Does reinforcement learning outperform deep learning and traditional portfolio optimization models in frontier and developed financial markets?

VM Ngo, HH Nguyen, P Van Nguyen - Research in International Business …, 2023 - Elsevier
Advancements in machine learning have opened up a wide range of new possibilities for
using advanced computer algorithms, such as reinforcement learning in portfolio risk …

Why has the equal weight portfolio underperformed and what can we do about it?

BH Taljaard, E Maré - Quantitative Finance, 2021 - Taylor & Francis
It is widely noted that market capitalisation weighted portfolios are inefficient and
underperform an equal weighted portfolio over the long-term. However, at least since 2016 …

[PDF][PDF] Why do equal-weighted portfolios outperform value-weighted portfolios

Y Plyakha, R Uppal, G Vilkov - SSRN Electronic Journal, 2015 - academia.edu
In this paper, we compare the performance of equal-and value-weighted portfolios formed
from stocks in the large-, medium-and small-cap S&P indices. We find that the equal …

What does rebalancing really achieve?

K Cuthbertson, S Hayley, N Motson… - International Journal of …, 2016 - Wiley Online Library
There is now a substantial literature on the effects of rebalancing on portfolio performance.
However, this literature contains frequent misattribution between 'rebalancing returns', which …

Institutional stock-bond portfolios rebalancing and financial stability

JB Hasse, C Lecourt, S Siagh - 2023 - hal.science
In this paper, we examine rebalancing strategies for long-term institutional investors.
Specifically, we test the difference in risk-adjusted performances between stock-bond …

An empirical approach and practical framework for a decentralized Ethereum Ecosystem Index (EEI)

MFA Gadi, M Schmidt, N Ruemmele… - PeerJ Computer …, 2024 - peerj.com
Stock market indices are pivotal tools for establishing market benchmarks, enabling
investors to navigate risk and volatility while capitalizing on the stock market's prospects …

Revisiting Stock Market Index for the Helsinki Stock Exchange 1912–1981

M Vaihekoski - Journal of Risk and Financial Management, 2024 - mdpi.com
Stock market indices play a central role in portfolio and risk management and performance
evaluation, as well as academic research. This paper presents a fully updated and extended …

How smart is a momentum strategy? An empirical study of Indian equities

A Nigam, P Pandey - Algorithmic Finance, 2023 - content.iospress.com
Abstract Smart Beta Investing has revolutionized investment management field with the
ability to offer higher returns with lower costs. The momentum factor in the Smart Beta …

If the equal weighted portfolio is so great, why isn't it working in South Africa?

BH Taljaard, E Maré - Investment Analysts Journal, 2021 - Taylor & Francis
This paper considers the recent underperformance of the equal weighted portfolio of South
African Top 40 stocks relative to the market capitalisation weighted portfolio. It highlights the …

[PDF][PDF] The risk-return characteristics of ESG and impact investments

CS Akala - 2022 - ujcontent.uj.ac.za
Given that the current socio-economic climate is plagued by societal disparities and
environmental degradation, this study highlighted the need for a societal and environmental …