Mean variance portfolio theory is expanded to accommodate investors' preferences for the portfolio ESG value (PESGV). Namely, PESGV is added to the minimizing objective function so that portfolio weights are simultaneously optimized in terms of returns, risk (volatility), and PESGV. PESGV is...

A regression model for analysis of impact of earnings announcements on stock prices has been formulated. An equal-weight portfolio of 29 stocks that constituted DJI in Oct 2019 is considered within the range Jan 1999 – Sep 2019. It is found that out-performance around the earnings...

In this work, a rule-based definition of market corrections that depends on price volatility is proposed. This enables consistent comparison of corrections in different markets. Statistics of corrections in several US equity indexes and major US equity sector ETFs is compiled. According to the...

We compared performance of mean variance portfolios (MVPs) based on Pearson's correlations (PeMVPs) and partial correlations (PaMVPs) with equal-weight portfolios (EWPs) for several tradable US equity index ETFs. We found that performance of MVPs and EWPs depends on two factors: the constituents...