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Optimal Investments in the Portfolio Yield Reactive (PYR) Model

Author

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  • Nikolaos Loukeris

    (Department of Business Administration, University of West Attica, Petrou Ralli & Thivon 250 Avenue, 12241 Athens, Greece)

  • Iordanis Eleftheriadis

    (Department of Business Administration, University of Macedonia, Egnatias 156, 54636 Thessaloniki, Greece)

Abstract

We evolved our past Portfolio Yield Reactive (PYR) model to provide a competitive system with infiltration of categorical information and fundamentals into advanced higher-order moments that support more objective portfolio selection aided by intelligent computing. The system of the PYR model searches for hidden corporate performance prototypes in big data from accounting and financial statements. The PYR model restricts malicious patterns, such as hoaxes, noise, and manipulation, incorporated into a novel optimal portfolio selection method.

Suggested Citation

  • Nikolaos Loukeris & Iordanis Eleftheriadis, 2024. "Optimal Investments in the Portfolio Yield Reactive (PYR) Model," JRFM, MDPI, vol. 17(8), pages 1-17, August.
    • Handle: RePEc:gam:jjrfmx:v:17:y:2024:i:8:p:376-:d:1461245
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    References listed on IDEAS

    as
    1. Nicolas Coeurdacier & Hélène Rey, 2013. "Home Bias in Open Economy Financial Macroeconomics," Journal of Economic Literature, American Economic Association, vol. 51(1), pages 63-115, March.
    2. Antonakakis, Nikolaos & Vergos, Konstantinos, 2013. "Sovereign bond yield spillovers in the Euro zone during the financial and debt crisis," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 26(C), pages 258-272.
    3. Andrew Ang & Robert J. Hodrick & Yuhang Xing & Xiaoyan Zhang, 2006. "The Cross‐Section of Volatility and Expected Returns," Journal of Finance, American Finance Association, vol. 61(1), pages 259-299, February.
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