Since the rise of ML/AI, many researchers and practitioners have been trying to predict future stock price movements. In actual implementations, however, stop-loss is widely adopted to manage risks, which sells an asset if its price goes below a predetermined level. Hence, some buy signals from...

It is widely believed that the 1/n portfolio provides a good ex-post performance. Several studies have compared the 1/n portfolio with respect to a set of optimal mean-variance policies to prove or disprove the superiority of the 1/n portfolio. However, this approach is not likely to yield a...

The introduction of levered exchange-traded products was heralded as a convenient mechanism for investors to enhance performance over traditional borrowing and leverage strategies. In many cases, these products have not generated the anticipated benefits. Because multi-period returns for levered...

Currently, Korea's National Pension Plan is the third-largest public pension in the world. According to its financial projections from 2013, the Pension fund's accumulated amount is expected to reach its highest point — as much as 50% of the nation's GDP by 2043. However, experts predict that...

The Korean National Pension Service (NPS) is a funded and defined-benefit system. The accumulated fund of the NPS has increased gradually, and has now reached 35% of the national gross domestic product (GDP). However, this large fund will become depleted by 2060 due to the aging population and...

Following the increased accessibility of retail investors to the financial sector, the indication of their risk propensity has become important to the industry. This research aims to identify the correlation between the existing customer risk aversion analysis method and the actual investment...