Relevant bibliographies by topics / Portfolio theory

Academic literature on the topic 'Portfolio theory'

Author: Grafiati
Published: 4 June 2021
Last updated: 11 March 2023

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Journal articles on the topic "Portfolio theory"

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MADAN, DILIP B. "CONIC PORTFOLIO THEORY." International Journal of Theoretical and Applied Finance 19, no. 03 (April 21, 2016): 1650019. http://dx.doi.org/10.1142/s0219024916500199.

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Portfolios are designed to maximize a conservative market value or bid price for the portfolio. Theoretically this bid price is modeled as reflecting a convex cone of acceptable risks supporting an arbitrage free equilibrium of a two price economy. When risk acceptability is completely defined by the risk distribution function and bid prices are additive for comonotone risks, then these prices may be evaluated by a distorted expectation. The concavity of the distortion calibrates market risk attitudes. Procedures are outlined for observing the economic magnitudes for diversification benefits reflected in conservative valuation schemes. Optimal portfolios are formed for long only, long short and volatility constrained portfolios. Comparison with mean variance portfolios reflects lower concentration in conic portfolios that have comparable out of sample upside performance coupled with higher downside outcomes. Additionally the optimization problems are robust, employing directionally sensitive risk measures that are in the same units as the rewards. A further contribution is the ability to construct volatility constrained portfolios that attractively combine other dimensions of risk with rewards.
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Best, Michael J., and Robert R. Grauer. "Humans, Econs and Portfolio Choice." Quarterly Journal of Finance 07, no. 02 (September 2, 2016): 1750001. http://dx.doi.org/10.1142/s201013921750001x.

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We compare the portfolio choices of Humans — prospect theory investors — to the portfolio choices of Econs — power utility and mean-variance (MV) investors. In a numerical example, prospect theory portfolios are decidedly unreasonable. In an in-sample asset allocation setting, the prospect theory results are consistent with myopic loss aversion. However, the portfolios are extremely unstable. The power utility and MV results are consistent with traditional finance theory, where the portfolios are stable across decision horizons. In an out-of-sample asset allocation setting, the power utility and portfolios outperform the prospect theory portfolios. Nonetheless the prospect theory portfolios with loss aversion coefficients of 2.25 and 2 perform well.
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Širůček, Martin, and Lukáš Křen. "Application of Markowitz Portfolio Theory by Building Optimal Portfolio on the US Stock Market." Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis 63, no. 4 (2015): 1375–86. http://dx.doi.org/10.11118/actaun201563041375.

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This paper is focused on building investment portfolios by using the Markowitz Portfolio Theory (MPT). Derivation based on the Capital Asset Pricing Model (CAPM) is used to calculate the weights of individual securities in portfolios. The calculated portfolios include a portfolio copying the benchmark made using the CAPM model, portfolio with low and high beta coefficients, and a random portfolio. Only stocks were selected for the examined sample from all the asset classes. Stocks in each portfolio are put together according to predefined criteria. All stocks were selected from Dow Jones Industrial Average (DJIA) index which serves as a benchmark, too. Portfolios were compared based on their risk and return profiles. The results of this work will provide general recommendations on the optimal approach to choose securities for an investor’s portfolio.
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Micán, Camilo, Gabriela Fernandes, and Madalena Araújo. "Disclosing the Tacit Links between Risk and Success in Organizational Development Project Portfolios." Sustainability 14, no. 9 (April 26, 2022): 5235. http://dx.doi.org/10.3390/su14095235.

