We consider the determination of portfolio processes yielding the highest worst-case bound for the expected utility from final wealth if the stock price may have uncertain (down) jumps. The optimal portfolios are derived as solutions of non-linear differential equations which itself are consequences of a Bellman principle for worst-case bounds. A particular application of our setting is to mode...

We derive optimal portfolio weights for an investor who has a strong belief on the distribution of the stock price at a future time. That distribution may be in disagreement with standard equilibrium pricing models, and the investor wants to take advantage of the perceived mispricing and attractive risk premium. We compute numerically optimal weights for models in which the investor believes th...

We propose that the minimal requirements for a model of stock market price fluctuations should comprise time asymmetry, robustness with respect to connectivity between agents, “bounded rationality” and a probabilistic description. We also compare extensively two previously proposed models of log-periodic behavior of the stock market index prior to a large crash. We find that the model which fol...

The abnormal tone of corporate financial disclosures has recently received much academic attention. Despite China’s status as the world’s second-largest economy, studies in disclosure, especially on its influence stock price crash risk, remain scarce. Therefore, we investigated disclosure Chinese listed enterprises using Python and empirically tested relationship between risk. results show a po...

Recently housing price hikes are spreading across America spatially, a reminder of the stock market hikes of the 1990s that ruptured in 2000. The aim of this study were to identify the determinants of housing prices, the differences between housing and stock markets, and whether the housing market can follow the path of the stock market. The aim was also to examine the existence of a housing bu...

The aim of this research was to determine the impact of voluntary information disclosure on informational content of share price. In this regard, future earnings response coefficient was used to determine the informational content of the share price about the future income information. Furthermore, share price synchronicity was used to evaluate the informational content of the share price about...

This paper investigates the impact of insider trading and managerial attributes on future stock price crashes. We conduct a series regressions addressing determinants crashes including gender diversity, CEO age, power (measured by pay disparity, tenure duality). Our empirical results reveal positive association between purchases crash risk. implies that other than compensation career concerns, ...

In this study a Multi-Objective Evolutionary System is used to predict the future tendency of assets price. Therefore, a framework using a Multi-Objective Genetic Algorithm (GA) in its core to optimize a set of Trading or Investment Strategies (TSs) was developed. The investigated framework is used to determine potential buy, sell or hold conditions in stock markets, aiming to yield high return...

Over the past decade, applications of statistical physics methods to economics have attracted considerable interest in the physical and economics science communities. In particular, the suggested similarities between the market crash and a phase transition, and market crashes as critical point phenomena, have held the promise of understanding the dynamics of market crashes and the possibility b...