Managing a portfolio whose value closely tracks an index by trading only in a subset of the index constituents involves an NP-hard optimisation problem. In the prior literature, it has been suggested to solve this problem using sequential Monte Carlo (SMC, a.k.a. particle filter) methods. However, this literature does not take transaction costs into account, although transaction costs are the primary motivation for attempting to replicate the index by trading in a subset, rather than the full set of index constituents. This paper extends the SMC approach to index tracking to allow for proportional transaction costs and implements this extended method on empirical data for a variety stock indices. In addition to providing a more practically useful tracking strategy by allowing for transaction costs, we find that including a penalty for transaction costs in the optimisation objective can actually lead to better tracking performance.

Diversification is an important strategy for managing risk in agricultural systems. Risk analysis can help to support farmers’ diversification strategies, but existing analytical methods are complicated and little used. The minimum regret model helps to fill this gap. It provides a simple, transparent calculation procedure that can be executed with existing spreadsheet software. Regret is an important heuristic in the behavioural sciences and regret-based models are used in finance. The article presents the model with a numerical example. It also presents a framework to compare minimum regret portfolios with two limit cases (maximum utility and minimax regret). A case study illustrates the use of the model and the comparative framework.

The present study aims to develop a risk-based approach to find optimal solutions for life extension management for offshore wind farms based on Markowitz’s modern portfolio theory, adapted from finance. The developed risk-based approach assumes that the offshore wind turbines (OWT) can be considered as cash-producing tangible assets providing positive return from the initial investment (capital) with a given risk attaining the targeted (expected) return. In this regard, the present study performs a techno-economic life extension analysis within the scope of the multi-objective optimisation problem. The first objective is to maximise the return from the overall wind assets, while the latter aims to minimise the risk associated with obtaining the return. In formulating the multi-dimensional optimisation problem, the life-extension assessment considers the results of a detailed structural integrity analysis, free-cash-flow analysis, and probability of project failure, local and global economic constraints. Further, the risk is identified as the variance from the expected mean of return on investment. The risk-return diagram is utilised to classify the OWTs of different classes using an unsupervised machine learning algorithm. The optimal portfolios for the various required rate of return are recommended for different stages of life extension.

This paper performs a comprehensive analysis of the wind energy potential of onshore regions in Greece with emphasis on quantifying the volume risk and the spatial covariance structure. Optimization techniques are employed to derive efficient wind capacity allocation plans (also known as generation portfolios) incorporating different yield aspirations. The generation profile of minimum variance and other optimal portfolios along the efficient frontier are subject to rigorous evaluation using a fusion of descriptive and statistical methods. In particular, principal component analysis is employed to estimate factor models and investigate the spatiotemporal properties of wind power generation, providing valuable insights into the persistence of volume risk. The overarching goal of the study is to employ a set of statistical and mathematical programming tools guiding investors, aggregators and policy makers in their selection of wind energy generating assets. The findings of this research challenge the effectiveness of current policies and industry practices, offering a new perspective on wind energy harvesting with a focus on the management of volume risk.

This article combines the traditional definition of portfolio risk with minimum spanning tree based “interconnectedness risk" to improve the equal risk contribution portfolio performance. We use betweenness centrality to measure an asset’s importance in a market graph (network). After filtering the complete correlation network to a minimum spanning tree, we calculate the centrality score and convert it to a centrality heuristic. We develop an adjusted variance-covariance matrix using the centrality heuristic, to bias the model to assign peripheral assets in the minimum spanning tree higher weights. We test this methodology using the constituents of the S&P 100 index. The results show that the centrality equal risk portfolio can improve upon the base equal risk portfolio returns, with a similar level of risk. We observe that during bear markets, the centrality-based portfolio can surpass the base equal risk portfolio risk.