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Project portfolios aim to impact organizational strategic goals, influencing both the organization’s business model and its processes. Nonetheless, the actual impact is dependent on the portfolio’s success, which is affected by the materialization of risk factors. This study aims to examine the tacit conceptualization of project portfolio risk as a risk measure explicitly based on project portfolio success itself. In order to focus on the portfolios of organizational development projects, Social Representation Theory was adopted to analyze empirical evidence from twenty-eight semi-structured interviews conducted with project portfolio practitioners. Findings showed that strategic fit, future preparedness, and stakeholder satisfaction were dimensions of success within which project portfolio risk could be conceptualized. Additionally, results evidenced that risk factors influenced project portfolio success through systematic and non-systematic impacts on project portfolio outputs, and also had direct impacts on project portfolio outcomes. This paper provides empirical evidence to back up the conceptualization of project portfolio risk explicitly oriented to portfolio success as a multidimensional risk measure. It represents a new avenue for conducting portfolio risk analysis for both practitioners and academics, orienting the decision-making process based on the portfolio success rather than only on the success of each project.
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Harzallah, Amen Aissi, and Mouna Boujelbene Abbes. "The Impact of Financial Crises on the Asset Allocation: Classical Theory Versus Behavioral Theory." Journal of Interdisciplinary Economics 32, no. 2 (September 17, 2019): 218–36. http://dx.doi.org/10.1177/0260107919848629.

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The aim of this article is to compare the portfolio optimization generated by the behavioral portfolio theory (BPT) and the mean variance theory (MVT) by investigating the impact of the global financial crisis on the asset allocation. We use data from the Canadian Stock Exchange over the 2002–2015 period. By comparing both approaches, we show that for any level of aspiration and admissible failure, the BPT optimal portfolio will always contain a part of the mean–variance frontier. Thus, in the case of higher degree of risk aversion induced by typical BPT investors, the security set is located on the upper right of the Markowitz frontier. However, even if the optimal portfolios of MVT and BPT may coincide, MVT investors associated with an extremely low degree of risk aversion will not systematically choose BPT optimal portfolios. Our results also indicate the period of financial crisis generate huge losses in MVT portfolio values that implies a lower expected return and a higher level of risk. Furthermore, we point out the absence of the BPT optimal portfolio when potential losses are higher during the 2008 global financial crisis. JEL: G11, G17, G40
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Jones, C. Kenneth. "Modern Portfolio Theory, Digital Portfolio Theory and Intertemporal Portfolio Choice." American Journal of Industrial and Business Management 07, no. 07 (2017): 833–54. http://dx.doi.org/10.4236/ajibm.2017.77059.

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Kiyko, S., L. Deineha, M. Basanets, D. Kamienskyi, and A. Didenko. "PORTFOLIO MANAGEMENT OF ENERGY SAVING PROJECTS BASED ON THE MARKOVITS THEORY." Integrated Technologies and Energy Saving, no. 3 (November 9, 2021): 79–91. http://dx.doi.org/10.20998/2078-5364.2021.3.08.

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The goal of the work was to identify research and compare methods of portfolio management of energy saving projects and to develop software for optimizing portfolio investments using several methods. The key elements and strategies of creating an effective investment portfolio are considered: diversification, rebalancing, active portfolio management, passive portfolio management. Given the basic principles of investment theory, the task of portfolio investment is to form an investment portfolio with known shares of certain assets to maximize returns and minimize risk. To solve this problem, the method of Harry Markowitz, known as modern portfolio theory, was chosen. This is the theory of financial investment, in which statistical methods are used to make the most profitable risk distribution of the securities portfolio and income valuation, its components are asset valuation, investment decisions, portfolio optimization, evaluation of results. From a mathematical point of view, the problem of forming an optimal portfolio is the problem of optimizing a quadratic function (finding the minimum) with linear constraints on the arguments of the function. Methods of optimization of portfolios of energy saving projects taking into account the specifics of the subject area are analyzed. According to the results of the analysis, the methods of finding the maximum Sharpe’s ratio and the minimum volatility from randomly generated portfolios were chosen. A software application has been developed that allows you to download data, generate random portfolios and optimize them with selected methods. A graphical display of portfolio optimization results has also been implemented. The program was tested on data on shares of energy saving companies. The graphs built by the program allow the operator to better assess the created portfolio of the energy saving project.
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Lord, Mimi. "University Endowment Committees, Modern Portfolio Theory and Performance." Journal of Risk and Financial Management 13, no. 9 (September 3, 2020): 198. http://dx.doi.org/10.3390/jrfm13090198.

