Open Access
Issue |
ITM Web Conf.
Volume 67, 2024
The 19th IMT-GT International Conference on Mathematics, Statistics and Their Applications (ICMSA 2024)
|
|
---|---|---|
Article Number | 01018 | |
Number of page(s) | 7 | |
Section | Mathematics, Statistics and Their Applications | |
DOI | https://doi.org/10.1051/itmconf/20246701018 | |
Published online | 21 August 2024 |
- H. M. Markowitz, Portfolio Selection. J. Finance, 7, 77–91 (1952) [Google Scholar]
- T. M. Cover, Universal Portfolios, Math. Finance, 1, 1–29 (1991) [CrossRef] [Google Scholar]
- T. M. Cover, and E. Ordentlich, Universal portfolios with side information. IEEE Transactions on Information Theory, 42 (2), 348–363 (1996) [CrossRef] [MathSciNet] [Google Scholar]
- A. Batt, J. J. Ryu, Y. H. Kim, On Universal Portfolios with Continuous Side Information, arXiv:2202.02431 (2022) [Google Scholar]
- C. P. Tan, Performance Bounds for the Distribution-Generated Universal Portfolio. Proceedings 59th ISI World Statistics Congress, 5327–5332 (2013) [Google Scholar]
- S. T. Pang, H.H. Liew, Y. F. Chang, Performance of Finite Order Stochastic Process Generated Universal Portfolios, MJMS, 13 (S), 157–171 (2019) [Google Scholar]
- F. W. Sharpe, Capital Asset Prices: A Theory Of Market Equilibrium Under Conditions Of Risk, J. Finance, 19 (3), 425–442 (1964) [Google Scholar]
- F. W. Sharpe, Adjusting for Risk in Portfolio Performance Measurement, JPM, 1 (2), 2934 (1975) https://doi.org/10.3905/jpm.1975.408513 [Google Scholar]
- F. Sortino, R. Van der Meer, Downside Risk. JPM, 17 (4), 27–31 (1991) https://doi.org/10.3905/jpm.1991.409343 [Google Scholar]
- T. Cheng, J. Liu, W. Yao, A. B. Zhao, The impact of COVID-19 pandemic on the volatility connectedness network of global stock market, PBFJ, 71(C) (2022) [Google Scholar]
- H. Liu, A. Manzoor, C. Wang, L. Zhang, Z. Manzoor. The COVID-19 Outbreak and Affected Countries Stock Markets Response. Int. J. Environ. Res. Public Health, 17 (8), 2800 (2020) https://doi.org/10.3390/iierph17082800 [CrossRef] [Google Scholar]
- A. A. M. Gamal, A. A. Al-Qadasi, M. A. M. Noor, N. Rambeli, K. K. Viswanathan, The Impact of COVID-19 on the Malaysian Stock Market: Evidence from an Autoregressive Distributed Lag Bound Testing Approach. J. of Asian finance, economics and bus., 8 (7), 1–9, (2021) https://doi.org/10.13106/jafeb.2021.vol8.no7.0001 [Google Scholar]
- N. Abuoliem, B. Kalyebara, C.W.S.C.W. Ibrahim, Revisiting Portfolio Optimization And 1/N Rules: Shariah vs Conventional Stocks’s performance During The COVID-19 Pandemic. IJE, 25, 1–14 (2021). [Google Scholar]
- M. Haseeb, N. S. Mahdzan, W.M.W. Ahmad, Are Shariah-compliant firms less prone to stock price crash risk? Evidence from Malaysia, IMEFM, 16 (2), 291–309 (2022). [Google Scholar]
- R. A. Subekti, D. Rosadi, Toward the Black-Litterman with Shariah-compliant asset pricing model: a case study on the Indonesian stock market during the COVID-19 pandemic, IMEFM, 15 (6), 1150–1164 (2022) [CrossRef] [Google Scholar]
- S. M. Ross, Introduction to Probability Models, 625–657 (2007) [Google Scholar]
Current usage metrics show cumulative count of Article Views (full-text article views including HTML views, PDF and ePub downloads, according to the available data) and Abstracts Views on Vision4Press platform.
Data correspond to usage on the plateform after 2015. The current usage metrics is available 48-96 hours after online publication and is updated daily on week days.
Initial download of the metrics may take a while.