This paper will discuss portfolio optimization, Quadratic Programming (QP) and Second Order Cone Programming (SOCP). We will use simulated and empirical data to compare the two optimization routines. Daily data for SP500 stocks from 2005 to 2010 was used to show that a 20-days rebalanced...

Both changing investors’ behaviour and contingent events, such as financial crisis, stimulated a debate around the distribution of financial products for which an active market doesn't exist. Investing in illiquid financial instruments requires a certain degree of financial education in order...

Investors use varies tools in the investment process. Some use technical or fundamental analysis, or both in that process. The aim of the following survey research is first, to examine differences between professional portfolio managers to amateur investors in their approach towards technical...

The purpose of this the article is to investigate if the Fama and French three-factor model is able to explain the variations in stock returns in Italian market. We choose Italian market as it is a weak equity market, characterized by small listed firms. Asset pricing literature believes that...

This contribution studies the out-of-sample performance of trading strategies applying 2-State-Markov-Switching models. Thereby, different probability thresholds are considered where the investor decides when to go in, respectively, out of the stock market. Furthermore, the investor may decide...

Even though correlations between different economies' stock markets have empirically increased over time, it would have been advantageously to invest in developing countries' stock markets such as the Indian stock market, instead of investing in the US-stock market when considering the overall...