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University endowments with broad portfolio diversification have been correlated with performance, but committees’ decision-making process has received relatively little attention. This study is unique in postulating that the committee’s learning commitment and open-mindedness are significant contributors to a decision process that is based on the principles of Modern Portfolio Theory (or, simply, Portfolio Theory). The use of Portfolio Theory as a decision-making framework leads to greater portfolio diversification, which, in turn, leads to higher risk-adjusted returns. This study also demonstrates that greater committee expertise across multiple asset classes contributes to more diversified portfolios.
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Majewski, Sebastian. "The Maslowian Portfolio Theory Versus the Pyramid Portfolio." Folia Oeconomica Stetinensia 14, no. 1 (June 1, 2014): 91–101. http://dx.doi.org/10.2478/foli-2014-0107.

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Abstract This article refers to De Brouwer’s modification of portfolio selection from 2009. He modified the existing portfolio’s theories so that they could take into account the Maslov’s hierarchy of needs. This proposal could be also an alternative concept to the behavioural portfolio theory. Another theoretical concept which includes not only the hierarchy of needs but the pyramid portfolio is presented in this paper as well. The base point in this case is Markowitz’s model and the safety-first criterion by Roy. Such a construction should be a starting point for building an application in this field.
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Abdul Hali, Nurfadhlina, and Ari Yuliati. "Markowitz Model Investment Portfolio Optimization: a Review Theory." International Journal of Research in Community Services 1, no. 3 (October 4, 2020): 14–18. http://dx.doi.org/10.46336/ijrcs.v1i3.104.

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In the face of investment risk, investors generally diversify and form an investment portfolio consisting of several assets. The problem is the fiery proportion of funds that must be allocated to each asset in the formation of investment portfolios. This paper aims to study the optimization of the Markowitz investment portfolio. In this study, the Markowitz model discussed is that which considers risk tolerance. Optimization is done by using the Lagrangean Multiplier method. From the study, an equation is obtained to determine the proportion (weight) of fund allocation for each asset in the formation of investment portfolios. So by using these equations, the determination of investment portfolio weights can be determined by capital.
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Dissertations / Theses on the topic "Portfolio theory"

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Karlsson, Victor, Rikard Svensson, and Viktor Eklöf. "Contingent Hedging : Applying Financial Portfolio Theory on Product Portfolios." Thesis, Internationella Handelshögskolan, Högskolan i Jönköping, IHH, Företagsekonomi, 2012. http://urn.kb.se/resolve?urn=urn:nbn:se:hj:diva-18602.

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In an ever-changing global environment, the ability to adapt to the current economic climate is essential for a company to prosper and survive. Numerous previous re- search state that better risk management and low overall risks will lead to a higher firm value. The purpose of this study is to examine if portfolio theory, made for fi- nancial portfolios, can be used to compose product portfolios in order to minimize risk and optimize returns. The term contingent hedge is defined as an optimal portfolio that can be identified today, that in the future will yield a stable stream of returns at a low level of risk. For companies that might engage in costly hedging activities on the futures market, the benefits of creat- ing a contingent hedge are several. These include creating an optimized portfolio that minimizes risk and avoid trading contracts on futures markets that would incur hefty transaction costs and risks. Using quantitative financial models, product portfolio compositions are generated and compared with the returns and risks profile of individual commodities, as well as the actual product portfolio compositions of publicly traded mining companies. Us- ing Modern Portfolio Theory an efficient frontier is generated, yielding two inde- pendent portfolios, the minimum risk portfolio and the tangency portfolio. The Black-Litterman model is also used to generate yet another portfolio using a Bayesian approach. The portfolios are generated by historic time-series data and compared with the actual future development of commodities; the portfolios are then analyzed and compared. The results indicate that the minimum risk portfolio provides a signif- icantly lower risk than the compositions of all mining companies in the study, as well as the risks of individual commodities. This in turn will lead to several benefits for company management and the firm’s shareholders that are discussed throughout the study. However, as for a return-optimizing portfolio, no significant results can be found. Furthermore, the analysis suggests a series of improvements that could potentially yield an even greater result. The recommendation is that mining companies can use the methods discussed throughout this study as a way to generate a costless contin- gent hedge, rather than engage in hedging activities on futures markets.
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Baur, Cordula. "Risk Estimation in Portfolio Theory." St. Gallen, 2007. http://www.biblio.unisg.ch/org/biblio/edoc.nsf/wwwDisplayIdentifier/05609706001/$FILE/05609706001.pdf.

