The victory of portfolio construction is mostly based on the future stock market performance.
Recently, the developed machine learning techniques bring more significance of involving …

Portfolio optimization is a pertinent topic of significant importance in the financial literature.
During the portfolio construction, an investor confronts two important steps: portfolio …

Purpose Motivated by the recent theoretical rehabilitation of mean-variance analysis, the
authors revisit the question of whether minimum variance (MinVar) or maximum Sharpe ratio …

In this paper, we examine the dynamic relationship between actual stock returns, forecasted
returns and investor risk aversion, where variables are analyzed in first difference form …

We propose a novel method to forecast corporate earnings, which combines the accuracy of
analysts' forecasts with the unbiasedness of a cross-sectional model. We build on recent …

We investigate the out-of-sample diversification benefits of cryptocurrencies from a
generalised perspective, a cryptocurrency-factor level, with traditional and machine-learning …

This paper examines the optimization of an Indonesian stock portfolio using two models: the
Markowitz Model (Mean-Variance Model) and the Single Index Model. The data comprises …

This quantitative study explores the impact of integrating credit risk and interest rate risk as
risk measures in bond portfolio optimization, contrasting these with more traditional risk …

This quantitative study explores the impact of integrating credit risk and interest rate risk as
risk measures in bond portfolio optimization, contrasting these with more traditional risk …

The paper builds, in the first part, a benchmark index based on the optimal mix of indices for
the global asset classes of equity, fixed-income securities, real estate, commodities, and …