If only we always knew ahead of time.... The dream of any stock portfolio manager 1 is to allocate stocks in his portfolio in hindsight so as to always reach maximum 2 wealth. With hindsight, over a given time period, the best strategy is to invest into 3 the best performing stock over that period. However, even this appealing strategy is 4 not without regret. Reallocating everyday to the best ...

The research objective of this article is to train a computer (agent) with market information data so it can learn trading strategies and beat the index in stock without having make any prediction on moves. approach assumes no knowledge, agent will only from conducting historical data. In work, we address task by considering Reinforcement Learning (RL) algorithms for portfolio management. We fi...

In this analysis of the risk and return of stocks in global markets, we apply several applications of robust regression techniques in producing stock selection models and several optimization techniques in portfolio construction in global stock universes.We find that (1) that robust regression applications are appropriate for modeling stock returns in global markets; and (2) mean-variance techn...

The optimal strategies for a long-term static investor are studied. Given a portfolio of a stock and a bond, we derive the optimal allocation of the capitols to maximize the expected long-term growth rate of a utility function of the wealth. When the bond has constant interest rate, three models for the underlying stock price processes are studied: Heston model, 3/2 model and jump diffusion mod...

This paper investigates the price adjustment and lead-lag relations between returns on five sizebased portfolios in the Taiwan stock market. It finds evidence that the price adjustment of smallstock portfolios is not slower than that of large-stock portfolios. Additionally, limited evidence supports a positive leading role of large-stock portfolio returns over small-stock portfolio returns. The...

One of the features of a financial market, the stock market, in particular, is the market sentiment which is the overall attitude of investors toward a particular security or financial market. Investors always seek to create a portfolio with minimum risk while maintaining the expected return level. Therefore, perceiving the relationship between the stock returns and markets returns can be helpf...

Portfolio selection problem deals with how to form a satisfying portfolio, taking into account the uncertainty involved in the behavior of the financial markets. Markowitz (1952) established the relationship between the mean and variance of the investment in the framework of risk-return trade-off. Since then a variety of enlarged and improved models have been developed in several directions. So...

Abstract We analyze the evolving price fluctuations by using ultrametric distance of minimally spanning financial tree of stocks traded in Jakarta Stock Exchange 2000-2004. Ultrametricity is derived from transformation of correlation coefficients into the distances among stocks. Our analysis evaluates the performance of ups and downs of stock prices and discovers the evolution towards the finan...

Let X ∈ R denote a random stock market return vector, where Xj is the value of a one unit investment in stock j at the end of the trading day. We require that Xj ≥ 0 for j = 1, 2, . . . , m, that is, an investor cannot lose more than the invested capital. Let b, bj ≥ 0, ∑m j=1 bj = 1, denote a portfolio, that is, an allocation of investor’s capital across the investment alternatives. Let B deno...

This paper studies the impact of labor ‡exibility on optimal life-cycle portfolio decisions, particularly the ability to change industries or …rms within industries. The model addresses two frequently observed portfolio behaviors that are seemingly inconsistent with rational portfolio choice. The …rst is the tendency of workers and entrepreneurs to hold their company’s stock. The second is the ...