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Raubenheimer, Heidi. "Contributions to modern portfolio theory." Master's thesis, University of Cape Town, 2001. http://hdl.handle.net/11427/9741.

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Includes bibliographical references.
Fund managers and investors are confronted with the problem of selecting a single investment portfolio from a large number of possible combinations of available assets. In South Africa the set of possible portfolios has become even larger with the gradual relaxing of the constraints on foreign investment from 1995 to the present day, thereby expanding the investment universe for South African investors. Moreover, portfolio selection in South Africa is being transformed increasingly from being the exclusive domain of high net worth individuals, trustees and their investment managers to being the domain and responsibility of the man on the street. The Unit Trust industry started in South Africa in 1965 and gave the lower net worth individual a vehicle with which to invest in a diverse investment portfolio. This industry has proved very popular and has expanded from only 8 funds in 1980 to 338 funds and 136 billion rands under management in November 2000. Moreover the past two years, 1999 and 2000, has seen a change in the pension fund industry from defined benefit (DB) to defined contribution (DC) pension funds, transferring more of the risk and the responsibility of portfolio selection onto pension fund members. With increasing demand for fund management and investment advice by pension fund members and individual investors alike, the financial services industry in South Africa has also expanded. The consequent competition for assets of all descriptions have led, one hopes, to a more efficient market in equity, fixed income and derivative products. Thus modern portfolio theory has come a long way and will have to go further in meeting the demand to assist investors in their decision making.
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Gökkent, Giyas M. "Theory of foreign portfolio investment." FIU Digital Commons, 1997. https://digitalcommons.fiu.edu/etd/3986.

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Sati, Leila. "Estimation and Test Theory of Optimal Portfolios : Evidence from the International Portfolio." Thesis, Örebro universitet, Handelshögskolan vid Örebro Universitet, 2018. http://urn.kb.se/resolve?urn=urn:nbn:se:oru:diva-67987.

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Hamrin, Erik. "A Heuristic Downside Risk Approach to Real Estate Portfolio Structuring : a Comparison Between Modern Portfolio Theory and Post Modern Portfolio Theory." Thesis, KTH, Bygg- och fastighetsekonomi, 2011. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-89812.

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Portfolio diversification has been a subject frequently addressed since the publications of Markowitz in 1952 and 1959. However, the Modern Portfolio Theory and its mean variance framework have been criticized. The critiques refer to the assumptions that return distributions are normally distributed and the symmetric definition of risk. This paper elaborates on these short comings and applies a heuristic downside risk approach to avoid the pitfalls inherent in the mean variance framework. The result of the downside risk approach is compared and contrasted with the result of the mean variance framework. The return data refers to the real estate sector in Sweden and diversification is reached through property type and geographical location. The result reveals that diversification is reached differently between the two approaches. The downside risk measure applied here frequently diversifies successfully with use of fewer proxies. The efficient portfolios derived also reveals that the downside risk approach would have contributed to a historically higher average total return. This paper outlines a framework for portfolio diversification, the result is empirical and further research is needed in order to grasp the potential of the downside risk measures.
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Persson, Jakob, Carl Lejon, and Kristian Kierkegaard. "Practical Application of Modern Portfolio Theory." Thesis, Jönköping University, JIBS, Accounting and Finance, 2007. http://urn.kb.se/resolve?urn=urn:nbn:se:hj:diva-657.

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There are several authors Markowitz (1991), Elton and Gruber (1997) that discuss the main issues that an investor faces when investing, for example how to allocate resources among the variety of different securities. These issues have led to the discussion of portfolio theories, especially the Modern Portfolio Theory (MPT), which is developed by Nobel Prize awarded economist Harry Markowitz. This theory is the philosophical opposite of tradi-tional asset picking.

