Investment patterns in Eurozone linked to economic indicators, revealing network interconnectedness.
problem Understanding the relationship between foreign portfolio investment and economic indicators in the Eurozone network.
method Analysis of strongly connected investment network of Eurozone and its major trading partners, using centrality measures and network visualization techniques.
result Strong correlation between investment patterns and economic indicators within the Eurozone network, with varying centrality measures among network members.
Currency carry trade is the investment strategy that involves selling low interest rate currencies in order to purchase higher interest rate currencies, thus profiting from the interest rate differentials. This is a well known financial puzzle to explain, since assuming foreign exchange risk is uninhibited and the mark…
A technique from stochastic portfolio theory [Fernholz, 1998] is applied to analyse equity returns of Small, Mid and Large cap portfolios in an emerging market through periods of growth and regional crises, up to the onset of the global financial crisis. In particular, we factorize portfolios in the South African marke…
Kurdistan Region is a tourist hub. This research analyzes other Non-Oil Sectors that have huge attractions of Foreign Direct Investments into the Kurdistan Region from 2005 to 2013. Comparative analysis was carried out between Iraq and the Region, and among influential Sectors of the Economy. T-test and ANOVA are stati…
Research examines how foreign direct investment in Vietnam affects stock returns.
problem Impact of foreign direct investment on stock returns in Vietnam.
method Analyzes data from 1995 to 2015 focusing on M&A deals.
result Foreign direct investment in Vietnam, particularly M&A, influences abnormal stock returns.
Study shows foreign institutional investment increases liquidity commonality in large Australian stocks.
problem Impact of foreign institutional investment on liquidity commonality in Australian stocks.
method Cross-sectional and time-series analysis of Australian equity market data.
result Foreign institutional investment contributes to increased exposure of large stocks to unexpected liquidity events.
The currency carry trade is the investment strategy that involves selling low interest rate currencies in order to purchase higher interest rate currencies, thus profiting from the interest rate differentials. This is a well known financial puzzle to explain, since assuming foreign exchange risk is uninhibited and the …
Portfolio optimisation typically aims to provide an optimal allocation that minimises risk, at a given return target, by diversifying over different investments. However, the potential scope of such risk diversification can be limited if investments are concentrated in only one country, or more specifically one currenc…
Study optimal investment strategies for an insurer in two currency markets.
problem Maximizing expected exponential utility of terminal wealth for an insurer in two currency markets.
method Dynamic programming method applied to solve Hamilton-Jacobi-Bellman equations.
result Optimal investment strategies and value functions are derived.
In this paper, we introduce a matrix-valued time series model for foreign exchange market. We then formulate trading matrices, foreign exchange options and return options (matrices), as well as on-line portfolio strategies. Moreover, we attempt to predict returns of portfolios by developing a cross rate method. This le…
In this work, we consider the optimal portfolio selection problem under hard constraints on trading volume amounts when the dynamics of the risky asset returns are governed by a discrete-time approximation of the Markov-modulated geometric Brownian motion. The states of Markov chain are interpreted as the states of an …
This study uses hierarchical structure methods (minimal spanning tree, (MST) and hierarchical tree, (HT)) to examine the hierarchical structures of the United State (US) foreign trade by using the real prices of their commodity export and import move together over time. We obtain the topological properties among the co…
The study measures home bias in stock portfolios of emerging and developed markets.
problem Measuring and understanding home bias in stock portfolios across emerging and developed markets.
method An international capital asset pricing model with cross-section econometrics, analyzing 20 countries from 2008 to 2013.
result All countries have high home bias in their stock portfolios, with different factors affecting them.
Machine learning detects foreign stock market signals for U.S. companies.
problem Detecting value-relevant foreign information for U.S. companies.
method Training over 100,000 models to capture stock-specific relationships.
result Foreign signals predict U.S. stock returns, especially in emerging markets.
Study on stock portfolio concentration among Finnish households and investors.
problem Understanding the concentration of stock portfolios owned by Finnish households and investors.
method Analysis of stock portfolios using Herfindahl-Hirschman index over 20 years.
result High portfolio concentration observed in Finnish retail investors, similar to institutional investors.
