Results 21 to 30 of about 35,398 (259)
Algorithm portfolios for noisy optimization [PDF]
Annals of Mathematics and Artificial Intelligence, 2015 in Annals of Mathematics and Artificial Intelligence, Springer Verlag ...
Marie-Liesse Cauwet +3 more
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E-Jurnal Matematika, 2023 Portfolio optimization using downside deviation is an optimal portfolio by defining the standard deviation of returns below the target (benchmark) as a level of risk measure. Every optimal portfolio certainly has risks.
IDA BAGUS ANGGA DARMAYUDA +2 more
doaj +1 more source
Optimal portfolio choice with benchmarks [PDF]
Journal of the Operational Research Society, 2017 We construct an algorithm that makes it possible to numerically obtain an investor’s optimal portfolio under general preferences. In particular, the objective function and risks constraints may be driven by benchmarks (reflecting state-dependent preferences).
Carole Bernard +2 more
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Portfolio optimization for sustainable investments
SSRN Electronic Journal, 2021 AbstractIn mean-variance portfolio optimization, multi-index models often accelerate computation, reduce input requirements, facilitate understanding, and allow easy adjustment to changing conditions more effectively than full covariance matrix estimation in many situations.
Armin Varmaz +2 more
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Operations Research Perspectives, 2022 The COVID-19 pandemic is unleashing crises of humanity, economy, and finance. Portfolio selection is widely recognized as the foundation of modern financial economics.
Yue Qi +3 more
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Measuring the maximum optimal portfolio loss by comparing the dependency structure of Gaussian and t copulas [PDF]
فصلنامه بورس اوراق بهادارGiven the importance of risk in financial markets, the accurate estimation of it has always been a primary concern for participants in these markets. The recurrent financial crises resulting from financial risk over the past two decades globally have ...
Mohammad Reza Haddadi, Manizheh Goudarzi
doaj +1 more source
Procedia Economics and Finance, 2015 The problem of investing money is common to citizens, families and companies. In this chapter, we introduce the decision framework of the portfolio selection problem in general terms. We describe the basic concepts of financial assets, capital to invest, performance (rate of return) and risk (measure of dispersion) possibly with the use of examples ...
Mansini R., Ogryczak W., Speranza M. G.
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An Algorithm for Portfolio Optimization Problem [PDF]
Informatica, 2005 Summary: Portfolio optimization is to find the stock portfolio minimizing the risk for a required return or maximizing the return for a given risk level. The seminal work in this field is the mean-variance model formulated as a quadratic programming problem.
Jong Soo Kim +2 more
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PLoS ONE, 2021 This study reports on the application of a Portfolio Decision Analysis (PDA) to support investment decisions of a non-profit funder of vaccine technology platform development for rapid response to emerging infections.
Dimitrios Gouglas, Kevin Marsh
doaj +1 more source
Jurnal Derivat, 2022 The purpose of this research is to analyze the formation of the optimal portfolio on the Jakarta Islamic Index 30 (JII30) stocks during the new normal period. The model used is a single index model.
Miftahul Huda +6 more
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