Application of Machine Learning in Financial Asset Pricing:A Review by XU Jie, ZHU Yu-kun, XING Chun-xiao

“…The key problem of financial asset allocation is asset price.Asset pricing is the core content of modern finance,which indicates that asset pricing law has always been one of the hot topics of financial research.This paper reviews the methods used by machine learning in the field of asset pricing and research progresses,classifies machine learning asset pricing method into machine learning method based on the characteristics processing and deep learning method based on end-to-end processing,compares the differences between different algorithms in principle and application scenarios,points out the applicability and limitations of the two kinds of machine learning methods,prospects the research direction on machine learning asset pricing in the future.…”
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Robo Advising and Investor Profiling by Raquel M. Gaspar, Madalena Oliveira

“…However, these questionnaires often appear vague, and robo advisors seldom disclose the methodologies employed for investor profiling or asset allocation. This study aims to contribute by introducing an investor profiling method relying solely on investors’ relative risk aversion (RRA), which, in addition, allows for the determination of optimal allocations. …”
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The defined contribution pension plan after retirement under the criterion of a revised loss considering the economic situation by Zongqi Sun, Peng Yang, Jing Wu, Yunpeng Fan

“…Considering the economic situation, we investigate the optimal asset allocation of defined contribution pension funds with random payouts after retirement under a modified criterion of quadratic loss. …”
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Optimal Investment Strategy for DC Pension Plan with Stochastic Income and Inflation Risk under the Ornstein–Uhlenbeck Model by Yang Wang, Xiao Xu, Jizhou Zhang

“…Secondly, under the logarithmic utility function, the closed-form solution of optimal asset allocation was obtained by using the Legendre transform method. …”
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Does Beta Explain Global Equity Market Volatility – Some Empirical Evidence by Radosław Kurach

“…The purpose of this study is to assess the diversification benefits resulting from international asset allocation. In this study, we examine Capital Asset Pricing Model (CAPM) in its international context (ICAPM) using the monthly equity returns for 26 countries (18 developed and 8 emerging markets) between July 1996 and June 2011 and adopting the US investor’s perspective. …”
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The Relationship Between Performance and Graphic Presentation in Unit Trusts' Annual Reports: Malaysian Evidence by Ram Al Jaffri Saad, Mohd Azlan Yahya, Md Hairi Md Hussain

“…The most commonly graphed financial variables are asset allocation, performance, investment and fund size. …”
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Optimal Defined Contribution Pension Management with Jump Diffusions and Common Shock Dependence by Wujun Lv, Linlin Tian, Xiaoyi Zhang

“…This work deals with an optimal asset allocation problem for a defined contribution (DC) pension plan during its accumulation phase. …”
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Time-Varying Properties of Stock Returns: An empirical Perspective by Samuel Tabot Enow

“…Properties of stock returns have always been an integral aspect in asset allocation and portfolio management. More specifically, the dynamic nature of stock returns, provides nuanced patterns that highlight the inherent complexity of financial markets. …”
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Sustainable Portfolio Optimization Model Using PROMETHEE Ranking: A Case Study of Palm Oil Buyer Companies by Seyedeh Asra Ahmadi, Ali Peivandizadeh

“…Our findings indicate that the effects of this asset allocation change in favour of high-score sustainability investments significantly influence risk-adjusted returns of portfolios. …”
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How sustainable finance creates impact: transmission mechanisms to the real economy by Caldecott, B, Clark, A, Harnett, E, Liu, F

“…We analyse how financial institutions can integrate the development of “impact budgets” into strategic asset allocation. Finally, we consider ways in which future research could consider the implications for impact-oriented portfolio construction in more detail and develop empirical methods for further testing and quantifying the impact of the different transmission mechanisms we discuss. …”

Portfolio optimization of equity mutual funds - Malaysian case study by Kilicman, Adem, Sivalingam, Jaisree

“…To find the optimal asset allocation in each cluster we develop a hybrid model of optimization and fuzzy based on return rates, variance. …”
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The relationship between performance and graphic presentation in Unit Trusts’ Annual Reports: Malaysian evidence by Saad, Ram Al Jaffri, Yahya, Mohd Azlan, Md Hussain, Md Hairi

“…This study investigates the use and abuse of graphs in the annual reports of unit trust companies.It is found that 78% of companies use graphs and that 2.1 is the mean number of graphs per graph-using companies.The most commonly graphed financial variables are asset allocation, performance, investment and fund size.Line and pie graphs are more popular than bar and column. …”
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Forecasting U.S. Aggregate Stock Market Excess Return: Do Functional Data Analysis Add Economic Value? by João F. Caldeira, Rangan Gupta, Hudson S. Torrent

“…In addition, our results clearly have important implications for investors, from an asset allocation perspective, a mean-variance investor realizes substantial economic gains. …”
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On Some Problems of Applying the Principle of Farness in the Internal Activities of Business Corporations by G. V. Tsepov

“…Effectively applied for asset allocation the principle of proportionality cannot fully guarantee fairness in the implementation of management activities, since consolidation of corporate power is required for managerial decision-making. …”
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Extending the Omega model with momentum and reversal strategies to intraday trading. by Jing-Rung Yu, Chieh-Hui Wei, Chi-Ju Lai, Wen-Yi Lee

“…The portfolio is rebalanced every transaction day to optimize asset allocation by incorporating intraday winners or losers' information and trading cost. …”
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Event study on the reaction of the Balkan stock markets to the conflict between Russia and Ukraine by Mojanoski Goran, Bucevska Vesna

“…The findings have important implications for portfolio diversification and thus can serve in the asset allocation decision of investment managers.…”
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Regime Switching in High-Tech ETFs: Idiosyncratic Volatility and Return by Laura Arenas, Ana Maria Gil-Lafuente

“…An understanding of the relationship between idiosyncratic risk and return is indeed relevant for idiosyncratic risk pricing and asset allocation, in a context of emerging technologies. …”
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Comparing SSD-Efficient Portfolios with a Skewed Reference Distribution by Francesco Cesarone, Raffaello Cesetti, Giuseppe Orlando, Manuel Luis Martino, Jacopo Maria Ricci

“…However, since the reference distribution could strongly influence asset allocation, in this article, we compare two SSD-based portfolio selection strategies with a reshaping of the reference distribution in terms of its skewness and, consequently, its variance. …”
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Correlation and Dynamic Volatility Spillover between Green Investing Market, Coal Market, and CO2 Emissions: Evidence from Shenzhen Carbon Market in China by Shaohui Zou, Tian Zhang

“…With the continuous expansion scale of carbon market and the development of carbon trading mechanism, carbon emission right, as a new financial asset, is being brought into the category of asset allocation by more and more investors. As the burning of coal is the major source of carbon dioxide, China is facing serious ecological and environmental problems, which restrict the development of low-carbon economy. …”
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Tail Dependence and Risk Spillover from the US to GCC Banking Sectors by Faisal Alqahtani, Nader Trabelsi, Nahla Samargandi, Syed Jawad Hussain Shahzad

“…These findings have implications for portfolio diversification, asset allocation and hedging strategies.…”
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