We develop a fully Bayesian, computationally efficient framework for incorporating model uncertainty into Type II Tobit models and apply this to the investigation of the determinants of Foreign Direct Investment (FDI). While direct evaluation of modelprobabilities is intractable in this setting, we show that by using c…
In order to investigate whether government regulations against corruption can affect the economic growth of a country, we analyze the dependence between Gross Domestic Product (GDP) per capita growth rates and changes in the Corruption Perceptions Index (CPI). For the period 1999-2004 on average for all countries in th…
The main purpose of this study is the determination of the optimal length of the historical data for the estimation of statistical parameters in Markowitz Portfolio Optimization. We present a trading simulation using Markowitz method, for a portfolio consisting of foreign currency exchange rates and selected assets fro…
Study shows OAT decomposition generates unexplained profit and loss, while SU decompositions depend on risk factor order.
problem Understanding profit and loss attribution in financial markets.
method Used financial market data from 2003 to 2022 to compare OAT, SU, and ASU decompositions.
result SU decompositions are sensitive to risk factor order and cannot identify all relevant risk factors.
Investigates how FDI and R&D affect host countries' growth.
problem Host countries may fall into a middle-income trap if they focus solely on FDI.
method Optimal growth model with FDI and R&D.
result R&D investment is crucial for sustained growth in host countries.
We report quantitative relations between corruption level and economic factors, such as country wealth and foreign investment per capita, which are characterized by a power law spanning multiple scales of wealth and investments per capita. These relations hold for diverse countries, and also remain stable over differen…
Quantum computers can optimize foreign exchange reserves management.
problem Optimizing foreign exchange reserves management using quantum computing.
method Demonstrated through quantum Monte Carlo risk measurement and quantum algorithms for portfolio optimization.
result Quantum computers can theoretically optimize FX reserves management in the future.
The investment economy is a main characteristic of prosperous society. The investment portfolio management is a main financial problem, which has to be solved by the investment, commercial and central banks with the application of modern portfolio theory in the investment economy. We use the learning analytics together…
ChatGPT selects stocks for investment portfolios, but optimization models improve results.
problem Using AI for investment advice due to model inaccuracies.
method Used ChatGPT to generate a stock universe, then compared various portfolio optimization strategies.
result Combining AI-generated stock selection with advanced optimization models yields better investment outcomes.
The study finds a time lag effect in FDI-GDP correlations, with significant statistical significance.
problem The relationship between FDI and GDP growth is not immediate.
method Time-dependent Pearson correlation coefficient matrix analysis of 43 countries' data from 1970-2015.
result The correlation between FDI and GDP growth is time-lagged, evolving from positive to negative as inequality-adjusted human development index increases.
Investment diversification affects financial stability, depending on network connectivity.
problem Analyzing stability of financial networks with diversified portfolios.
method Random matrix dynamical model with portfolio rebalancing, considering heterogeneity and diversification effects.
result Stability/instability transition depends on the largest eigenvalue of the random matrix.
Paper studies optimal investing for retirees with risk constraints.
problem Retirees' longevity and living standard risks in a fluctuating market.
method Formulated as a portfolio choice problem under time-varying risk capacity constraint. Derived optimal investment strategy using differential equations. Demonstrated endogenous spending measure and active investment strategy.
result Time-varying risk capacity constraint impacts asset allocation in retirement.
In this paper will be applied some principles and methods from econophysics in the case of the direct foreign investitions (D.F.I.), particularised for the Greenfield type, and mixed firms of trade and industrial production (Joint Ventures). To this aim will be used some similarities and parallelisms between the mentio…
Optimizes investment risk with cost using replica analysis.
problem Minimizing investment risk with cost.
method Replica analysis of Hamiltonians in mean-variance model.
result Derives minimal investment risk with cost and optimal portfolio investment concentration.
The paper challenges the assumption that majority voting rights equate to 'effective control' in foreign ownership regulations.
problem The assumption that majority voting rights determine 'effective control' in foreign ownership regulations is flawed.
method The paper proposes and demonstrates a method for calculating 'effective control' based on voting thresholds and weights.
result The 'effective control' of a foreign minority stockholder can be higher than their shareholding size, challenging the assumption that majority voting rights equate to 'effective control'.
Study reveals patterns in trader clusters over time, improving investment predictions.
problem Managing diverse trader risk in financial services.
method Clustered trader data analyzed using Ewens' Sampling Distribution and Aggregating Algorithm (AA). Statistically Validated Networks (SVN) applied for improved results.
result Temporal distributions of trader clusters follow Ewens' Sampling Distribution, and AA can be improved with SVN.
