scholarly journals Discrete approximate iterative method for fuzzy investment portfolio based on transaction cost threshold constraint

Open Physics ◽  
2019 ◽  
Vol 17 (1) ◽  
pp. 41-47 ◽  
Author(s):  
Manwen Tian ◽  
Shurong Yan ◽  
Xiaoxiao Tian
Keyword(s):  
Empirical Research ◽  
Dynamic Optimization ◽  
Optimization Model ◽  
Path Dependence ◽  
Stock Exchange ◽  
Linear Convergence ◽  
Threshold Value ◽  
Investment Strategy ◽  
Investment Portfolio ◽  
Absolute Deviation

Abstract There are many non-probability factors affecting financial markets and the return on risk assets is fuzzy and uncertain. The authors propose new risk measurement methods to describe or measure the real investment risks. Currently many scholars are studying fuzzy asset portfolios. Based on previous research and in view of the threshold value constraint and entropy constraint of transaction costs and transaction volume, the multiple-period mean value -mean absolute deviation investment portfolio optimization model was proposed on a trial basis. This model focuses on a dynamic optimization problem with path dependence; solving using the discrete approximate iteration method certifies the algorithm is convergent. Upon the empirical research on 30 weighted stocks selected from Shanghai Stock Exchange and Shenzhen Stock Exchange, a multi-period investment portfolio optimum strategy was designed. Through the empirical research, it can be found that the multi-period investments dynamic optimization model has linear convergence and is more effective. This is of great value for investors to develop a multi-stage fuzzy portfolio investment strategy.

scholarly journals Portfolio Optimization of the Mean-Absolute Deviation Model of Some Stocks using the Singular Covariance Matrix

2019 ◽  
Vol 8 (3) ◽  
pp. 7818-7822
Keyword(s):  
Portfolio Optimization ◽  
Covariance Matrix ◽  
Stock Exchange ◽  
Optimal Portfolio ◽  
Risk Level ◽  
Mean Absolute Deviation ◽  
Investment Portfolio ◽  
Absolute Deviation ◽  
Singular Covariance Matrix ◽  
The Mean

Investing in the stock sector, investors often face risk problems. Usually, forming an investment portfolio is done to minimize risk. In this research, investment portfolio optimization is discussed. The data analyzed are 8 shares traded on the capital market in Indonesia through the Indonesia Stock Exchange (IDX). Optimization is performed using the Mean-Absolute Deviation model with the singular covariance matrix to determine the optimal weights. The results of portfolio optimization Mean-Absolute Deviation model with singular covariance matrix method, was obtained optimal portfolio weights that is of 17.22% for BBCA shares; 26.64% for TKIM shares; 9.96% for BBRI shares; 9.96% for BBNI shares; 8.70% for BMRI shares; 3.75% for ADRO shares; 6.52% for GGRM shares; and 17.25% for UNTR shares. Where the optimal portfolio composition is obtained the expected rate of return (expected return) of 0.18% with a portfolio risk level (standard deviation) of 0.07%.

Research of Building Intelligent Investment Decision Mode for Investment Portfolio — Using Taiwan Electronic Stock as an Example

2010 ◽  
Vol 13 (04) ◽  
pp. 621-645 ◽  
Author(s):  
Wen-Rong Jerry Ho ◽  
C. H. Liu ◽  
H. W. Chen
Keyword(s):  
Stock Returns ◽  
Stock Prices ◽  
Stock Exchange ◽  
Investment Decision ◽  
Investment Strategy ◽  
Return Rate ◽  
Selection Strategy ◽  
Stock Selection ◽  
Taiwan Stock Exchange ◽  
Book To Market Ratio

This research uses all of the listed electronic stocks in the Taiwan Stock Exchange as a sample to test the performance of the return rate of stock prices. In addition, this research compares it with the electronic stock returns. The empirical result shows that no matter which kind of stock selection strategy we choose, a majority of the return rate is higher than that of the electronics index. Evident in the results, the predicted effect of BPNN is better than that of the general average decentralized investment strategy. Furthermore, the low price-to-earning ratio and the low book-to-market ratio have a significant long-term influence.

Day-of-the-week effect: A sectoral analysis of Pakistan stock exchange

2021 ◽  
pp. 2141006
Author(s):  
Farah Naz ◽  
Kanwal Zahra ◽  
Muhammad Ahmad ◽  
Salman Riaz
Keyword(s):  
Stock Exchange ◽  
Abnormal Returns ◽  
Weak Form ◽  
Investment Strategy ◽  
Ordinary Least Squares ◽  
Financial Decision ◽  
Day Of The Week ◽  
Timing Strategies ◽  
Autoregressive Conditional Heteroscedasticity ◽  
Sector Returns

This study scrutinizes the day-of-the-week effect anomaly in the context of market and industry analysis of the Pakistan stock exchange. For this purpose, daily closing prices of KSE-100, KSE-30, and KSE-All Share Index from January 01, 2009 to December 31, 2018, have been used. Similarly, sector returns are also calculated, taking average log-returns of selected sample firms. To analyze the data ordinary least squares (OLS) regression, general generalized autoregressive conditional heteroscedasticity (GARCH) (1,1) as well as asymmetric threshold GARCH (TGARCH) and exponential GARCH (EGARCH) models have been employed to model the leverage effect of good and bad news on market volatility. The results indicate the evidence of daily seasonality, with significant Monday and Wednesday effect in PSX indices returns as well as in most of the industry returns. Monday is found to be the day with the highest average returns with the highest return volatility. The findings of the study reveal that there exists a weak form of inefficiency in the Pakistan Stock Market, which implies the possibility of earning abnormal returns by investors using timing strategies. In terms of return predictability, this study is essential for international and domestic investors and it may affect their investment strategy and return management. The results might be interesting to the financial experts as they ponder the available conditions in the capital market for financial decision-making. This study is one of its first kind that includes both indices as well as industry returns for analysis of manufacturing industries in Pakistan stock exchange.

scholarly journals Riskmetrics™ Methodology in Assessment of Investment Risk on Capital Markets

2010 ◽  
Vol 9 (1) ◽  
pp. 34-51
Author(s):  
Grzegorz Mentel
Keyword(s):  
Capital Markets ◽  
Stock Exchange ◽  
Risk Measures ◽  
Market Risk ◽  
Investment Risk ◽  
Financial Instruments ◽  
Investment Portfolio ◽  
Warsaw Stock Exchange ◽  
Financial Portfolio

Riskmetrics™ Methodology in Assessment of Investment Risk on Capital Markets In the article the author has presented the methodology of assessment of market risk connected with investing in all sorts of financial instruments such as: shares, bonds and other derivatives, e.g. RiskGrade (RG). The measure has been introduced by RiskMetrics. The article presents the application of RiskGrades methodology while choosing the optimum investment portfolio for a Polish investor who invests in shares in the Warsaw Stock Exchange. Moreover, some other risk measures have been discussed which describe the efficiency of the optimum financial portfolio.

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