Abstract Harry Markowitz passed on June 22, 2023; some four years short of reaching 100
years old. Dr. Markowitz was not a traditional economist. That fact was well-established and …

We introduce a machine learning optimal robust cross-section regression method (mOpt) to
control for outliers. The mOpt method shows that, when used in single and multi-factor …

This paper investigates whether Shariah-compliant firms outperform conventional peers in
the Malaysia stock market in terms of firm value optimization and 1/N rules, during the recent …

Motivated by the deteriorating standalone performance of popular active stock selection
strategies, we investigate how they behave in a portfolio context. We show that investors …

We propose a discrete-time econometric model that combines autoregressive filters with
factor regressions to predict stock returns for portfolio optimisation purposes. In particular …

There is a myriad of financial anomalies in the cross-section of equity returns. They have
been widely studied in the literature, which gives investors a large choice in terms of …

The study examined the effects of corporate financing and risk management in the banking
sector in East Africa during and Post Covid-19 tapping on evidence from the Kabale district …

Harry Markowitz was the father of portfolio selection. His emphasis of the need to integrate
utility theory and its corresponding risk-aversion coefficients, Bayesian and robust statistics …

The early 1990s was a period of expanding interest in Japanese financial research. In 1993,
John Mulvey co-edited a Special Issue, entitled “Financial Engineering”, in the Annals of …

In 1992, in the initial year of this journal's publication, Guerard and Takano reported mean-
variance efficient portfolios for the Japanese and US equity markets and showed that the …