Hi everyone,
I am writing this to gather some suggestions for my thesis topic.
I am a student of MSc Quantitative Finance. I am in need of some suggestions from the experienced members for a research topic in Portfolio management.
My expertise are in statistics and empirical analysis. I believe that I will be able to present some good work in field portfolio analysis. Currently, I am researching for some good topics where I can apply machine learning or machine intelligence e.g. for forecasting portfolio performance or may be use it to asses portfolio optimization strategies.
I will be very grateful for you suggestions and guidance. If it suits you, you can also email me on [email protected]
Regards.
Look up what papers were published recently on Portfolio Management in good journals and try to improve on them.
Thank you, Sir Peter.
I am going through some recent publications. If it there is any journal in your knowledge that may help kindly recommend.
Regards.
The lists of the most prestigious journals in any field, such as Journal of Finance or Review of Financial Studies, in finance can be now found on the internet. Usually, they publish first-rate experts in their fields.
You can type names of Journals here: https://journalfinder.elsevier.com/ and based on keywords you can find papers you need in your field
Topics
- Behavioral Finance ...
- Derivatives. Options ...
- Factors, risk premia. Analysis of individual factors/risk premia ...
- Fixed income and structured finance. ...
- International Investing. ...
- Legal/regulatory/public policy. ...
- Long-term/retirement investing. ...
- Mutual funds/passive investing/indexing.
Narendar Kumar , answering your original question:
1) To my knowledge I have not seen a paper about the effects on bank's credit portfolio optimization caused by the new type of pro-poor regulations regarding interest rate caps and/or mandatory portfolio composition. These regulations undoubtedly affect the risk diversification of banks, and it may help the poor to have financial access, but at the cost of systematic financial stability, so what is the net welfare effect?
2) On more applied grounds, I have not seen a Bayesian treatment of Somers' D, to my knowledge this is a research gap---and a very important one because Somers' D is widely used to evaluate the discrimination power of credit risk scoring models in quantitative finance. A Bayesian approach to Somers' D will be useful to calculate the discrimination power of credit risk models in low-default portfolios.
3) In terms of machine-learning models and AI, there are very few applications of these techniques in sustainable finance; I have been working on this field a little bit and I can tell you for sure there is a lot of research gaps there:
Article Which social program supports sustainable grass-root finance...
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