In order to obtain the best tradeoff between risk and return, optimization algorithms are particularly useful in asset allocation in a portfolio mix. Such algorithms and proper solution techniques are very essential to investors in order to circumvent distress in business outfits. In this paper,...

Purpose - It is crucial to find a better portfolio optimization strategy, considering the cryptocurrencies' asymmetric volatilities. Hence, this research aimed to present dynamic optimization on minimum variance (MVP), equal risk contribution (ERC) and most diversified portfolio (MDP)....

The previous studies have shown that capital market integration has increased in the ASEAN-5, implying that investors making investment diversification across ASEAN capital markets could only earn limited diversification advantages. To diversify their portfolios, equity investors must find other...