The maximum-return-and-minimum-volatility effect: evidence from choosing risky and riskless assets to form a portfolio

New trading strategy in investment and a new anomaly: A study of the hedge funds from emerging and developed markets

“…Now, our paper finds that there are several FSD relationships among different hedging fund portfolios and other portfolios/individual assets and our findings conclude that Conjecture 6 set in this paper holds that combinations of portfolios with no arbitrage opportunity could generate portfolios that could have expected arbitrage opportunity. We note that so far as we know, literature only found that combinations of portfolios with no arbitrage opportunity could only generate portfolios that could enable investors to obtain higher expected utility but not higher expected wealth [ 10 , [61] , [62] , [63] , 66 , [91] , [92] , [93] , [94] , [95] ]. To be more specific, our findings indicate that using hedge fund strategies can create expected arbitrage opportunities in either emerging or developed markets and gain very good profit for investors.…”

“…We note that there are many trading strategies [ 1 , 2 , [7] , [8] , [9] ]. Recently, Lv et al [ 10 , 11 ] find that using both efficient frontier graphs and stochastic dominance analysis could find portfolios that do not lie on the efficient frontier could have higher expected utility than the corresponding portfolios in the efficient frontier. We note that stochastic dominance analysis is a very good approach to evaluate the performance between any pair of assets because it has been formally proven that regardless of any distribution, if one asset statistically dominates another asset, then any risk-averse investor will have a higher expected utility of the dominating asset to the dominated asset [ 19 ].…”

“…A group of literature studies trading strategies [ [1] , [2] , [3] , [4] , [5] , [6] , [7] , [8] , [9] ]. Recently, Lv et al [ 10 , 11 ] concluded that including both the asset with the highest mean and the asset with the smallest variance could be a better choice than without including both two assets or either in one's investment even though the mean-variance rule concludes that choosing both two assets or either is indifferent from choosing some other assets. According to this finding, we introduced a new trading strategy in investment: to include the asset (Asset A) with the highest mean, the asset (Asset B) that stochastically dominates many other assets, and the asset (Asset C) with the smallest standard deviation in their portfolio to form the portfolio in the efficient frontier for emerging and developed markets.…”

“…On the other hand, Lv et al [ 10 , 11 ] only found that including both the asset with the highest mean and the asset with the smallest variance could generate portfolios that enable investors to obtain higher expected utility but not expected wealth. Is it possible that combinations of portfolios with no arbitrage opportunity could generate portfolios that could have expected arbitrage opportunity?…”

Portfolio Optimization for Five Influencing Companies of Technology Industry in the Hong Kong Stock Market

“…The minimum-volatility anomaly or the low-risk effect suggests that the assets with low volatility could get higher returns than the assets with high volatility [15]. Assume a risk-seeking investor selects assets using the efficient frontier.…”