Observed international diversification implies an investment home bias (IHB). Can bivariate preferences with a local … and Poor's 500 stock index (S&P 500 stock index) may induce an increase in the domestic investment weight by American …

shocks and making better investment decisions to avoid large, unexpected losses. …

invest. Investment should become a natural part of personal finance management in the majority of households. For this reason …, an investment model is developed where stocks are selected based only on market intelligence using historical data. The ….90 return (4.09 annual return). Thus, the proposed investment decision-making system could be an efficient tool for forming a …

-crisis analysis with the optimal portfolio for any risk-averse investor being obtained as the tangency portfolio of the All …

This paper employs weighted least squares to examine the risk-return relation by applying high-frequency data from four … returns and expected risk. However, by using quantile regressions, we find that the risk-return relation moves from negative … to positive as the returns' quantile increases. A positive risk-return relation is valid only in the upper quantiles. The …

This paper applies the mean-variance portfolio optimization (PO) approach and the stochastic dominance (SD) test to … lower risk level and the reverse is true at a higher risk level. Our SD analysis shows that there is no arbitrage … opportunity between international and domestic stock markets; domestically diversified portfolios with smaller risk dominate …

In this paper we formulate the Risk Management Control problem in the interest rate area as a constrained stochastic … for a specific interest rate portfolio. The recent financial crisis showed that risk management of derivatives portfolios … especially in the interest rate market is crucial for the stability of the financial system. Modern Value at Risk (VAR) and …

on down-side risk metrics, as a portfolio diversification strategy in a European market context. We apply these measures … one for the application of portfolio investment strategies. The analysis is undertaken via the examination of multiple … investment strategies and a variety of hold-out periods and backtests. We commence by using four two-year estimation periods and …