The modern portfolio theory pioneered by Markowitz (1952) is widely used in practice and
extensively taught to MBAs. However, the estimated Markowitz portfolio rule and most of its …

Research on misconduct suggests that accusations against industry peers generate
negative consequences for non-accused firms (a “stigma effect”). Yet, building on research …

In this study, a financial market is conceived as a network where the securities are nodes
and the links account for returns' correlations. We theoretically prove the negative …

In this paper we provide a survey of recent contributions to robust portfolio strategies from
operations research and finance to the theory of portfolio selection. Our survey covers …

Previous research has shown that equally weighted portfolios outperform optimized
portfolios, which suggests that optimization adds no value in the absence of informed inputs …

This paper investigates the portfolio diversification potential of a pool of cryptocurrencies
classified based on their degree of leadership. We employ the mean-variance and the …

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 …

This paper evaluates numerous diversification strategies as a possible remedy against
widespread costly investment mistakes of individual investors. Our results reveal that a very …

This study investigates the impact of the choice of optimization technique when constructing
Socially Responsible Investment (SRI) portfolios. Corporate Social Performance (CSP) …

We examine diversification capabilities of Bitcoin for a global portfolio spread across six
asset classes from the standpoint of investors dealing in five major fiat currencies namely US …