The purpose of this thesis is to investigate if an investor can apply MPT in order to achieve a higher return than investing in an index portfolio. Combining a strong portfolio that beats the market in the longrun would be the ultimate goal for most investors.

The theories that are used to analyze the problem and the empirical findings provide the essential concepts such as standard deviation, risk and return of the portfolio. Further, diversification, correlation and covariance are used to achieve the optimal risky portfolio. There will be a walk-through of the MPT, with the efficient frontier as the graphical guide to express the optimal risky portfolio.

The methodology constitutes as the frame for the thesis. The quantitative method is used since the data input is gathered from historical data. This thesis is based on existing theories, and the deductive approach aims to use these theories in order to accomplish a valid and accurate analysis. The benchmark that is used to compare the results from the portfolio is the Stockholm stock exchange OMX 30. This index mimics and reflects the market as a whole. The portfolio will be reweighed at a preplanned schedule, each quarter to constantly obtain an optimal risky portfolio.

The finding from this study indicates that the actively managed portfolio outperforms the passive benchmark during the selected timeframe. The outcome someway differs when evaluating the risk adjusted result and becomes less significant. The risk adjusted result does not provide any strong evidence for a greater return than index. Finally, with this finding, the authors can conclude by stating that an actively managed optimal risky portfolio with guidance of the MPT can surpass the OMX 30 within the selected timeframe.

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Dopita, Radim. "Optimalizace portfolia cenných papírů." Master's thesis, Vysoké učení technické v Brně. Fakulta podnikatelská, 2010. http://www.nusl.cz/ntk/nusl-222724.

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This thesis is focused on security portfolio optimalization using the value of stock screener. The theoretical section discusses the basic theory of markets, modern portfolio theory, diversification and the types of risks associated with financial activities, the basic steps to become an investor. The practical part is designed to build optimized stocks portfolio using the value of screening, its feigned purchase on New York Stock Exchange (NYSE), followed by monitoring the evolution rate of the portfolio thus created.
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Sokolova-Maria, Maria. "Risk measure changes and portfolio optimization theory." Thesis, Imperial College London, 2009. http://hdl.handle.net/10044/1/11376.

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Ferretti, Nicola <1998&gt. "Extreme Value Theory for Portfolio Risk Management." Master's Degree Thesis, Università Ca' Foscari Venezia, 2022. http://hdl.handle.net/10579/21806.

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This paper provides an overview of the role of extreme value theory in risk management as a method for modelling and measuring extreme risks. In particular, it is shown the peaks-over-threshold (POT) model and how this method provides a tool for estimating measures of tail risk like Value-at-Risk (VaR) and expected shortfall. Further topics of interest, including State-Space model, Block Maxima, Markowitz model and a real data application, are also discussed.
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Books on the topic "Portfolio theory"

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Chen, James Ming. Postmodern Portfolio Theory. New York: Palgrave Macmillan US, 2016. http://dx.doi.org/10.1057/978-1-137-54464-3.

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Fernholz, E. Robert. Stochastic Portfolio Theory. New York, NY: Springer New York, 2002. http://dx.doi.org/10.1007/978-1-4757-3699-1.

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Williamson, Sara, and Ernest Baskin. Product Portfolio Theory. 2455 Teller Road, Thousand Oaks California 91320 United States: SAGE Publications, Inc., 2023. http://dx.doi.org/10.4135/9781071903582.

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1957-, Srivastava Sanjay, ed. Modern portfolio theory. Cincinnati, Ohio: South-Western College Pub., 1995.

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Baker, H. Kent. Portfolio theory and management. New York: Oxford University Press, 2013.

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KARDARAS, IOANNIS KARATZAS; CONSTANTINOS. PORTFOLIO THEORY AND ARBITRAGE. [S.l.]: AMS, 2021.

