This study aims to determine the results of optimizing stock portfolios on Value30 and Growth30 indexes Indonesia Stock Exchange based Markowitz Model Sharpe Model. There are seven stocks that consistently listed index selected with code ADRO, BJBR, ELSA, ITMG, PTBA, PTPP, UNTR ACES, BBCA, BBRI, CPIN, ERAA, TBIG , TOWR. The data is taken from period January 2015 December 2021. Using model stock...

The SharpeR package provides basic functionality for testing significance of the Sharpe ratio of a series of returns, and of the Markowitz portfolio on a number of possibly correlated assets.[15] The goal of the package is to make it simple to estimate profitability (in terms of riskadjusted returns) of strategies or asset streams. 1 The Sharpe ratio and Optimal Sharpe ratio Sharpe defined the ...

This study aims at getting a better performance for optimal stock portfolios by modeling stocks prices dynamics through a continuous paths Levy process. To this end, the share prices are simulated using a multi-dimensional geometric Brownian motion model. Then, we use the results to form the optimal portfolio by maximizing the Sharpe ratio and comparing the findings with the outputs of the conv...

We propose to train trading systems by optimizing financial objective functions via reinforcement learning. The performance functions that we consider as value functions are profit or wealth, the Sharpe ratio and our recently proposed differential Sharpe ratio for online learning. In Moody & Wu (1997), we presented empirical results in controlled experiments that demonstrated the advantages of ...

We propose to train trading systems by optimizing financial objective functions via reinforcement learning. The performance functions that we consider are profit or wealth, the Sharpe ratio and our recently proposed differential Sharpe ratio for online learning. In Moody & Wu (1997), we presented empirical results that demonstrate the advantages of reinforcement learning relative to supervised ...

This paper combines the CRSP market index with multiple factors to create a single multifactor index. Empirical tests of different indexes indicate that: (1) Sharpe ratios substantially increase and GRS test statistics decrease as multifactors are incrementally added index; (2) resultant significantly priced in cross-sectional associated beta loadings t-values exceeding 3.0 most cases.

Many risk, inequality, poverty and concentration measures are extremely sensitive to outliers, dependence, heterogeneity and heavy tails. In this paper we focus on robust measurement of risk, inequality, poverty and concentration under heterogeneity, dependence and heavy-tailedness of largely unknown form using the recent results on t−statistic based heterogeneity and correlation robust inferen...

Stocks market performance measurement has long been regarded as the most interesting part in investment. Many new methods emerge every year but most of these are rooted from Modern Portfolio theory by Harry Markowitz. In this research paper, we have used the efficient frontier from modern portfolio theory to determine the best stocks performance in KLCI index from 2006-2010. The data is compare...