Pairs Trading Based on Empirical Mode Decomposition (EMD)

Bahareh Zarintaj; Saeed Aghasi; Forozan Baktash

Volume 7, Issue 3 , 2023, , Pages 95-119

  As a trading strategy, pairs trading is performed based on the arbitrage opportunities extracted from statistical models. It is an outcome of the distance between an asset pair and the equilibrium state. Consequently, selecting a pair with the potential to form long-term relationships and reverting to ...  Read More

Stock Portfolio Optimization Using a Combined Approach of Relative Robust Risk Parity

Sayed Mohammad Ebrahim Mirmohammadi; Mehdi Madanchi zaj; Hossein Panahian; Hossein Jabbary

Volume 5, Issue 4 , November 2021, , Pages 87-106

  Risk parity is perceived as one of the stock portfolio selection models that have received a lot of attention since the US financial crisis in 2008. The philosophy of this model is to allocate the same amount of portfolio risk between the constituent assets. In the present study, the combined portfolio ...  Read More

Portfolio optimization with robust possibilistic programming

Maghsoud Amiri; Mohammad Saeed Heidary

Volume 3, Issue 2 , 2019, , Pages 44-65

  one of the most important financial and investment issues is Portfolio selection, that seeks to allocate a predetermined capital (wealth) over one or multiple periods between assets and stocks in such a way that the wealth of investor (portfolio owner) is maximized and, Simultaneously, its risk minimized. ...  Read More