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Chakrabarty, Siddhartha Pratim, and Ankur Kanaujiya. Mathematical Portfolio Theory and Analysis. Singapore: Springer Nature Singapore, 2023. http://dx.doi.org/10.1007/978-981-19-8544-7.

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Portfolio theory and capital markets. New York: McGraw-Hill, 2000.

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Arbitrage Theory Under Portfolio Constraints. [New York, N.Y.?]: [publisher not identified], 2020.

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Amenc, Noël. Portfolio theory and performance analysis. Hoboken, NJ: John Wiley, 2003.

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Book chapters on the topic "Portfolio theory"

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Marwala, Tshilidzi, and Evan Hurwitz. "Portfolio Theory." In Artificial Intelligence and Economic Theory: Skynet in the Market, 125–36. Cham: Springer International Publishing, 2017. http://dx.doi.org/10.1007/978-3-319-66104-9_11.

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Rutterford, Janette. "Portfolio theory." In Introduction to Stock Exchange Investment, 233–56. London: Macmillan Education UK, 1993. http://dx.doi.org/10.1007/978-1-349-23045-7_8.

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Rutterford, Janette, and Marcus Davison. "Portfolio theory." In An Introduction to Stock Exchange Investment, 194–221. London: Macmillan Education UK, 2007. http://dx.doi.org/10.1007/978-0-230-21350-0_6.

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Busu, Mihail. "Portfolio Theory." In Essentials of Investment and Risk Analysis, 105–26. Cham: Springer International Publishing, 2022. http://dx.doi.org/10.1007/978-3-031-15056-2_6.

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Markowitz, Harry M. "Portfolio Theory." In International Encyclopedia of Statistical Science, 1078–80. Berlin, Heidelberg: Springer Berlin Heidelberg, 2011. http://dx.doi.org/10.1007/978-3-642-04898-2_452.

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Isaac, David. "Portfolio Theory." In Property Investment, 234–55. London: Macmillan Education UK, 1998. http://dx.doi.org/10.1007/978-1-349-14468-6_11.

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Ruppert, David. "Portfolio Theory." In Springer Texts in Statistics, 137–67. New York, NY: Springer New York, 2004. http://dx.doi.org/10.1007/978-1-4419-6876-0_5.

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da Cunha, Carlo Requião. "Portfolio Theory." In Introduction to Econophysics, 117–46. Boca Raton: CRC Press, 2021. http://dx.doi.org/10.1201/9781003127956-5.

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Ruppert, David. "Portfolio Theory." In Statistics and Data Analysis for Financial Engineering, 285–308. New York, NY: Springer New York, 2010. http://dx.doi.org/10.1007/978-1-4419-7787-8_11.

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Fernholz, E. Robert. "Stochastic Portfolio Theory." In Stochastic Portfolio Theory, 1–24. New York, NY: Springer New York, 2002. http://dx.doi.org/10.1007/978-1-4757-3699-1_1.

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Conference papers on the topic "Portfolio theory"

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Wang, Jun, and Jianhan Zhu. "Portfolio theory of information retrieval." In the 32nd international ACM SIGIR conference. New York, New York, USA: ACM Press, 2009. http://dx.doi.org/10.1145/1571941.1571963.

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Stoilov, Todor, Krasimira Stoilova, and Miroslav Vladimirov. "Quantitative Entrepreneurship Applying Portfolio Theory." In 2020 XXIX International Scientific Conference Electronics (ET). IEEE, 2020. http://dx.doi.org/10.1109/et50336.2020.9238314.

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Wang, Xiangyu, and Mohan Kankanhalli. "Portfolio theory of multimedia fusion." In the international conference. New York, New York, USA: ACM Press, 2010. http://dx.doi.org/10.1145/1873951.1874062.

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Merritt, Don, and Andre de San Miguel. "Portfolio Optimization using Efficient Frontier Theory." In SPE Asia Pacific Conference on Integrated Modelling for Asset Management. Society of Petroleum Engineers, 2000. http://dx.doi.org/10.2118/59457-ms.

