Efficient global portfolios: Big data and investment universes

JB Guerard, ST Rachev, BP Shao - IBM Journal of Research …, 2013 - ieeexplore.ieee.org
In this analysis of the risk and return of stocks in the United States and global markets, we
apply several portfolio construction and optimization techniques to US and global stock …

Reward-risk momentum strategies using classical tempered stable distribution

J Choi, YS Kim, I Mitov - Journal of Banking & Finance, 2015 - Elsevier
We implement momentum strategies using reward-risk measures as ranking criteria based
on classical tempered stable distribution. Performances and risk characteristics for the …

[HTML][HTML] Maximum drawdown, recovery, and momentum

J Choi - Journal of Risk and Financial Management, 2021 - mdpi.com
We empirically test predictability on asset price using stock selection rules based on
maximum drawdown and its consecutive recovery. In various equity markets, monthly …

Deep Calibration With Artificial Neural Network: A Performance Comparison on Option Pricing Models

YS Kim, H Kim, J Choi - arXiv preprint arXiv:2303.08760, 2023 - arxiv.org
This paper explores Artificial Neural Network (ANN) as a model-free solution for a calibration
algorithm of option pricing models. We construct ANNs to calibrate parameters for two well …

Applied mean-ETL optimization in using earnings forecasts

BP Shao, ST Rachev, Y Mu - International Journal of Forecasting, 2015 - Elsevier
In this article, we apply the mean-expected tail loss (ETL) portfolio optimization to the
consensus temporary earnings forecasting (CTEF) data from global equities. The time series …

Diversified reward-risk parity in portfolio construction

J Choi, H Kim, YS Kim - Available at SSRN 3871944, 2022 - papers.ssrn.com
We introduce diversified risk parity embedded with various reward-risk measures and more
generic allocation rules for portfolio construction. We empirically test the proposed reward …

Mean-ETL optimization of a global portfolio

BP Shao, ST Rachev - The Journal of Investing, 2013 - pm-research.com
In this article, the authors examine the mean-expected tail loss (ETL) portfolio optimization of
global portfolios using a global expected return (GLER) model, which is based on …

Efficient global portfolios: Big data and investment universes

JB Guerard Jr, ST Rachev, BP Shao - Handbook of Applied …, 2020 - World Scientific
In this analysis of the risk and return of stocks in the United States and global markets, we
apply several portfolio construction and optimization techniques to US and global stock …

[PDF][PDF] Impacto dos Custos de Transação na Seleção de Portefólios.

MSC Soutino - 2023 - estudogeral.uc.pt
Esta dissertação pretende estudar o impacto da incorporação dos custos de transação nos
modelos de otimização de portefólios. O estudo propõe uma metodologia de seleção de …

[PDF][PDF] Application of Risk Analysis based on Advanced Probabilistic Models

N Tsuchida - 2015 - repo.library.stonybrook.edu
1.1 Heavy-tailed distribution..................... 4 1.1. 1 Gaussian distribution................... 4 1.1. 2
Brownian motion..................... 5 1.1. 3 α-stable distribution................... 6 1.1. 4 Lévy …