Most practitioners measure investment performance based on the CAPM, determining portfolio "alphas" or Sharpe Ratios. But the validity of this analysis rests on the validity of the CAPM, which assumes either normally distributed (and therefore symmetric) returns, or mean-variance preferences. Both assumptions are suspect: even if asset returns were normally distributed, the returns of options o...

Style analysis is being used more and more in the study of fund managers. Investors increasingly demanding that managers identify their investment style, to aid in performance analysis, while consultants and academics are designing ever more sophisticated methods to determine the portfolio style of fund managers (Sortino (1996)). There are three basic approaches to style analysis. First, the ex...

Sharpe-like ratios have been traditionally used to measure the performances of portfolio managers. However, they are known to suffer major drawbacks. Among them, two are intricate: (1) they are relative to a peer’s performance and (2) the best score is generally assumed to correspond to a “good” portfolio allocation, with no guarantee on the goodness of this allocation. Last but not least (3) t...

We develop the idea of using Monte Carlo sampling of random portfolios to solve portfolio investment problems. In this first paper we explore the need for more general optimization tools, and consider the means by which constrained random portfolios may be generated. A practical scheme for the long-only fully-invested problem is developed and tested for the classic QP application. The advantage...

Trading strategies to maximize profits by tracking and responding dynamic stock market variations is a complex task. This paper proposes use multilayer perceptron method (a part of artificial neural networks (ANNs)), that can be used deploy deep reinforcement learn the process predicting analyzing products with aim profit making. We trained agent using four algorithms: proximal policy optimizat...

Greed plays an important in the fluctuations of stock prices because investors want profits irrespective risk taken by them. This study aims to determine, whether, times rising trends market, greediness is good for investor or not. Secondly, can get high beating market The already formed deciles portfolios listed companies on NYSE, AMEX, and NASDAQ based size book value are from Kenneth R. Fren...

Over the last two decades, there has been an increased attention to and awareness of corporate environmental, social, governance (ESG) responsibilities. The asset allocation process changed accordingly consider these ESG responsibilities, it largely recognized that private institutional investors are sensitive factors when deciding on firms in which invest. In addition factors, other key stock-...

This paper proposes the portfolio stochastic programming (PSP) model and the stagewise portfolio stochastic programming (SPSP) model for investing in stocks in the Taiwan stock market. The SPSP model effectively reduces the computational resources needed to solve the PSP model. Additionally, the conditional value at risk (CVaR) is used as a risk measure in the models. In each period of investme...

Model-Free Reinforcement Learning has achieved meaningful results in stable environments but, to this day, it remains problematic regime changing like financial markets. In contrast, model-based RL is able capture some fundamental and dynamical concepts of the environment but suffer from cognitive bias. work, we propose combine best two techniques by selecting various approaches thanks Deep Lea...