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Results for “Jensen alpha” · papers 2 · wiki 0
Academic Papers · 2arXiv q-fin live 2 · desk corpus 0
arXiv · arXiv q-fin · 2025
This study introduces a portfolio optimization framework to minimize mixed conditional value at risk (MCVaR), incorporating a chance constraint on expected returns and limiting the number of assets via cardinality constraints. A robust MCVaR model is presented, which presumes ellipsoidal support for random returns without assuming any distribution. The model utilizes an uncertainty set grounded in a reproducing kerne…
Rupendra Yadav, Aparna Mehra
arXiv · arXiv q-fin · 2008
Using an artificial neural network (ANN), a fixed universe of approximately 1500 equities from the Value Line index are rank-ordered by their predicted price changes over the next quarter. Inputs to the network consist only of the ten prior quarterly percentage changes in price and in earnings for each equity (by quarter, not accumulated), converted to a relative rank scaled around zero. Thirty simulated portfolios a…
J. B. Satinover, D. Sornette
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