scholarly journals Saving Time in Portfolio Optimization on Financial Markets

2020 ◽  
Author(s):  
Todor Atanasov Stoilov ◽  
Krasimira Petrova Stoilova ◽  
Miroslav Dimitrov Vladimirov
Keyword(s):  
Financial Markets ◽  
Portfolio Optimization

scholarly journals Some of the unanswered questions in finance

2006 ◽  
Vol 53 (2) ◽  
pp. 223-230
Author(s):  
Dragana Djuric
Keyword(s):  
Financial Markets ◽  
Portfolio Optimization ◽  
Portfolio Theory ◽  
Economic Factors ◽  
Theoretical Base ◽  
Market Theory ◽  
Efficient Market ◽  
Efficient Market Theory ◽  
Substantial Progress ◽  
Behaviorist Theory

A very dynamic development of finance in the last 50 years is inter alia probably due to experiments and innovations in this field. Previously theoretical base could not explain and predict movements especially in volatile times. "The new finance" appeared 50 years ago (portfolio theory CAPM, the efficient market theory, M&M theorem) and made substantial progress in understanding movements in globalized and internationalized financial markets. However, many questions remain open. The author tries to put emphasis on some of these questions, perfectly aware that these are not the only ones. Unresolved questions are related to company's aims, project's risks, degree of portfolio optimization, importance of liquidity, dividend policy, as well as factors that determine M&A. As the "new finance" is not able to predict and explain volatile movements, a question that should be posed is whether it is appropriate to add some non-economic factors as the behaviorist theory suggests. Although the behaviorist theory is an important part of "new finance", it is unfortunately the only theory able to explain movements in volatile times. In conclusion, many questions still remain unanswered and wait for appropriate theoretical explanations.

scholarly journals A Firefly Algorithm for Portfolio Optimization

2019 ◽  
Vol 25 (3) ◽  
pp. 282-291
Author(s):  
Indana Lazulfa
Keyword(s):  
Financial Markets ◽  
Portfolio Optimization ◽  
Firefly Algorithm ◽  
Optimization Problems ◽  
Risk Measures ◽  
Variance Model ◽  
Multi Objective ◽  
Risk Return ◽  
Portfolio Optimization Model ◽  
Mean Variance

Portfolio optimization is the process of allocating capital among a universe of assets to achieve better risk – return trade-off. Portfolio optimization is a solution for investors to get the return as large as possible and make the risk as small as possible. Due to the dynamic nature of financial markets, the portfolio needs to be rebalanced to retain the desired risk-return characteristics. This study proposed multi objective portfolio optimization model with risk, return as the objective function. For multi objective portfolio optimization problems will be used mean-variance model as risk measures. All these portfolio optimization problems will be solved by Firefly Algorithm (FA).

scholarly journals Impact Analysis of Financial Regulation on Multi-Asset Markets Using Artificial Market Simulations

2020 ◽  
Vol 13 (4) ◽  
pp. 75 ◽  
Author(s):  
Masanori Hirano ◽  
Kiyoshi Izumi ◽  
Takashi Shimada ◽  
Hiroyasu Matsushima ◽  
Hiroki Sakaji
Keyword(s):  
Financial Markets ◽  
Portfolio Optimization ◽  
Impact Analysis ◽  
Financial Regulation ◽  
Capital Adequacy ◽  
Asset Markets ◽  
Negative Effects ◽  
Artificial Market ◽  
Trading Agents ◽  
The Impact

In this study, we assessed the impact of capital adequacy ratio (CAR) regulation in the Basel regulatory framework. This regulation was established to make the banking network robust. However, a previous work argued that CAR regulation has a destabilization effect on financial markets. To assess impacts such as destabilizing effects, we conducted simulations of an artificial market, one of the computer simulations imitating real financial markets. In the simulation, we proposed and used a new model with continuous double auction markets, stylized trading agents, and two kinds of portfolio trading agents. Both portfolio trading agents had trading strategies incorporating Markowitz’s portfolio optimization. Additionally, one type of portfolio trading agent was under regulation. From the simulations, we found that portfolio optimization as each trader’s strategy stabilizes markets, and CAR regulation destabilizes markets in various aspects. These results show that CAR regulation can have negative effects on asset markets. As future work, we should confirm these effects empirically and consider how to balance between both positive and negative aspects of CAR regulation.

European Financial Markets and Institutions

2009 ◽  
Author(s):  
Jakob de Haan ◽  
Sander Oosterloo ◽  
Dirk Schoenmaker
Keyword(s):  
Financial Markets ◽  
Markets And Institutions

Discrete Models of Financial Markets

2009 ◽  
Author(s):  
Marek Capinski ◽  
Ekkehard Kopp
Keyword(s):  
Financial Markets ◽  
Discrete Models
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