-
141
Stock price prediction using sentic API
Published 2024“…While some trading strategies show abnormal excess returns over 8 years, outperforming the market with higher Sharpe and CAGR ratios, Fama-Macbeth regressions reveal a lack of systemic alpha. …”
Get full text
Final Year Project (FYP) -
142
Analysis of Singapore real estate investment trusts (S-REITs).
Published 2009“…In this paper, we explore the performance of Singapore Real Estate Investment Trusts (S-REITs) relative to bonds and equities asset classes. The Sharpe Ratio was used as an indicator of risk-return efficiency to determine if S-REITs could be included into a typical portfolio of bonds and equities to provide diversification benefits. …”
Get full text
Final Year Project (FYP) -
143
-
144
Global minimum variance portfolio : an application to the Singapore stock market
Published 2013“…Within the 3-year look-back period, the Market Model, rebalanced annually performs the best with a Sharpe ratio of 0.53 compared to the market benchmark of 0.17. …”
Get full text
Final Year Project (FYP) -
145
Portfolio Optimization Using a Hybrid Machine Learning Stock Selection Model
Published 2024“…The generated alpha and Sharpe ratio evaluate the quality of the constructed optimal portfolios under Mean-Variance Optimization. …”
Get full text
Thesis -
146
Student loss: Towards the probability assumption in inaccurate supervision
Published 2024“…By embedding the student distribution and exploiting the sharpness of its curve, our method is naturally data-selective and can offer extra strength to resist mislabeled samples. …”
Article -
147
On the geometry and refined rate of primal–dual hybrid gradient for linear programming
Published 2024“…We show that there are two major stages of PDHG for LP: in Stage I, PDHG identifies active variables and the length of the first stage is driven by a certain quantity which measures how close the non-degeneracy part of the LP instance is to degeneracy; in Stage II, PDHG effectively solves a homogeneous linear inequality system, and the complexity of the second stage is driven by a well-behaved local sharpness constant of the system. This finding is closely related to the concept of partial smoothness in non-smooth optimization, and it is the first complexity result of finite time identification without the non-degeneracy assumption. …”
Get full text
Article -
148
Subjective video quality evaluation for user generated contents via textual prompts
Published 2024“…We propose a novel approach that disentangles the influence of technical quality (sharpness, focus, noise) from aesthetic quality (content, composition, color, lighting) on viewers' perception. …”
Get full text
Final Year Project (FYP) -
149
On the weak convergence of stochastic integrals on Skorokhod space: From general theory to applications within the realm of continuous-time random walks
Published 2024“…We refine the classical theory, reveal new insights into convergence behaviours even in the classical J1 setting and address the sharpness of various key statements. We develop useful sufficient conditions for convergence and demonstrate the failure of general weak continuity results for strictly M1 convergent integrators. …”
Thesis -
150
-
151
Enhancing downstream ML performance with unconditional diffusion models for return predictions
Published 2024“…Finally, we evaluate a real life application, by employing a simple trading strategy using the downstream predictions and its back test on the test data showcased significantly better Return on Investment and Sharpe Ratio when augmentation is applied, indicating better risk-adjusted returns.…”
Get full text
Final Year Project (FYP) -
152
A Performance Analysis between Conventional and Shariah Private Retirement Scheme in Malaysia (S/O 14551)
Published 2021“…Moreover, the adoption of different models, namely Jensen Alpha risk-adjusted return or single factor model, Sharpe ratio, and four-factor Carhart model ascertains the robustness of the result’s analysis. …”
Get full text
Monograph -
153