Business-to-business (B2B) manufacturing companies are increasingly confronted with transformative trends such as sustainability, digitalization, and servitization. These trends are changing how product portfolios are developed, and value contributions are assessed, and therefore have disruptive potential. Dealing with these disruptive factors in Product Portfolio Management (PPM) is a largely unexplored topic. This study presents an empirical-qualitative exploration that contributes significantly to the field. The aim is to clarify the extent to which disruptive factors influence the evaluation and shaping of the product portfolio in B2B manufacturing companies. The Gioia method was used to evaluate 21 semi-structured interviews with experts from leading B2B manufacturing companies. Eight overarching challenges in PPM resulting from the disruptive factors were identified. Based on the eight overarching challenges and their associated causal relationships, two aggregated dimensions of action were derived: (1) increasing speed and flexibility by using generative artificial intelligence (AI) in a defined PPM process and (2) adjusting the product portfolio evaluation to consider various strategic drivers. These two dimensions of action call for future research to overcome the disruptive factors in PPM.

This paper explores the effectiveness of the Non-dominated Sorting Genetic Algorithm III (NSGA-III) and traditional Mean-Variance optimization in financial portfolio management. Using a dataset comprising global financial assets, we applied both methodologies to optimize portfolios based on multiple objectives, including risk, return, skewness, and kurtosis. The findings reveal that NSGA-III outperforms the Mean-Variance method in achieving a more diverse set of Pareto-optimal portfolios. NSGA-III portfolios exhibited superior performance in balancing risk and return, demonstrated by higher Sharpe ratios, more favorable skewness, and lower kurtosis. Additionally, NSGA-III's ability to simultaneously optimize across multiple conflicting objectives highlights its robustness in navigating complex financial landscapes, offering enhanced portfolio resilience. In contrast, the Mean-Variance approach, while effective in achieving balanced risk and return, was limited in addressing higher-order moments of the return distribution. These results underscore NSGA-III's potential as a powerful tool for portfolio optimization, providing a comprehensive alternative to traditional methods in modern financial markets where multiple objectives must be considered.

In this paper we focus on an implicit assumption in the BSM framework that limits the scope of market network connections to seeking gains in the currency basis, i.e., on trading strategies between the numeraire and the stock and between the numeraire and the option, separately. We relax this assumption and derive the equivalent of the standard BSM approach under a more general market network framework in order to assess its implications. In doing so, we find that it is not possible to hedge the implicit option that allows one to directly trade the option and stock. This represents a potential challenge to the BSM framework, since the missing market network connection provides a potentially useful mechanism for risk-bearing portfolio managers to alter their portfolios.

Clinical training in medical schools in Spain is performed by rotations in university hospitals. During these internships, students are expected to acquire and master basic procedural skills. However, the assessment tools available rarely check whether these skills are completely acquired by the students. We have used an e-portfolio to determine the optimal number of times the students need to repeat a procedure to be able to perform it independently. The results were compared with the actual performance during the internships. An e-portfolio collected qualitative information about the internships. Quantitative information was also requested about the number of times each clinical skill was performed. Later, a survey asked these students and their teachers the optimal number of times each skill should be repeated before it could be considered fully acquired. The questionnaire was answered by 98.6% of the students and 70.3% of their teachers. Out of the 21 clinical skills and procedures selected, both students and their tutors agreed in a similar optimal value in 16 of them; only in five of them, teachers thought that students needed a greater number of times than that selected by the students. When these optimal values were compared with the actual values recorded in the portfolio during the internships, it was found that about half of the clinical skills were carried out less frequently than expected, thus providing an important feedback about the internships. Quantitative information collected in portfolios reveals a moderate mismatch between students and tutors perceptions of their training needs.

