It is well documented that the classical mean variance theory (MVT) may yield portfolios (MVTP) that are highly concentrated and/or are outperformed by equal weight portfolios (EWP). In this work, it is proposed to expand the MVT minimizing utility function with diversity booster DB =...

Impact of trading in the multi-dealer spot FX market is described using a structural vector autoregressive model. The model is derived in terms of return, signed trading volume, signed order book volume, and signed inside-market order flow. The EUR/USD and EUR/JPY data samples with whole-pip...

The idea behind the optimal ESG portfolio (OESGP) is to expand the mean variance theory by adding the portfolio ESG value (PESGV) multiplied by the ESG strength parameter γ (which is investor’s choice) to the minimizing objective function (Pederson et al., 2019; Schmidt, 2020). PESGV is assumed...

The optimal ESG portfolios (OESGPs) are based on the mean variance framework in which portfolio is simultaneously optimized in terms of return, risk (volatility) and portfolio ESG value (PESGV) (Pedersen et al. 2021; Schmidt 2020). PESGV is assumed to be the sum of the portfolio constituents’...

It is shown using a simple agent-based market dynamics model that if the technical traders are able to affect the market liquidity, their concerted actions can move the market price in the direction favorable to their strategy.

A binary mixture of hard-sphere polyions and point-size counterions is considered using the hypernetted-chain equation and the symmetric Poisson–Boltzmann equation. It is shown that such non-ideal effects as the polyion–polyion attraction, counterion association near the polyion surface, and...

It is found that the buy-and-hold (B&H) strategy for the S&P 500 Index (^GSPC) in Jan 1950–Apr 2019 had a significantly higher return than that of the time series momentum (TSM). However, TSM was superior in terms of the Sharpe ratio due to its lower volatility. The statistics for all 10-year...

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...