Similar Search Results

Portfolio optimization and risk management through Hierarchical Risk Parity and Logic Learning Machine : a case study applied to the Turkish stock market

Gaggero, Giacomo; Giribone, Pier Giuseppe; Muselli, Marco; … - In: Risk management magazine 19 (2024) 1, pp. 26-49

This study explores an innovative approach to portfolio optimization, bridging traditional Modern Portfolio Theory (MPT) with advanced Machine Learning techniques. We start by recognizing the significance of Markowitz's model in MPT and quickly proceed to focus on the Hierarchical Risk Parity...

Persistent link: https://www.econbiz.de/10014555705

ESG score uncertainty and excess stock returns : European stock market case

Vyletelka, Michal - In: Prague economic papers : a bimonthly journal of … 33 (2024) 2, pp. 137-163

The study explores a relationship between divergence in ESG scores (measurements of a company's performance in environmental, social and governance issues) and excess stock returns on the European equity market. The sample consists of 851 European stocks in the period from January 2015 to May...

Persistent link: https://www.econbiz.de/10014555765

The role of green energy stock market in forecasting China's crude oil market : an application of IIS approach and sparse regression models

Khan, Faridoon; Muhammadullah, Sara; Arshian Sharif; … - In: Energy economics 130 (2024), pp. 1-15

Persistent link: https://www.econbiz.de/10014559200

Can Internet concern about COVID-19 help predict stock markets : new evidence from high-concern and low-concern periods

Ren, Jiqin; Guo, Yuanxuan; Li, Jingjing; Li, Jingjing - In: Applied economics 56 (2024) 35, pp. 4155-4176

Persistent link: https://www.econbiz.de/10014559277

Effect of presidential elections on investor herding behaviour in African stock markets

Musah, Godwin; Domeher, Daniel; Alagidede, Imhotep Paul - In: International journal of emerging markets 19 (2024) 5, pp. 1157-1177

Persistent link: https://www.econbiz.de/10014560230

The role of COVID-19 in herding : evidence from the Croatian stock market

Apergēs, Nikolaos - In: Applied economics 56 (2024) 36, pp. 4363-4373

Persistent link: https://www.econbiz.de/10014560293

Do commodities hedge regional stock markets at the same effectiveness level? : evidence from MGARCH models

Zghal, Rania; Melki, Amel; Ghorbel, Ahmed - In: International journal of emerging markets 19 (2024) 5, pp. 1359-1384

Persistent link: https://www.econbiz.de/10014560307

Tail risk in the Chinese stock market : an AEV model on the maximal drawdowns

Feng, Yun; Hou, Weijie; Song, Yuping - In: Finance research letters 58 (2023) 1, pp. 1-9

Persistent link: https://www.econbiz.de/10014581057

Stock market effects of silicon valley bank and credit suisse failure : evidence for a sample of European listed banks

Martins, António Miguel - In: Finance research letters 58 (2023) 1, pp. 1-7

Persistent link: https://www.econbiz.de/10014581070

Could increasing price limits reduce up limit herding? : evidence from China's capital market reform

Ma, Yu; Qian, Wenyu; Luan, Zhiqian - In: Finance research letters 42 (2021), pp. 1-7

Persistent link: https://www.econbiz.de/10014581270