Proposes an end-to-end deep learning framework for active investing.
problem Constructing an active investment portfolio via deep learning.
method End-to-end deep learning framework covering factor selection, combination, stock selection, and portfolio construction.
result Demonstrates effectiveness of E2E deep learning framework in active investing.
Investment strategies involving cryptocurrencies and VIX INDEX show positive impact in market performance.
problem Investment strategies involving cryptocurrencies and VIX INDEX.
method Parameter estimation on raw data, comparison of two different portfolios, and analysis of different market conditions.
result VIX INDEX positively impacts the investment portfolio of cryptocurrencies in both standard and downward markets.
Paper analyzes portfolio optimization problems using random matrix approach.
problem Minimizing/maximizing investment risk and concentration under identical variances.
method Lagrange multiplier method and random matrix approach.
result Validation of results through numerical experiments.
Paper uses inverse optimization to measure risk preference from investment portfolios.
problem Measuring subjective risk preference in investment portfolios.
method Inverse optimization on mean-variance framework.
result Quantified risk preference parameters validated with existing measures.
Optimizes dynamic investment portfolios with correlated jumps.
problem Maximizing expected terminal wealth in a multivariate Merton model with dependent jumps.
method Approximating CVaR with comonotonic bounds and maximizing expected terminal wealth.
result Improved optimization of dynamic investment portfolios.
sPortfolio visualizes stock portfolios and factor data for better investment analysis.
problem Insufficient intuitive visual analytics for multi-factor stock portfolios.
method Develops a holistic visualization system for risk-factor, multiple-portfolios, and single-portfolios.
result Facilitates actionable insights and market trend understanding through intuitive visual analytics.
Kelly investing improved with options to reduce estimation risk.
problem Estimation risk in Kelly investing leads to suboptimal portfolios.
method Introduced European options into the Kelly framework in a binomial model.
result Constructed growth optimal portfolios robust to estimation risk.
Model estimates foreign exchange reserve compositions of undisclosed central banks.
problem Limited information on central bank reserve compositions hinders analysis.
method Hidden Markov Model relating portfolio valuation to exchange rates.
result China's reserve composition likely matches global average, while Singapore holds fewer US dollars.
The problem of portfolio optimization is one of the most important issues in asset management. This paper proposes a new dynamic portfolio strategy based on the time-varying structures of MST networks in Chinese stock markets, where the market condition is further considered when using the optimal portfolios for invest…
Machine learning models predict EUR/USD currency direction with 58.52% accuracy.
problem Predicting the directional movement of EUR/USD in the Foreign Exchange market.
method Comparative analysis of machine learning models, including decorrelated and non-decorrelated feature sets, and meta-estimators.
result 58.52% accuracy for one-day ahead forecasts.
The study assesses carbon risk in investment portfolios and proposes new management strategies.
problem The impact of carbon risk on stock pricing and portfolio construction.
method Developed a BMG risk factor and estimated time-varying carbon beta using a multi-factor model.
result Carbon risk can be incorporated into portfolio construction to reduce unrewarded financial risks.
Maximizes probability of completing investment schedules with optimal portfolio weights.
problem Optimizing probability of completing investment schedules with optimal portfolio weights.
method Computing maximum probability and optimal portfolio weight functions for various rebalancing schedules.
result Noticeable improvements in probability to complete schedules with optimal portfolio weights.
In this paper Portfolio Optimization techniques were used to determine the most favorable investment portfolio. In particular, stock indices of three companies, namely Microsoft Corporation, Christian Dior Fashion House and Shevron Corporation were evaluated. Using this data the amounts invested in each asset when a po…
This paper uses Thompson sampling to optimize portfolio selection.
problem Difficulty in estimating parameters for Markowitz's mean-variance optimization.
method Portfolio bandit strategy using Thompson sampling.
result Optimal investment portfolio can adapt to different investment periods.
New method finds profitable investment opportunities by considering additional financial variables.
problem Finding trading strategies that outperform the market with high probability.
method Generalizing functionally generated portfolios to include continuous-path semimartingales.
result Inclusion of additional processes can reduce time horizons for profitable arbitrage opportunities.
The paper analyzes mutual fund advisors' portfolios to improve sales.
problem Improving sales of investment products to suitable advisors.
method Multivariate time series and cosine similarity analysis.
result Recognized patterns in advisors' portfolio interests.
PS^2 selects assets then weights for high-dimensional investing.
problem High-dimensional mean--variance investing challenges.
method Two-step framework: Lasso screening followed by standard portfolio estimation.
result FPS^2 with defactored returns improves performance.