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Performance comparison of multifractal techniques and artificial neural networks in the construction of investment portfolios

The result's identifiers

  • Result code in IS VaVaI

    <a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F62156489%3A43110%2F23%3A43923360" target="_blank" >RIV/62156489:43110/23:43923360 - isvavai.cz</a>

  • Result on the web

    <a href="https://doi.org/10.1016/j.frl.2023.103814" target="_blank" >https://doi.org/10.1016/j.frl.2023.103814</a>

  • DOI - Digital Object Identifier

    <a href="http://dx.doi.org/10.1016/j.frl.2023.103814" target="_blank" >10.1016/j.frl.2023.103814</a>

Alternative languages

  • Result language

    angličtina

  • Original language name

    Performance comparison of multifractal techniques and artificial neural networks in the construction of investment portfolios

  • Original language description

    This work aims to compare the performance of the traditional portfolios of the S&amp;P500, Markowitz, and Sharpe with the multifractal trend fluctuation portfolios (MF-DFA) and portfolios of artificial neural networks with Student&apos;s asymmetric probability classification (ANN-t). In this study, we use daily data for S&amp;P500 stocks between January 18, 2018, and July 12, 2022, where we backtest return and risk metrics such as annual volatility, Value at Risk, Sharpe Ratio, Sortino Ratio, Beta, and Jensen&apos;s Alpha. For both return and risk, we obtain the results confirming that the ANN-t technique might indicate better investment entries, which contradicts the Efficient Market Hypothesis (EMH).

  • Czech name

  • Czech description

Classification

  • Type

    J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database

  • CEP classification

  • OECD FORD branch

    50206 - Finance

Result continuities

  • Project

    <a href="/en/project/GA22-34451S" target="_blank" >GA22-34451S: New Methods in Pricing Government Debt: Uncertainty and Policy Implications</a><br>

  • Continuities

    P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Others

  • Publication year

    2023

  • Confidentiality

    S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Data specific for result type

  • Name of the periodical

    Finance Research Letters

  • ISSN

    1544-6123

  • e-ISSN

    1544-6131

  • Volume of the periodical

    55

  • Issue of the periodical within the volume

    July

  • Country of publishing house

    US - UNITED STATES

  • Number of pages

    7

  • Pages from-to

    103814

  • UT code for WoS article

    001060836200001

  • EID of the result in the Scopus database

    2-s2.0-85153328042