Works matching DE "SHARPE ratio"
Results: 522
The End of Mean-Variance? Tsallis Entropy Revolutionises Portfolio Optimisation in Cryptocurrencies.
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- Journal of Risk & Financial Management, 2025, v. 18, n. 2, p. 77, doi. 10.3390/jrfm18020077
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Optimizing Investment Portfolios with Bacterial Foraging and Robust Risk Management.
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- Algorithms, 2025, v. 18, n. 2, p. 109, doi. 10.3390/a18020109
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The Impact of Gold Returns, Bitcoin Returns, and Rising Food Price on Hedging Capability Against Education Costs in Indonesia.
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- Dinasti International Journal of Economics, Finance & Accounting (DIJEFA), 2025, v. 5, n. 6, p. 5759, doi. 10.38035/dijefa.v5i6.3741
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Finding the Best Trading Strategy.
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- UMAP Journal, 2022, v. 43, n. 4, p. 433
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Using a Genetic Algorithm to Improve Recurrent Reinforcement Learning for Equity Trading.
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- Computational Economics, 2016, v. 47, n. 4, p. 551, doi. 10.1007/s10614-015-9490-y
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ESG Scores' Impact on Portfolio Performance, An Evidence from Indonesia.
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- International Research Journal of Business Studies, 2024, v. 17, n. 2, p. 199, doi. 10.21632/irjbs.17.2.199-212
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集成深度强化学习在股票指数投资组合优化中的应用分析.
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- Journal of Frontiers of Computer Science & Technology, 2025, v. 19, n. 1, p. 237, doi. 10.3778/j.issn.1673-9418.2403060
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Comparing nexus of ranking among mutual fund categories and families of performance measures at investment policy level.
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- International Journal of Financial Engineering, 2020, v. 7, n. 2, p. N.PAG, doi. 10.1142/S2424786320500218
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RISK RETURN RELATIONSHIP AND PERFORMANCE OF OPEN ENDED SCHEMES: A COMPARATIVE STUDY OF INDIAN EQUITY BASED MUTUAL FUNDS.
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- OORJA - International Journal of Management & IT, 2018, v. 16, n. 2, p. 17
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MEASURING THE RISK AND RETURN OF INDONESIA'S AND UNITED STATES STOCK INDEX.
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- Journal of Eastern European & Central Asian Research, 2024, v. 11, n. 2, p. 355, doi. 10.15549/jeecar.v11i2.1701
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A Combined Algorithm Approach for Optimizing Portfolio Performance in Automated Trading: A Study of SET50 Stocks.
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- Mathematics (2227-7390), 2025, v. 13, n. 3, p. 461, doi. 10.3390/math13030461
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A Self-Rewarding Mechanism in Deep Reinforcement Learning for Trading Strategy Optimization.
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- Mathematics (2227-7390), 2024, v. 12, n. 24, p. 4020, doi. 10.3390/math12244020
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A Fuzzy Entropy Approach for Portfolio Selection.
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- Mathematics (2227-7390), 2024, v. 12, n. 13, p. 1921, doi. 10.3390/math12131921
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DADE-DQN: Dual Action and Dual Environment Deep Q-Network for Enhancing Stock Trading Strategy.
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- Mathematics (2227-7390), 2023, v. 11, n. 17, p. 3626, doi. 10.3390/math11173626
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Monotone Mean L p -Deviation Risk Measures.
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- Mathematics (2227-7390), 2023, v. 11, n. 12, p. 2706, doi. 10.3390/math11122706
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High-Dimensional Distributionally Robust Mean-Variance Efficient Portfolio Selection.
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- Mathematics (2227-7390), 2023, v. 11, n. 5, p. 1272, doi. 10.3390/math11051272
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The Impact of Options on Investment Portfolios in the Short-Run and the Long-Run, with a Focus on Downside Protection and Call Overwriting.
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- Mathematics (2227-7390), 2022, v. 10, n. 9, p. 1563, doi. 10.3390/math10091563
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Intelligent Optimization Based Multi-Factor Deep Learning Stock Selection Model and Quantitative Trading Strategy.
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- Mathematics (2227-7390), 2022, v. 10, n. 4, p. N.PAG, doi. 10.3390/math10040566
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Cryptocurrency Portfolio Selection—A Multicriteria Approach.
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- Mathematics (2227-7390), 2021, v. 9, n. 14, p. 1677, doi. 10.3390/math9141677
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CAN WINNERS KEEP WINNING? AN ANALYSIS OF PERFORMANCE PERSISTENCE OF MUTUAL FUNDS AND HEDGE FUNDS IN CHINA.
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- Singapore Economic Review, 2023, v. 68, n. 6, p. 2029, doi. 10.1142/S0217590820500642
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The Effect of Sectoral Diversification on Return and Risk in Portfolio Management: An Application in Borsa Istanbul.
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- Igdir University Journal of Social Sciences / Iğdır Üniversitesi Sosyal Bilimler Dergisi, 2024, n. 36, p. 162, doi. 10.54600/igdirsosbilder.1385110
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Ensembles of Text and Time-Series Models for Automatic Generation of Financial Trading Signals from Social Media Content.
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- Journal of Intelligent Systems, 2020, v. 29, n. 1, p. 753, doi. 10.1515/jisys-2017-0567
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HOME BIAS AND PERFORMANCE: A STUDY WITH BRAZILIAN MUTUAL FUNDS.
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- Brazilian Journal of Management / Revista de Administração da UFSM, 2020, v. 13, n. 1, p. 58, doi. 10.5902/1983465927864
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A new perspective of the day-of-the-week effect on Bitcoin returns: evidence from an event study hourly approach.