Stocks portfolio is a form of investment that can be used to minimize the risk of loss. In a stock portfolio, the value at risk (VaR) can be predicted through the portfolio return. If portfolio return variance is heteroscedastic risk prediction can be done by using VaR with ARIMA-GARCH or Ensemble ARIMA-GARCH model approach. Furthermore, the accuracy of VaR is tested through backtesting test. In this study, the portfolio formed from Astra Agro Lestari Ltd (AALI) and Indofood Ltd (INDF) stocks from 10/02/2012 to 10/01/2019. The results showed that the best model is ARIMA(0,0,[3])-GARCH(1,2) with AIC of -5.604 and MSE 1.874e-07.At confidence level of 95% and 1 day holding period, the VaR of the ARIMA(0,0,[3])-GARCH(1,2) was -0.3464. Based on the backtesting test, it is proven to be very accurate to predict the value of loss risk because the value of the violation ratio (VR) is equal to 0.

In the evolving landscape of Portfolio Management (PM), the fusion of advanced machine 1 learning techniques with traditional financial methodologies has opened new avenues for innovation. 2 Our study introduces a cutting-edge model combining Deep Reinforcement Learning (DRL) with 3 a Non-stationary Transformer architecture. This model is specifically designed to decode complex 4 patterns in financial time series data, enhancing portfolio management strategies with deeper insights 5 and robustness. It effectively tackles the challenges of data heterogeneity and market uncertainty, 6 key obstacles in PM. Our approach integrates key macroeconomic indicators and targeted news 7 sentiment analysis into its framework, capturing a comprehensive picture of market dynamics. This 8 amalgamation of varied data types addresses the multifaceted nature of financial markets, enhancing 9 the model’s ability to navigate through the complexities of asset management. Rigorous testing 10 demonstrates the model’s efficacy, highlighting the benefits of blending diverse data sources and 11 sophisticated algorithmic approaches in mastering the nuances of PM.12

Using a sample of 103 surviving and non-surviving global bond funds over a long sample period of 1998 to 2022, we perform a comprehensive analysis of the funds under our modified Sharpe’s (1992) style analysis model. We find that dynamic style analysis is useful in explaining time-series and cross-sectional and in predicting future returns of global bond funds. The dynamic style analysis also allows us to examine asset allocation over time. The results show that, during 2001 to 2014, funds shift their allocations from intermediate-term bonds to world corporate bonds and from world corporate bonds to emerging market bonds in search of higher returns at the price of credit quality.

Kelly's Criterion is well known among gamblers and investors as a method for maximizing the returns one would expect to observe over long periods of betting or investing. These ideas are conspicuously absent from portfolio optimization problems in the financial and automation literature. This paper will show how Kelly's Criterion can be incorporated into standard portfolio optimization models. The model developed here combines risk and return into a single objective function by incorporating a risk parameter. This model is then solved for a portfolio of 10 stocks from a major stock exchange using a differential evolution algorithm. Monte Carlo calculations are used to verify the accuracy of the results obtained from differential evolution. The results show that evolutionary algorithms can be successfully applied to solve a portfolio optimization problem where returns are calculated by applying Kelly's Criterion to each of the assets in the portfolio.

Developing effective trend estimators is a main method to solve the online portfolio selection problem. Although the existing portfolio strategies have demonstrated good performance through the development of various trend estimators, it is still challenging to determine in advance which estimator will yield the maximum final cumulative wealth in online portfolio selection tasks. This paper studies an online ensemble approach for online portfolio selection by leveraging the strengths of multiple trend estimators. Specifically, a return-based loss function and a cross-entropy-based loss function are first designed to evaluate the adaptiveness of different trend estimators in a financial environment. On this basis, a passive aggressive ensemble model is proposed to weigh these trend estimators within a unit simplex according to their adaptiveness. Extensive experiments are conducted on benchmark datasets from various real-world stock markets to evaluate the performance. The results show that the proposed strategy achieves the state-of-the-art performance including efficiency and cumulative return.

