Comprehensive methods must be used for portfolio optimization. For this purpose, financial data of stock companies, inputs and outputs variable, the risk measure and investor’s preferences must be considered. By considering these items, we propose a method for portfolio optimization. In this paper, we used financial data of companies for screening the stock companies. We used Conditional Value ...

Since executives typically receive new grants of stock options (ESOs) each year, longerserving executives often have portfolios of ESOs with differing strikes and maturities. Valuation models for stand-alone ESO grants have shown that trading restrictions, which force executives to bear unhedgeable risk until the options are exercised, induce earlier exercise and hence a lower cost to sharehold...

The stock markets from Post Communist East-European Countries are still considered highly speculative. For this reason, the previously performed tests often infirmed the efficient market hypothesis. However, especially in the past years, different studies revealed an improvement in the level of efficiency. In this context, our paper has tested the predictability of returns based on past records...

A constant rebalanced portfolio is an asset allocation algorithm which keeps the same distribution of wealth among a set of assets along a period of time. Recently, there has been work on on-line portfolio selection algorithms which are competitive with the best constant rebalanced portfolio determined in hindsight (Cover, 1991; Helmbold et al., 1996; Cover and Ordentlich, 1996). By their natur...

in this study, 3 models of time-varying parameters (tvp), dynamic model selection (dms) and dynamic model averaging (dma) and a comparison with the ordinary least squares (ols) method in matlab in the time period 2003-2013 (with data on a monthly basis) are discussed. in the present study, the variables of unofficial exchange rate changes, interest rate changes and inflation in oil price foreca...

We derive an intertemporal capital asset pricing model with multiple assets and heterogeneous investors, and explore its implications for the behavior of trading volume and asset returns. Assets contain two types of risks: market risk and the risk of changing market conditions. We show that investors trade only in two portfolios: the market portfolio, and a hedging portfolio, which allows them ...

Many portfolio optimization problems deal with allocation of assets which carry a relatively high market price. Therefore, it is necessary to determine the integer value of assets when we deal with portfolio optimization. In addition, one of the main concerns with most portfolio optimization is associated with the type of constraints considered in different models. In many cases, the resulted p...

We present an on-line investment algorithm that achieves almost the same wealth as the best constantrebalanced portfolio determined in hindsight from the actual market outcomes. The algorithm employs a multiplicative update rule derived using a framework introduced by Kivinen and Warmuth. Our algorithm is very simple to implement and requires only constant storage and computing time per stock i...

A fund manager has to abide by a set of business and financial parameters before selecting and including a particular stock in an Islamic fund portfolio. There are various Islamic screening methods followed by stock indices and banks, namely Dow Jones Islamic Market Index (DJIMI), FTSE Global Islamic Index Series, S&P 500, MSCI (Morgan Stanley Capital International) and Accounting and Auditing ...

Investing in stock market requires in-depth knowledge of finance and dynamics. Stock Portfolio Selection management involve complex financial analysis decision making policies. An Individual investor seeking to invest portfolio is need a support system which can guide him create stocks based on sound analysis. In this paper the authors designed Financial Decision Support System (DSS) for creati...