Results 21 to 30 of about 31,021 (259)
Feature Selection for Portfolio Optimization [PDF]
SSRN Electronic Journal, 2015 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Thomas Trier Bjerring +2 more
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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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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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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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Foster–Hart optimal portfolios [PDF]
Journal of Banking & Finance, 2016 We reinvestigate the classic portfolio optimization problem where the notion of portfolio risk is captured by the “Foster-Hart risk” — a new, bankruptcy-proof, reserve based measure of risk, extremely sensitive to left tail events (Foster and Hart, 2009).
Anand, Abhinav +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
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Optimal trend-following portfolios
Journal of Investment Strategies, 2023 This paper derives an optimal portfolio that is based on trend-following signal. Building on an earlier related article, it provides a unifying theoretical setting to introduce an autocorrelation model with the covariance matrix of trends and risk premia. We specify practically relevant models for the covariance matrix of trends.
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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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Portfolio Evaluation with the Vector Distance Based on Portfolio Composition
Mathematics, 2023 We propose a novel portfolio evaluation method, a distance-based approach, which directly evaluates the portfolio composition rather than portfolio returns.
Heonbae Jeon +4 more
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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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