An optimal withdrawal strategy beginning at age 65 provides a lifetime income from a portfolio, adjusted annually for inflation, while reducing the probability of living in financial ruin to an ac-ceptable level. This paper analyzes the probability of living in financial ruin, potentially for multiple years, rather than just the event of ruin. A stochastic Excel model was developed to simulate the effect of varying investment returns on a portfolio with two asset classes; large company stocks and long-term government bonds. A stochastic model is also applied to retiree mortality. The following variables were analyzed to determine their relative impact on withdrawal strategies: • Withdrawing a constant percentage of the portfolio, • Gender, • Initial asset allocation, • Asset allocation rebalancing methods, and • Low investment return environments. For both genders and most withdrawal rates, an approximately equal initial asset allocation of stocks and bonds, combined with a level rebalancing function, provided the lowest probability of living in financial ruin. Because each investment return followed its own probability distribution function, some retirees experienced financial ruin even in the most conservative simulations.

This paper explores the application of Random Matrix Theory (RMT) as a methodological enhancement for portfolio selection within financial markets. Traditional approaches to portfolio optimization often rely on historical estimates of correlation matrices, particularly susceptible to instability. To address this challenge, we combine a data preprocessing technique based on the Hilbert transformation of returns with RMT to refine the accuracy and robustness of correlation matrix estimation. By contrasting empirical correlations with those derived from random matrices, we uncover non-random properties and underlying relationships within financial data. We then utilize this methodology to construct the correlation network dependence structure used in portfolio optimization. The empirical analysis presented in this paper validates the effectiveness of RMT in enhancing portfolio diversification and risk management strategies. This research contributes by offering investors and portfolio managers with methodological insights to construct portfolios that are more stable, robust, and diversified. At the same time, it advances our comprehension of the intricate statistical principles underlying multivariate financial data.

A variable annuity is a popular life insurance product that comes with financial guarantees. Using Monte Carlo simulation to value a large variable annuity portfolio is extremely time-consuming. Metamodeling approaches have been proposed in the literature to speed up the valuation process. In metamodeling, a metamodel is first fitted to a small number of variable annuity contracts and then used to predict the values of all other contracts. However, metamodels that have been investigated in the literature are sophisticated predictive models. In this paper, we investigate the use of linear regression models with interaction effects for the valuation of large variable annuity portfolios. Our numerical results show that linear regression models with interactions are able to produce accurate predictions and can be useful additions to the toolbox of metamodels that insurance companies can use to speed up the valuation of large VA portfolios.

Project portfolio configuration (PPC) is an important approach to maintain the sustainable development of enterprises and achieve organizations’ strategy. However, the synergetic efficacy of PPC which determines the degree of the project's strategic objectives achieved is a fuzzy problem and hard to be measured. To solve this problem, this paper takes the data envelopment analysis (DEA) as the tool to measure the efficacy of PPC under deterministic conditions. First, a portfolio evaluation index system which takes financial indicators and non-financial indicators into consideration is developed based on the review of the literature; Second, an evaluation model based on DEA is built to reduce the number of decision making-unit with the perspective of synergetic theory; Then, a computational experiment is studied to verify the feasibility of this proposed model. The results of this computational experiment show that this model can effectively narrow scope of decision-making, improve the decision-making level and provide a reference to decide the DEA effective project portfolio decision-making unit. To our knowledge, this study is the first time to apply the notion of synergetic efficacy and DEA to the PPC domain. It is hoped that this paper may shed lights on any further study about PPC and enterprise competitiveness of sustainable development.

The study sought to investigate the effect of Multi-choice Goal programming in project Portfolio Analysis, using Lagos State Project Portfolio from between 2017-2021 as a study case. Specifically, the objectives examined the effectiveness of multi-choice goal programming in analyzing the project Portfolio of Lagos State Government and investigated the possible lapses in the use of Multi-choice Goal programming in analyzing the project Portfolio of Lagos State Government. Data were gathered from the State financial Statements and analyzed using Lingo-17 Software. Based on the analysis, the study discovered that the goals formulated can be optimally and minimally attained as the positive deviational and negative deviational variables depict zero. This indicates that the cost incurred on the project portfolio was absolutely minimized during the period and at the same time; Lagos State Government derived the most preferred benefits from it. The study therefore concluded that the State minimized the project costs and at the same time maximized benefits while meeting its overall objectives.

