Portfolio Selection and Optimization through Neural Networks and Markowitz Model: A Case of Pakistan Stock Exchange Listed Companies

J Iqbal, MA Sandhu, S Amin… - Review of Economics and …, 2019 - reads.spcrd.org
This paper used artificial neural networks (ANNs) time series predictor for approximating
returns of Pakistan Stock Exchange (PSX) listed 100 companies. These projected returns …

Constraints and innovations for pension investment: The cases of risk parity and risk premia investing

W Lee - Journal of Portfolio Management, 2014 - search.proquest.com
In the current low real-yield environment, institutional investors are challenged as they try to
achieve their often-fixed targeted returns within the confines of their investment policy …

Market neutral portfolios

CA Valle, N Meade, JE Beasley - Optimization Letters, 2014 - Springer
In this paper we consider the problem of constructing a market neutral portfolio. This is a
portfolio of financial assets that (ideally) exhibits performance independent from that of an …

Using social responsibility ratings to outperform the market: evidence from long-only and active-extension investment strategies

G Filbeck, HM Holzhauer, X Zhao - The Journal of Investing, 2014 - joi.pm-research.com
In this article, the authors use KLD Research and Analytics (KLD) rankings from 1991 to
2009 to create three long-only portfolios: high-ranking “Top” stocks,“Shunned” stocks, and …

Evaluación de indicadores para medir el desempeño en portafolios de inversión de mercados emergentes: caso mercado integrado latinoamericano–Mila 2017

CW Roncal Díaz - 2018 - repositorio.unprg.edu.pe
Esta tesis tiene como objetivo seleccionar un portafolio cuyo desempeño sea mejor que el
retorno del mercado o por lo menos similar. Previamente se eligen portafolios óptimos a …

Investing in Hedge Funds

HM Holzhauer - Alternative Investments: Instruments …, 2013 - Wiley Online Library
This chapter provides an introduction into the extensive field of hedge fund investing, which
has grown over the last 60 years to become a major influence on the financial markets. As …

Portfolio optimisation models

C Arbex Valle - 2013 - bura.brunel.ac.uk
In this thesis we consider three different problems in the domain of portfolio optimisation.
The first problem we consider is that of selecting an Absolute Return Portfolio (ARP). ARPs …