The concepts of portfolio optimization and diversification have been instrumental in the
development and understanding of financial markets and financial decision making. In light …

Earnings forecasting data has been a consistent, and highly statistically significant, source of
excess returns. This chapter discusses a composite model of earnings forecasts, revisions …

In this paper, we extend Markowitz Portfolio Theory by incorporating the mean, variance,
skewness, and kurtosis of both return and liquidity into an investor's objective function …

This paper aims to assess the performance of Islamic portfolios vis-à-vis their conventional
counterparts across two distinct periods: the pre-COVID-19 era and the COVID-19 era …

In this paper, views of investor are described in fuzzy sets, and two fuzzy Black-Litterman
models are constructed with fuzzy views and fuzzy random views respectively. In the …

This paper adopts the multi-criterion decision-making model of fuzzy-TODIM and genetic
algorithm (GA) for optimal portfolio allocation. We applied Markowitz's portfolio parameters …

The authors ask the question: How does one incorporate the benefits of portfolio
optimization without disturbing the core beliefs of the fundamental manager? A solution is …

This paper proposes a hybrid two-stage robustness approach to portfolio construction under
data uncertainty. In the first stage, a stock's efficiency performance from candidate stocks is …

We examine the issues and methods involved in evaluating the size that an equity fund
might attain before it becomes unable to create additional value for investors. We discuss …

The purpose of this study is to document the existence, persistence, and effectiveness of
publicly available variables linked to financial anomalies during the 1979–1999 time period …