The goal of clustering is to identify common structures in a data set by forming groups of homogeneous objects. The observed characteristics of many economic time series motivated the development of classes of distributions that can accommodate properties such as heavy tails and skewness. Thanks to its flexibility, the Skewed Exponential Power Distribution (also called Skewed Generalized Error Distribution) ensures a unified and general framework for clustering possibly skewed and heavy tailed time series. This paper develops a clustering procedure of model-based type, assuming that the time series are generated by the same underlying probability distribution but with different parameters. Moreover, we propose to optimally combine the estimated parameters to form the clusters with an entropy weighing $k$-means approach. The usefulness of the proposal is showed by means of application to financial time series, demonstrating also how the obtained clusters can be used to form portfolio of stocks.

In this paper we provide a highly selected review and synthesis on some of the recent and notable contribution to research in portfolio analysis. A unique perspective on this development in the literature is offered in this paper by judiciously identifying a few sample eigenvalues adjustment patterns in a portfolio that leads to an improvement in the out-of-sample portfolio Sharpe ratio when the population covariance matrix admits a high-dimensional factor model. These patterns unveil a key insight into a portfolio performance improvement and shed an important light on the effectiveness of a few recently introduced ”robust to estimation errors” covariance matrix estimation approaches, which were not originally designed with the goal to improve the out-of-sample portfolio performance.

This research paper investigated the hedging effectiveness, dynamic dependence, safe haven ability, and portfolio diversification benefits of alternative assets (precious metals) with conventional and Islamic stock indices. The data covered the period from March 2011 to March 2021, and a copula model with switching dependence was utilized. The estimated transition probabilities demonstrated a high persistence of the same dependence regime in all estimated pairs. The research found that the use of precious metals with stocks for diversification is a favorable choice, proving them to be the best suitable solution to avoid risks. They also provide a save haven effect along with diversification benefits and reveal that risk reduction benefits vary with respect to portfolio types. The findings of the research indicate that negative shocks prompt investors to seek refuge in safe haven assets to safeguard their investments from extreme negative shocks. For most of the situations studied, precious metals provide the best and most effective hedge to stock returns. Overall, the addition of alternative assets to the stock portfolio reduces risks and provides better diversification benefits. Results vary depending on the circumstances of the country. These findings have practical implications for policymakers, fund managers, investors, and risk management practitioners, guiding them in their investment and risk management decisions.

This study discusses the application of reinforcement learning (RL) in financial asset risk assessment, especially how to improve the ability of risk prediction and asset portfolio optimization through deep reinforcement learning (DRL) model. Traditional financial risk assessment methods are often unable to effectively cope with the dynamic changes and complexities of the financial market, but RL technology provides innovative solutions for modern financial risk management by means of real-time adjustment and adaptation mechanism. This paper experimentally verifies the advantages of DRL models in improving forecasting accuracy and risk management efficiency and discusses the potential impact of AI technology in the financial sector. The findings show that despite challenges such as data quality and model interpretation, the application of AI technology provides financial institutions with more precise and flexible risk management tools, driving further development of fintech.

The aim of this study is to investigate “resource portfolios” and total capital, as well as the degree of those resources capitalization, which representatives of different social classes in the modern Latvia have at their disposal. The amount and structure of “resource portfolio” and total capital of different social classes studied using the resource-asset-capital approach. The article presents results of the sociological survey of social stratification in modern Latvia on the example of its one region – Latgale (2019, n = 798, representative sample of the adult population), identifying social classes based on two objective (income and education) and one subjective (self-identification of respondents) criteria. Based on the example of the lower working class and the middle class, the authors proved that representatives of these polar social classes have a total capital of different amount, which is determined by two main reasons: 1) the lower working class has statistically significantly smaller “resource portfolio” than the middle class; 2) the lower working class is not so successful as the middle class in activating the resources at their disposal, turning them into their capital. These statistically significant two-level differences have to be considered when pursuing social policies on reducing differences between social classes.

