the absolute risk is the …

Most methods of performance evaluation and most allocation strategies are based on
tracking error, that is the excess return of the managed portfolio with respect to the …

The financial risk analysis of commodity markets has become an increasingly important
issue in the recent decade. However, studies about commodities portfolio diversification …

The purpose of investors is to maximize the expected returnin an acceptable level of risk. A
genetic algorithm (GA) based on multi-objective fuzzy approach is presented in this paper to …