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Tracking Efficient (TE) method is applied in forming portfolio that has a similarity with the market index (represented here by LQ45 Stock Index). In forming a portfolio, TE uses historical data in certain period of time. Parameter ß is used as stock relative measure to market index and it shows stock level of return towards the market index. By choosing an appropriate ß, the portfolio will has high...
As customers and their needs provide all the benefits of the firms, market managers should not think of itself as producing goods or services but think of itself as buying customers. In order to make use of the basic financial concepts in commercial banks' enterprise customer portfolio management, this article contrasts the differences between customer assets and financial assets, and identifies the...
Indian stock market has undergone a significant transformation after globalization. The most significant changes which has happened in the Indian stock Market that FII has been allowed to invest in the Indian market. Currently the extent of stock price volatility is being influenced by integration between the domestic and international capital markets as well as the regulatory framework governing...
In recent years, lots of portfolio analysis methods been proposed one after another. The investors care about how much money they can earn, and the companies need to know how much performance they gain. In this paper, a new stock portfolio construction strategy using Investment Satisfied Capability Index (ISCI) and Interactive Artificial Bee Colony (IABC) is proposed. Two-year daily Return on Investment...
Investigating sector indices contributes a lot to making decision of assets allocation in different sectors. In this paper, we choose CSI300HC index and CSI300CS index, whose Sharpe ratios rank the first two among the CSI 300 ten sector indices, as assets of a portfolio. ARMA-GJR-GARCH model, with Student-t innovation, is used to specify indices return series; while copula function, combined with...
How to allocate the weights of stocks is an interesting technology in stock index optimized replicate. This paper proposed a hybrid algorithm of adaptive genetic algorithm and pattern search (AGA-PS) to find the optimal portfolio weights. In AGA-PS, the crossover probability and mutation probability are adjusted adaptively. The weight from adaptive genetic algorithm is as the search start point of...
ACO is a new distributed intelligent biologically-inspired algorithm simulated evolution, and is widely used for solving various combinatorial optimization problems. The simulation results showed that this method is better than genetic algorithm in the iterations and results. So ant system algorithm with variance as the risky measure indexes is better than basic ACO and genetic algorithm in real estate...
This paper uses Kendall τ to measure the nonlinear relation of assets, and uses Copula function to measure the tail correlation of assets portfolio, provides the basis for investors when they invest asset portfolio. The major character and innovation of the research is firstly that considering low tail correlation for investors is of great significance, we use Copula function model to measure tail...
Stock market fluctuation is very challenging to investors. They have to make important decision regarding dollar and cent in uncertain environment. Therefore the study has introduced a model to present the uncertainty in stock returns. The model was derived by incorporating the MV model and the VBS fuzzy model. Using fuzzy approach, the study introduced an extended MV model. To investigate the effectiveness...
In order to help Chinese life insurance companies effectively make their portfolio selection. A portfolio selection model was established by using the method of multistage stochastic programming in this paper. In this model the management and supervision reality of Chinese life insurance industry were transferred into constraints. The quarterly return rate data of China-lifepsila investment and that...
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