Traditionally understood in reference to distance education, cognitive presence may be defined as "the extent to which the participants in any particular configuration of a community of inquiry can construct meaning through sustained communication. The purpose of this paper was to create a blueprint for the reflective ePortfolio as the capstone project for my graduate degree. The blueprint was accomplished by adapting for use cognitive presence as a tool for both analysis and framing, which has never been done to the best of my knowledge. I considered myself to be a participant in a “community of inquiry” model and substituted the result of my interaction with each of the required instructor-course content pairings I took to serve as fellow participants in this community model. The result of my participation was understood to be the knowledge and experience that I have gained, which was reflected in eight of my academic research papers. These selected papers were the artifacts around which my ePortfolio was ultimately developed and demonstrated my participation as an active member in this community of inquiry constructing meaning through sustained communication.

Dynamic hedging has been adopted by many insurance companies to mitigate the financial risks associated with variable annuity guarantees. In order to simulate the performance of dynamic hedging for variable annuity products, insurance companies rely on nested stochastic projections, which is highly computationally intensive and often prohibitive for large variable annuity portfolios. Metamodeling techniques have recently been proposed to address the computational issues. However, it is difficult for researchers to obtain real datasets from insurance companies to test metamodeling techniques and publish the results in academic journals. In this paper, we create synthetic datasets that can be used for the purpose of addressing the computational issues associated with the nested stochastic valuation of large variable annuity portfolios. The runtime used to create these synthetic datasets would be about 3 years if a single CPU were used. These datasets are readily available to researchers and practitioners so that they can focus on testing metamodeling techniques.

We introduce and discuss a generalization of the classical multi-objective optimization to pairs of functions. This procedure is referred to as bi-multi-objective optimization. A justification of this general optimization procedure is presented, related both to multi-objective optimization under ambiguity concerning individual preferences and to Pareto optimality for a family of preferences with nontransitive indifference. Incidentally, the binary relation naturally associated to a bi-multi-objective optimization problem is represented by a finite bi-multi-utility, which generalizes to the nontransitive case the classical finite multi-utility representation. An important application is presented to Markowitz portfolio selection under ambiguity concerning both the vector of returns and the covariance matrix.

This paper examines interlinkages and hedging opportunities between nine major cryptocurrencies for the period between 30 September 2015 and 4 June 2020, which notably includes the coronavirus disease 2019 (COVID-19) outbreak lasting from early 2020 through the end of the sample period. The results of dynamic conditional correlation (DCC) analysis using a minimum connectedness approach show a high degree of correlation between cryptocurrencies throughout the sample period. However, the correlations reach their minimum values during the COVID-19 pandemic, which indicates that cryptocurrencies acted as a hedge or safe haven during the stressful period of the COVID-19 pandemic. The weight of cryptocurrencies was significantly reduced and their hedging effectiveness varied greatly during the pandemic, which indicates that investors’ preferences changed during the COVID-19 period.

The extent of correlation or co-movement among the returns of developed and/or emerging stock markets remains pivotal for efficiently diversifying global portfolios. This correlation is prone to variation over time as a consequence of escalating economic interdependence fostered by international trade and financial markets. In this study, we analyzed the time-varying correlation and co-movement between the JSE.JO stock market of South Africa and its developed and developing stock market partners. The Dynamic Conditional Correlation - Exponential Generalized Autoregressive Conditional Heteroscedasticity (DCC-EGARCH) methodology is employed with different multivariate distributions to explore the time-varying correlation and volatilities between the JSE.JO stock market and its partners. Based on the conditional correlation results, the JSE.JO stock market is integrated and co-moves with its partners, and the conditional correlation for all markets exhibit time-variant behavior. The conditional volatility results show that the JSE.JO stock market behaves differently from other markets, especially after 2015, indicating a positive sign for investors to diversify between JSE.JO and its partners. The highest value of conditional volatility for markets was in 2020 during the COVID-19 pandemic, representing the riskiest period that investors should avoid due to the lack of diversification opportunities during crises.

