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What is Clarissa about?

This thesis presents a novel portfolio management strategy that integrates predictive models and adaptive optimization objectives to enhance stock portfolio performance in dynamic market conditions. The study finds that during upward trends, maximizing the Sharpe ratio leads to better returns, while minimizing risk is optimal during downward trends. Overall, the proposed strategy outperforms traditional benchmarks with significant certainty across the evaluation period from 2018 to 2023.

Author

Steven Linata

Language

EN