Investors are becoming more sensitive about returns and losses, especially when the investments are exposed to downside risk potential in the financial markets. Despite the computational intensity of the downside risk measures, they are very widely applied to construct a portfolio and evaluate...

This paper proposes a novel approach to the portfolio management using an AutoEncoder.In particular, the features learned by an AutoEncoder with ReLU are directly exploited to the portfolio construction.Since the AutoEncoder extracts the characteristics of the data through the non-linear...

This paper develops a new estimation procedure for characteristic-based factor models of security returns. We treat the factor model as a weighted additive nonparametric regression model, with the factor returns serving as time-varying weights, and a set of univariate nonparametric functions...

Financial advisors typically recommend that a long-term investor should hold a higher percentage of his wealth in stocks than a short-term investor. However, part of the academic literature disagrees with this advice. We use a spatial dominance test which is suited for comparing alternative...

Classical asset allocation methods have assumed that the distribution of asset returns is smooth, well behaved with stable statistical moments over time. The distribution is assumed to have constant moments with e.g., Gaussian distribution that can be conveniently parameterised by the first two...

In this research, we optimized fixed, glide path and dynamic portfolios, aimed at providing a solid pension adjusted for inflation. We optimized these portfolios for two performance functions that take inflation rates into account. We compared the performance of these portfolios in terms of...

In this study, we employ a statistical arbitrage approach to demonstrate that momentum investment strategy tend to work better in periods longer than six months, a result different from findings in past literature. Compared with standard parametric tests, the statistical arbitrage method...

The aim of this paper is to determine whether forward-looking option-implied returns forecasts lead to better out-of-sample portfolio performance than conventional time series models. We consider a simple two-asset setting with a risk-free asset and the S&P 500 index the risky asset with monthly...