This paper investigates portfolio optimization methodologies and short-term investment strate-gies in the context of the cryptocurrency market, focusing on ten major cryptocurrencies from January 2020 to November 2023. We employ high frequency data and utilize the Kurtosis Mini-mization methodology, alongside other optimization strategies, to construct and evaluate port-folios under different rebalancing frequencies. The empirical analysis reveals that cryptocurren-cies exhibit significant volatility, skewness, and kurtosis, necessitating sophisticated portfolio management techniques. We find that the Kurtosis Minimization methodology consistently outperforms other optimization strategies, delivering optimal returns to investors, particularly in shorter-term investment horizons. We demonstrate the diversification benefits of integrating cryptocurrencies into multi-asset portfolios and emphasize the importance of regular portfolio rebalancing in the volatile cryptocurrency market. Our findings offer insights for portfolio man-agers and investors seeking to optimize their investment outcomes in the cryptocurrency market, highlighting the importance of risk management, diversification, and dynamic portfolio man-agement strategies.

We present evidence of the anchoring bias and disposition effect (DE) in investor trading decisions across different asset markets (stable and volatile assets) and market scenarios (stable and volatile markets), as well as how these biases affect investors' portfolio performance. The study employs a quasi-experimental design, allowing subjects to engage in interactive trading with four securities, two with potential negative returns and two with potential positive returns, within a simulated asset market. Our findings reveal the presence of the disposition effect and anchoring bias among individual investors in India. Second, market scenarios or volatility can influence the investors’ behavioral biases. The disposition effect was more prominent in volatile markets and the total market, while the anchoring bias was significant in stable and total markets. Additionally, investors exhibiting the disposition effect exhibit lower portfolio performance, while those demonstrating anchoring bias perform relatively better. The study's findings can help individual investors understand their behavioral biases, avoid them in future trading decisions, and improve portfolio performance. Financial institutions and regulatory agencies could identify investment products and supportive investor interactions towards better market trade decisions.

Evaluation of market connectedness and asymmetric volatility spillover has recently seen a surge in financial risk analytics and portfolio diversification. We carried out a meta-literature review on connectedness and spillovers, providing solid insight into the research field and robust guidelines for future investigation. The review consists of a quantitative bibliometric analysis of 594 papers and a qualitative content analysis of 77 papers covering 1991 to 2021. The results of the meta-citation analysis shows that Diebold's Spillover index (2007) is the predominant method in most works as far as market connectedness and spillover is concerned. With an extensive review, we answered the following objectives (1) Analyze the most influential authors, journals, and publications, (2) Understand the research streams and most studied streams, (3) Understand the theme structure and thematic evolution, and keyword trends, (4) Examine the pattern of collaboration, and most productive affiliations, (5) Explore future research directions and untapped areas. The content analysis revealed the following important research streams in the current literature (1) Asymmetries in the market connectedness, (2) Influence of Macro Factors in the market connectedness and spillover, (3) the Role of Oil in market spillovers and hedging portfolios, (4) Dynamic cross-market connectedness and spillovers. The ongoing financial turmoil and market advancements make market connectedness a vital research topic; thus, our work would significantly contribute to macroeconomic policymakers, researchers and hedging investors.

