We propose a new class of adaptive portfolios for asset allocation, based on a one-
parameter variation of the equally weighted portfolio and the use of the median-ranked …

This paper examines asymmetric and time-varying dependency structures between financial
returns, using a novel approach consisting of a combination of regime-switching models and …

This study focuses on the construction of investment portfolios using different optimization
methods (1/N, risk parity, hierarchical risk parity, mean variance) based on two ways of asset …

The problem of singularity of the variance-covariance matrix and its impact on the sensitivity
of Markowitz portfolio optimization has been extensively studied in the literature when the …

Goal-based wealth management (GBWM) is a portfolio approach in which the investor
associates risk with the probability of not attaining a financial goal. Using several datasets …

چکیده هدف این مقاله بررسی کارایی مدل‌های معادلات دیفرانسیل تصادفی در پیش‌بینی قیمت سهام
است. برای ارزیابی دقت این مدل‌ها، یک مطالعه مقایسه‌ای بین این مدل‌ها و مدل‌های سری زمانی متداول انجام …‎

The portfolio selection problem is one of the most discussed topics in financial literature.
Harry Markowitz (1952) is recognized as the first to formalize the risk-reward trade-off …