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Zuccon, Guido, Leif Azzopardi, and C. J. "Keith" van Rijsbergen. "Has portfolio theory got any principles?" In Proceeding of the 33rd international ACM SIGIR conference. New York, New York, USA: ACM Press, 2010. http://dx.doi.org/10.1145/1835449.1835600.

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Xiao, Yanyu. "Review of the Portfolio Theory Application." In 2021 3rd International Conference on Economic Management and Cultural Industry (ICEMCI 2021). Paris, France: Atlantis Press, 2021. http://dx.doi.org/10.2991/assehr.k.211209.497.

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Tsurusaki, Mariko, and Jun'ichi Takeuchi. "Constant Markov Portfolio and its application to universal portfolio with side information." In 2012 IEEE International Symposium on Information Theory - ISIT. IEEE, 2012. http://dx.doi.org/10.1109/isit.2012.6283550.

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Yang, Ruojing. "Optimizing the Real Estate Portfolio Decision Model Based on Modern Portfolio Theory." In 2011 Fourth International Joint Conference on Computational Sciences and Optimization (CSO). IEEE, 2011. http://dx.doi.org/10.1109/cso.2011.195.

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"Transforming Markowitz portfolio theory into a practical real estate portfolio allocation process." In 18th Annual European Real Estate Society Conference: ERES Conference 2011. ERES, 2011. http://dx.doi.org/10.15396/eres2011_341.

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Maknickienė, Nijolė, and Darius Sabaliauskas. "Investment portfolio analysis by using neural networks." In Contemporary Issues in Business, Management and Economics Engineering. Vilnius Gediminas Technical University, 2019. http://dx.doi.org/10.3846/cibmee.2019.028.

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Purpose – the purpose of the article is to compare the formation of portfolios and to make predictions about how it will change. Research methodology – for analysis, optimization and predictions use the neural network models that are created using a neural recurrent long short-term memory cell architecture network and Markowitz’s modern portfolio theory Findings – this article compares the portfolios of IT field with different instruments and level of optimization. Research limitations – the main limit of the article is that only historical data is used. The real-time investment would check the performance of the portfolio creation methodology under uncertain conditions. Practical implications – the results of the article give opportunities for investors and speculators in the finance market by using neural networks for forming investment portfolios, as well as analysing and predicting their changes. Originality/Value – the growing high-tech use in financial markets changes our habits and our understanding of the surrounding world. The financial sphere has also had several changes, and it has undergone major changes that will change the approach to producing financial forecasts and analysis. Including Artificial Intelligence in these processes brings new innovative opportunities.
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Reports on the topic "Portfolio theory"

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Dimmock, Stephen, Neng Wang, and Jinqiang Yang. The Endowment Model and Modern Portfolio Theory. Cambridge, MA: National Bureau of Economic Research, February 2019. http://dx.doi.org/10.3386/w25559.

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2

Cochrane, John. A Mean-Variance Benchmark for Intertemporal Portfolio Theory. Cambridge, MA: National Bureau of Economic Research, February 2013. http://dx.doi.org/10.3386/w18768.

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Lo, Andrew, and Jiang Wang. Trading Volume: Definitions, Data Analysis, and Implications of Portfolio Theory. Cambridge, MA: National Bureau of Economic Research, March 2000. http://dx.doi.org/10.3386/w7625.

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4

Goetzmann, William, and Andrey Ukhov. British Investment Overseas 1870-1913: A Modern Portfolio Theory Approach. Cambridge, MA: National Bureau of Economic Research, April 2005. http://dx.doi.org/10.3386/w11266.

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5

Cook, Steve. Teaching Portfolio Theory: A tool for demonstrating the diversification effect and related issues. Bristol, UK: The Economics Network, May 2013. http://dx.doi.org/10.53593/n2435a.

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6

Lucas, Deborah, and Robert McDonald. Bank Portfolio Choice with Private Information About Loan Quality: Theory and Implications for Regulation. Cambridge, MA: National Bureau of Economic Research, October 1987. http://dx.doi.org/10.3386/w2421.