This paper addresses the evolving landscape of electricity markets in Europe, with a focus on the integration of Renewable Energy Communities as introduced by the Renewable Energy Directive 2018/2001. Residents within a postal code area are highly incentivized to join a community, which enables them to exchange energy among themselves at lower procurement costs. Thereby, energy management systems optimize the operation of respective energy systems, with electrical load forecasting playing a key role. Given that prosumers may switch between communities on a daily basis, electricity demands within these groups will vary, leading to data that is non-stationary, discontinuous as well as non-identical and independently distributed. To encounter this issue, we propose a sophisticated forecasting model that applies federated learning, using informations from various distributed communities to learn domain-invariant features. To achieve this, we initially utilize synthetic electrical load time series at district level and aggregate them to profiles of Renewable Energy Communities with dynamic portfolios. Subsequently, we develop a forecasting model that accounts for the composition of residents of a Renewable Energy Community, adapt data pre-processing in accordance with the time series process, and detail a federated learning algorithm that incorporates weight averaging and data sharing. Following the training of various experimental setups, we ultimately evaluate their effectiveness. The findings suggest that our proposed framework is capable of effectively forecast non-stationary and discontinuous time series and that it can be applied to new, unseen data through the integration of knowledge from multiple sources.

This report provides a comprehensive analysis of portfolio risk management using Value at Risk (VaR) for a banking sector investment portfolio. We evaluate a portfolio composed of SBI, HDFC, Axis Bank, and ICICI Bank, using historical data from July 1, 2023, to June 30, 2024. The report covers the calculation of VaR, portfolio variance, and standard deviation, highlighting the impact of different weightage adjustments on the portfolio’s risk profile. Two scenarios—one with increased weightage in SBI and another with increased weightage in HDFC—demonstrate how changes in asset allocation affect potential losses. The findings emphasize the importance of strategic asset allocation for both speculators and hedgers. Speculators are advised to focus on high volatility and market trends, while hedgers should prioritize stability and risk management. This analysis aids investors in making informed decisions to balance risk and return in their banking sector investments.

In this work, optimal consumption and investment strategies are derived for risk-averse investors under the 4/2 stochastic volatility class of models. We work under an expected utility (EUT) framework and consider a Constant Relative Risk Aversion (CRRA) investor, who might also be ambiguity-averse. The corresponding Hamilton-Jacobi-Bellman (HJB) and HJB-Isaacs (HJBI) equations are solved in closed-form for a subset of the parametric space and under some restrictions on the portfolio setting, for complete markets. Conditions for proper changes of measure and well defined solutions are provided. These are the first analytical solutions for the 4/2 stochastic volatility model and the embedded 3/2 model for the type of excess returns established in .

We evolve our past models PYR, Loukeris, et al. (2016) to provide a competitive system whose infiltration of categorical information and fundamentals into advanced higher moments, supports a more objective Portfolio Selection, aided by Intelligent Computing. The system of Portfolia Yield Reactives (PYR) searches for hidden prototypes into big data of accounting and financial statements, restricting malicious patterns such as hoax, noise, manipulation, incorporated to a novel optimal portfolio selection method.

The relationship between the returns and volatility of stocks, gold, bonds, and Bitcoin (BTC) to changes in inflation, interest rates (SBI), and exchange rates is a compelling topic, encompassing factors such as inter-asset interactions, and the roles of assets as hedge or safe-haven. We aims the inter-assetscorrelation using Granger Causality Test and the role of hedge or safe-haven assets against uncertainty using GARCH for normal condition and quantile regression in crisis. Last, we built an optimal portfolio using the Arbitrage Pricing Model (APT) consists of 28% stocks, 16% gold, 27% bonds, and 29% BTC, with returns 1.7796% over the Rf. Monthly trading records from 2018 until 2023 are used. The results demonstrate a correlation between the returns of gold and bonds with BTC, while stock volatility is found to correlate with BTC volatility. Furthermore we found a negative correlation between gold returns and exchange rates, though gold shows no correlation with other variables, indicating its effectiveness as a hedge in normal conditions. The bond serve primarily as a diversifier against exchange rate and inflation in normal, bearish, and bullish market conditions. These findings suggest that gold and bonds are more stable instruments and serve as risk mitigation strategy for BTC.