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Bitcoin and portfolio diversification : a portfolio optimization approach
Bakry, Walid; Rashid, Audil; Al-Mohamad, Somar; Elkanj, … - In: Journal of risk and financial management : JRFM 14 (2021) 7, pp. 1-24
This study investigates the performance of Bitcoin as a diversifier under different constraining portfolio optimization frameworks. The study employs different constraining optimization frameworks that seek to maximize risk-adjusted returns (Sharpe ratio) of the portfolio by optimizing...
Persistent link: https://www.econbiz.de/10012622395
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Enhanced Portfolio Optimization
Pedersen, Lasse Heje - 2020
Portfolio optimization should provide large benefits to investors, but standard mean-variance optimization (MVO) works so poorly in practice that optimization is often abandoned. The approaches developed to address this issue are often surrounded by mystique regarding how, why, and whether they...
Persistent link: https://www.econbiz.de/10012842510
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Spanning analysis of stock market anomalies under prospect stochastic dominance
Arvanitis, Stelios; Scaillet, Olivier; Topaloglou, Nikolas - 2020 - This version: April 2020
We develop and implement methods for determining whether introducing new securities or relaxing investment constraints … improves the investment opportunity set for prospect investors. We formulate a new testing procedure for prospect spanning for …
Persistent link: https://www.econbiz.de/10012219063
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Algorithm Aversion in Delegated Investing
Germann, Maximilian - 2020
decision making. Participants acting as investors can tie their incentives to either a human fund manager or an investment …
Persistent link: https://www.econbiz.de/10012849660
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Investor type heterogeneity in bottom-up optimization models
Mier, Mathias; Azarova, Valeriya - 2021
Bottom-up optimization models neglect the inclusion of investment behavior We introduce three investor types that … differ in their investment cost specifications, financing costs, and discounting. This leads to a substantially different … accounting for more differentiated picture of electricity market investment with heterogeneous investor types can provide a …
Persistent link: https://www.econbiz.de/10012663283
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Cryptocurrency Portfolios Using Heuristics
Platanakis, Emmanouil - 2019
Given the support from academic studies for heuristic (naive) asset allocation strategies, this study compares the performance of seven heuristics, including four new heuristics, in forming a portfolio of six popular cryptocurrencies. As many cryptocurrency traders are retail investors, they are...
Persistent link: https://www.econbiz.de/10012864237
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Behavioural portfolio selection and optimisation : equities versus cryptocurrencies
Ababio, Kofi A. - In: Journal of African business 21 (2020) 2, pp. 145-168
Persistent link: https://www.econbiz.de/10012258272
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Dispositional Optimism and Stock Investments
Angelini, Viola - 2015
This paper analyses the relationship between dispositional optimism and stock investments. Data are drawn from the second wave of the Survey of Health, Ageing and Retirement in Europe. Dispositional optimism is found to be a relevant predictor of the ownership of stocks as well as of the share...
Persistent link: https://www.econbiz.de/10013016120
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A Mixture of Gaussians Approach to Mathematical Portfolio Oversight : The EF3M Algorithm
Lopez de Prado, Marcos - 2013
within a fund, mutating its investment style. A fund's track record provides a sort of genetic marker, which we can use to … identify mutations. This has motivated our use of a biometric procedure to detect the emergence of a new investment style … biology, may help detect early stages of an evolutionary divergence in an investment style, and trigger a decision to review a …
Persistent link: https://www.econbiz.de/10013092381
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A particle swarm optimization copula-based approach with application to cryptocurrency portfolio optimisation
Mba, Jules Clément; Mai, Magdaline Mbong - In: Journal of risk and financial management : JRFM 15 (2022) 7, pp. 1-14
Blockchain and cryptocurrency are gradually going mainstream with new cryptocurrencies introduced every single day. The speculative nature of these digital assets expose their prices to large fluctuations. Trading these crypto-assets necessitate an adequate understanding of this emerging market...
Persistent link: https://www.econbiz.de/10013369573