The interrelationship between international stock markets has been a key study area among the financial market researchers for international portfolio management and risk measurement. The characteristics of security returns and their dynamics play a vital role in the financial market theory. This study is an attempt to find out the dynamic linkages among the equity market of USA and emerging ma...

Data Mining is being actively applied to stock market since 1980s. It has been used to predict stock prices, stock indexes, for portfolio management, trend detection and for developing recommender systems. The various algorithms which have been used for the same include ANN, SVM, ARIMA, GARCH etc. Different hybrid models have been developed by combining these algorithms with other algorithms li...

the portfolio is a perfect combination of stock or assets, which an investor buys them. the objective of the portfolio is to divide the investment risk among several shares. using non-parametric dea and dea-r methods can be of great significance in estimating portfolio. in the present paper, the efficient portfolio is estimated by using non-radial dea and dea-r models. by proposing non-radial m...

Recently, numerous investigations for stock price prediction and portfolio management using machine learning have been trying to develop efficient mechanical trading systems. But these systems have a limitation in that they are mainly based on the supervised leaming which is not so adequate for leaming problems with long-term goals and delayed rewards. This paper proposes a method of applying r...

In portfolio theory, it is well-known that the distributions of stock returns often have non-Gaussian characteristics. Therefore, we need non-symmetric distributions for modeling and accurate analysis of actuarial data. For this purpose and optimal portfolio selection, we use the Tail Mean-Variance (TMV) model, which focuses on the rare risks but high losses and usually happens in the tail of r...

despite the growing use of evolutionary multi-objective optimization algorithms in different categories of science, these algorithms as a powerful tool in portfolio optimization and specially solving multi-objective portfolio optimization problem is still in its early stages. in this paper, moeas have been used for solving multi-objective portfolio optimization problem in tehran stock market. f...

Stock portfolio management consists of defining how some investment resources should be allocated to a set stocks. It is an important component in the functioning modern societies throughout world. However, it faces theoretical and practical challenges. The contribution this work two-fold: first, describe approach that comprehensively addresses main activities carried out by practitioners durin...

Portfolio selection is one of the most important and vital decisions that a real or legal person, who invests in stock market should make. The main purpose of this paper is the determination of the optimal portfolio with regard to stock returns of companies, which are active in Tehran’s stock market. For achieving this purpose, annual statistics of companies’ stocks since Farvardin 1387 until E...

Aim of this paper is to characterize different risk measures in portfolio construction on seven Central and South-East European stock markets; Slovenia, Croatia, Hungary, Poland, Chez Republic, Romania and Turkey. Selected countries are members of EU, except Croatia and Turkey which have candidate status. Empirical part of this paper consists of three stages; at first descriptive statistics on ...