1,721,006 research outputs found
Short Selling, Shakeout and Securities Lending: An Opaque Industry's Role in Financial Crisis
No full textPortfolio Optimization from a Risk-Management Perspective A Mathematical Approach to Portfolio Optimization in Risk Management
No full textIn finance, we have the mantra of ¿high-risk, high-return¿. However, the aim of Modern Portfolio Theory is to minimize risk for a given level of return or conversely, to maximize return given a certain amount of risk. Taking the Markowitz Mean-Variance framework as a starting point, this paper addresses how you can create risk-minimizing portfolios in order to outperform the market. The use of variance as a risk measure in the Markowitz model is clearly outdated and therefore different measures will be introduced into the model to create better risk-adjusted portfolios. The modifications in the theoretical framework will be tested with historical data, and performance will be compared to that of the benchmark indices and the original Markowitz model
Set-Valued Deviation Measures and Portfolio Selection by Risk Minimization in Markets with Transaction Costs
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Trading on Information Shocks: Network Modeling of Market Correlation Structures
No full textThe increasingly connected nature of stock markets demands a systematic approach to the analysis of correlation structures between stocks. Using a network
formulation from the correlation structures and the topology of said networks, we
extract information from the network, such as topologically important nodes and
hierarchical structures within subgroups of stocks. Using various selection algorithms derived from this information, we pick topologically important stocks out
of this network that have had recent news releases, and then use natural language
processing to predict the returns of these stocks and their nearest neighbors in
order to generate a pro table trading strategy
A Statistical Study on Swaps: Regression Analysis and PCA Modeling on the 10-Year Interest Rate Swap Spread Against Certain Determinant Factors
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