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- Oeconomia Copernicana, 2022, v. 13, n. 3, p. 745, doi. 10.24136/oc.2022.022
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Performance of Pension Funds and Stable Growth Open Investment Funds During the Changes in the Polish Retirement System.
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- Dynamic Econometric Models, 2016, v. 16, p. 117, doi. 10.12775/DEM.2016.007
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Penalty method for the sparse portfolio optimization problem.
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- Journal of Industrial & Management Optimization, 2024, v. 20, n. 9, p. 1, doi. 10.3934/jimo.2024031
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OPTIMIZING OVER PARETO SET OF SEMISTRICTLY QUASICONCAVE VECTOR MAXIMIZATION AND APPLICATION TO STOCHASTIC PORTFOLIO SELECTION.
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- Journal of Industrial & Management Optimization, 2023, v. 19, n. 3, p. 1999, doi. 10.3934/jimo.2022029
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Robust Markowitz: Comprehensively maximizing Sharpe ratio by parametric-quadratic programming.
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- Journal of Industrial & Management Optimization, 2023, v. 19, n. 2, p. 1426, doi. 10.3934/jimo.2021235
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Sparse minimax portfolio and Sharpe ratio models.
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- Journal of Industrial & Management Optimization, 2022, v. 18, n. 5, p. 3247, doi. 10.3934/jimo.2021111
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How's the performance of the optimized portfolios by safety-first rules: Theory with empirical comparisons.
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- Journal of Industrial & Management Optimization, 2020, v. 16, n. 6, p. 2703, doi. 10.3934/jimo.2019076
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Risk Management of Enterprise Quantitative Investment Strategies through Data Modeling.
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- Journal of Engineering, Project & Production Management, 2023, v. 13, n. 1, p. 76, doi. 10.32738/JEPPM-2023-0008
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SOCIALLY RESPONSIBLE INVESTING AND STOCK PERFORMANCE: A STUDY ON COMPARISON OF SUSTAINABILITY INDICES IN INDIA (ARCH & GARCH APPROACH).
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- Delhi Business Review, 2020, v. 21, n. 1, p. 85, doi. 10.51768/dbr.v21i1.211202016
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A bi‐level programming framework for identifying optimal parameters in portfolio selection.
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- International Transactions in Operational Research, 2022, v. 29, n. 1, p. 87, doi. 10.1111/itor.12856
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Robust reward–risk ratio portfolio optimization.
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- International Transactions in Operational Research, 2021, v. 28, n. 4, p. 2169, doi. 10.1111/itor.12652
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Portfolio management with higher moments: the cardinality impact.
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- International Transactions in Operational Research, 2019, v. 26, n. 6, p. 2531, doi. 10.1111/itor.12404
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Asset Pricing via the Conditional Quantile Variational Autoencoder.
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- Journal of Business & Economic Statistics, 2024, v. 42, n. 2, p. 681, doi. 10.1080/07350015.2023.2223683
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Portfolio Learning Based on Deep Learning.
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- Future Internet, 2020, v. 12, n. 11, p. 202, doi. 10.3390/fi12110202
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ACTIVE PORTFOLIO MANAGEMENT IN THE PRESENCE OF REGIME SWITCHING: WHAT ARE THE BENEFITS OF DEFENSIVE ASSET ALLOCATION STRATEGIES IF THE INVESTOR FACES BEAR MARKETS?
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- Review of Finance & Banking, 2012, v. 4, n. 1, p. 15
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- Article
The Way to Invest: Trading Strategies Based on ARIMA and Investor Personality.
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- Symmetry (20738994), 2022, v. 14, n. 11, p. 2292, doi. 10.3390/sym14112292
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On Application Oriented Fuzzy Numbers for Imprecise Investment Recommendations.
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- Symmetry (20738994), 2020, v. 12, n. 10, p. 1672, doi. 10.3390/sym12101672
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Commercial Retirement FOFs in China: Investment and Persistence Performance Analysis.
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- Sustainability (2071-1050), 2023, v. 15, n. 18, p. 13442, doi. 10.3390/su151813442
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How Do Investors Value Sustainability? A Utility-Based Preference Optimization.
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- Sustainability (2071-1050), 2022, v. 14, n. 23, p. 15963, doi. 10.3390/su142315963
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Performance of Equity Fund Investment Strategies in Poland.
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- Sustainability (2071-1050), 2022, v. 14, n. 20, p. N.PAG, doi. 10.3390/su142013078
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ESG as a Booster for Logistics Stock Returns—Evidence from the US Stock Market.
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- Sustainability (2071-1050), 2022, v. 14, n. 19, p. 12356, doi. 10.3390/su141912356
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Strategic Investment Decisions for Emerging Technology Fields in the Health Care Sector Based on M&A Analysis.
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- Sustainability (2071-1050), 2021, v. 13, n. 7, p. 3644, doi. 10.3390/su13073644
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Sustainable Funds' Performance Evaluation.
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- Sustainability (2071-1050), 2020, v. 12, n. 19, p. 8034, doi. 10.3390/su12198034
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- Article
Asset Allocation Model for a Robo-Advisor Using the Financial Market Instability Index and Genetic Algorithms.
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- Sustainability (2071-1050), 2020, v. 12, n. 3, p. 849, doi. 10.3390/su12030849
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Dantzig Type Optimization Method with Applications to Portfolio Selection.
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- Sustainability (2071-1050), 2019, v. 11, n. 11, p. 3216, doi. 10.3390/su11113216
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Optimal HARA Investments with Terminal VaR Constraints.
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- Advances in Operations Research, 2022, p. 1, doi. 10.1155/2022/6357701
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Performance Evaluation of Gold-ETFs in India.
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- International Journal of Business Insights & Transformation, 2020, v. 13, n. 2, p. 30
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