The authors validate 12 of the most representative sample-balancing methods used for credit-scoring models, finding that a combined SMOTE and Editor Nearest Neighbor method is optimal.
This paper discusses portfolio construction for investing in N given assets, eg, constituents of the Dow Jones Industrial Average (DJIA) or large cap stocks, based on partitioning the investment universe into clusters.
Research on listed companies’ credit ratings, considering classification performance and interpretability
This study uses the correlation coefficient and F-test to select the initial features of a credit evaluation system, and then a validity index for a second selection to ensure that the feature system has the optimum ability to discriminate in determining…
In this paper, a new method for computing the standard errors (SEs) of returns-based risk and performance estimators for serially dependent returns is developed.
This paper challenges widely applied trading indicators with regard to their ability to generate a robust performance.
Quality of replicating portfolio is used to measure performance of a model
This paper introduces a consistent performance strategy (CPS), which, if followed, leads to a portfolio having consistently positive returns over time and exhibiting a steady upward trend.
Skewed target range strategy for multiperiod portfolio optimization using a two-stage least squares Monte Carlo method
In this paper, the authors propose a novel investment strategy for portfolio optimization problems.
This paper examines strategy performance from an investment practitioner perspective. Using long-term data from the Standard & Poor’s 500, the authors show that these strategies offer an improvement in risk-adjusted return compared with a buy-and-hold…
In this paper, the authors discuss the various performance measures of beta hedging and offer a new synthetic criterion that accounts for both risk-adjusted returns and losses of trading strategy.