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7

Romova, Zina, and Martin Andrew. Embedding Learning for Future and Imagined Communities in Portfolio Assessment. Unitec ePress, September 2015. http://dx.doi.org/10.34074/rsrp.42015.

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In tertiary contexts where adults study writing for future academic purposes, teaching and learning via portfolio provides them with multiple opportunities to create and recreate texts characteristic of their future and imagined discourse communities. This paper discusses the value of portfolios as vehicles for rehearsing membership of what Benedict Anderson (1983) called “imagined communities”, a concept applied by such scholars as Yasuko Kanno and Bonny Norton (2003). Portfolios can achieve this process of apprenticeship to a specialist discourse through reproducing texts similar to the authentic artefacts of those discourse communities (Flowerdew, 2000; Hyland, 2003, 2004). We consider the value of multi-drafting, where learners reflect on the learning of a text type characteristic of the students’ future imagined community. We explore Hamp-Lyons and Condon’s belief (2000) that portfolios “critically engage students and teachers in continual discussion, analysis and evaluation of their processes and progress as writers, as reflected in multiple written products” (p.15). Introduced by a discussion of how theoretical perspectives on learning and assessing writing engage with portfolio production, the study presented here outlines a situated pedagogical approach, where students report on their improvement across three portfolio drafts and assess their learning reflectively. A multicultural group of 41 learners enrolled in the degree-level course Academic Writing [AW] at a tertiary institution in New Zealand took part in a study reflecting on this approach to building awareness of one’s own writing. Focus group interviews with a researcher at the final stage of the programme provided qualitative data, which was transcribed and analysed using textual analysis methods (Ryan and Bernard, 2003). Students identified a range of advantages of teaching and learning AW by portfolio. One of the identified benefits was that the selected text types within the programme were perceived as useful to the students’ immediate futures. This careful choice of target genre was reflected in the overall value of the programme for these learners.
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Carrasco, Marine, and N'golo Koné. Test for Trading Costs Effect in a Portfolio Selection Problem with Recursive Utility. CIRANO, January 2023. http://dx.doi.org/10.54932/bjce8546.

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This paper addresses a portfolio selection problem with trading costs on stock market. More precisely, we develop a simple GMM-based test procedure to test the significance of rading costs effect in the economy with a áexible form of transaction costs. We also propose a two-step procedure to test overidentifying restrictions in our GMM estimation. In an empirical analysis, we apply our test procedures to the class of anomalies used in Novy-Marx and Velikov (2016). We show that transaction costs have a significant effect on investors behavior for many anomalies. In that case, investors significantly improve the out-of-sample performance of their portfolios by accounting for trading costs.
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9

Cavallo, Eduardo A., and Eduardo Fernández-Arias. The Risk of External Financial Crisis. Inter-American Development Bank, December 2022. http://dx.doi.org/10.18235/0004579.

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This paper explores the empirical determinants of external crises on a world panel dataset of 62 countries over the fifty-year period 1970-2019 and estimates their risk trade-offs with the aim of informing macrofinancial prudential policies. The determinants include countries external balance sheets, macroeconomic imbalances, and structural and global factors. It finds that information on the composition of gross positions in countries external financial portfolios is required to gauge the risk of external crisis: debt liabilities are the riskiest component, FDI liabilities are half as risky, and FDI assets are the most protective. Macroeconomic imbalances increase risk but are usually not the key drivers of crises. Adverse global shocks significantly leverage domestic risks. International reserves are powerful risk mitigants that provide high insurance value. The evidence shows that advanced economies are structurally more resilient to withstand exposure to weak external portfolios, macroeconomic imbalances, and global shocks. For the average country the risk of external crisis is on a declining trend mainly driven by improvements in the composition of external portfolio assets magnified by increasing financial integration as well as rising international reserves.
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10

Lehmann, Bruce, and David Modest. The Empirical Foundations of the Arbitrage Pricing Theory II: The Optimal Construction of Basis Portfolios. Cambridge, MA: National Bureau of Economic Research, October 1985. http://dx.doi.org/10.3386/w1726.

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