An integrated framework for classification and selection of stocks for portfolio construction: Evidence from NSE, India
Investment extortion in the stock market is a crucial aspect considered by the investors.
Therefore, investors implemented different strategies. This study was intended at …
Therefore, investors implemented different strategies. This study was intended at …
[HTML][HTML] A Multi-criteria based stock selection framework in emerging market
The present study aims to compare the stock performances of the Fast Moving Consumer
Goods (FMCG) and Consumer Durables (CD) firms at the Bombay Stock Exchange (BSE) …
Goods (FMCG) and Consumer Durables (CD) firms at the Bombay Stock Exchange (BSE) …
Effect of dimensionality reduction on stock selection with cluster analysis in different market situations
J Han, Z Ge - Expert Systems with Applications, 2020 - Elsevier
Dimensionality reduction is inevitable in stock selection with cluster analysis. Considering
relations among dimensionality reduction, noise trading, and market situations, we …
relations among dimensionality reduction, noise trading, and market situations, we …
Exploiting the low-risk anomaly using machine learning to enhance the Black–Litterman framework: Evidence from South Korea
S Pyo, J Lee - Pacific-Basin Finance Journal, 2018 - Elsevier
Many studies have revealed that global financial markets are experiencing low-risk
anomalies. In the Korean market, for example, even the portfolios of high-risk stocks …
anomalies. In the Korean market, for example, even the portfolios of high-risk stocks …
Facts and fantasies about factor investing
Z Cazalet, T Roncalli - Available at SSRN 2524547, 2014 - papers.ssrn.com
The capital asset pricing model (CAPM) developed by Sharpe (1964) is the starting point for
the arbitrage pricing theory (APT). It uses a single risk factor to model the risk premium of an …
the arbitrage pricing theory (APT). It uses a single risk factor to model the risk premium of an …
Volatility study in some of the emerging stock markets: a GARCH approach
N Nathani, SV Kushwah - World Review of Science …, 2022 - inderscienceonline.com
The current study analyses the volatility of stock indices of some developing and developed
economies regarding the emerging index of India, Nifty. It also tries to understand the trends …
economies regarding the emerging index of India, Nifty. It also tries to understand the trends …
Dynamic Asset Allocation Strategies Basedon Unexpected Volatility
V Zakamulin - The Journal of Alternative Investments, 2014 - pm-research.com
Several hurdles hamper the commercialization of (scientific) knowledge, especially in
Europe. Both from a financial and operational perspective, opportunities emerge for new …
Europe. Both from a financial and operational perspective, opportunities emerge for new …
An efficient and stable method for short maturity Asian options
In this paper, we develop a Markov chain‐based approximation method to price arithmetic
Asian options for short maturities under the case of geometric Brownian motion. It has the …
Asian options for short maturities under the case of geometric Brownian motion. It has the …
[BOOK][B] Equity Smart Beta and Factor Investing for Practitioners
K Ghayur, RG Heaney, SC Platt - 2019 - books.google.com
A guide to the popular and fast growing investment opportunities of smart beta Equity Smart
Beta and Factor Investing for Practitioners offers a hands-on guide to the popular investment …
Beta and Factor Investing for Practitioners offers a hands-on guide to the popular investment …
A performance evaluation of smart beta exchange traded funds
GG Rompotis - International Journal of Financial Markets …, 2019 - inderscienceonline.com
The focus of this paper is on smart beta ETFs, which promise enhanced returns to investors.
The ability of smart beta ETFs to beat the market and offer material excess returns is …
The ability of smart beta ETFs to beat the market and offer material excess returns is …