Results 31 to 40 of about 34,738 (161)
Hierarchical Clustering as a Dimension Reduction Technique for Markowitz Portfolio Optimization
Моделирование и анализ информационных систем, 2020 Optimal portfolio selection is a common and important application of an optimization problem. Practical applications of an existing optimal portfolio selection methods is often difficult due to high data dimensionality (as a consequence of the large ...
Anatoliy Y. Poletaev +1 more
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Conditions for the Existence of Absolutely Optimal Portfolios
Mathematics, 2021 Let Δn be the n-dimensional simplex, ξ = (ξ1, ξ2,…, ξn) be an n-dimensional random vector, and U be a set of utility functions. A vector x*∈ Δn is a U -absolutely optimal portfolio if EuξTx*≥EuξTx for every x∈ Δn and u ∈ U.
Marius Rădulescu +2 more
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Analisis Pembentukan Portofolio Optimal pada Indeks Saham LQ-45 dengan Metode Safety First Criterion
Jambura Journal of MathematicsAn optimal portfolio of stocks is a combination of various stock investment assets chosen to provide the maximum level of return for a specified level of risk or provide a minimal level of risk for a specified level of return.
Disya Recita Amalia +2 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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Deep deterministic portfolio optimization
The Journal of Finance and Data Science, 2020 Can deep reinforcement learning algorithms be exploited as solvers for optimal trading strategies? The aim of this work is to test reinforcement learning algorithms on conceptually simple, but mathematically non-trivial, trading environments. The environments are chosen such that an optimal or close-to-optimal trading strategy is known.
Ayman Chaouki +4 more
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PENERAPAN METODE SAFETY FIRST CRITERION PADA SELEKSI SAHAM UNTUK PEMBENTUKAN PORTOFOLIO OPTIMAL
E-Jurnal Matematika, 2023 The formation of an optimal portfolio can be done with the Safety First Criterion method which is based on down side risk, namely the risk of causing a loss.
HAMITA HAKMI +2 more
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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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Analysis Investor Index Indonesia with Capital Asset Pricing Model (CAPM)
Aptisi Transactions on Technopreneurship, 2022 This study aimed to compare composition of the optimal portfolio of stocks, the proportion of funds in each of these stocks and calculate risk and return portfolio from Investor33 (INV33) Index and Jakarta Islamic Index (JII) in research period January ...
Erry Sigit Pramono +4 more
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On the Diversity Constraints for Portfolio Optimization [PDF]
Entropy, 2013 In the literature, Markowitz’s mean-variance model and its variants have been shown to yield portfolios that put excessive weights on only a few assets. Many diversity constraints were proposed and added to these models to avoid such overly concentrated portfolios.
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Optimal Portfolio and the Integrated Strategy
Management Analysis JournalThe concept of an optimal portfolio is fundamental to investment management, focusing on maximizing returns for a given level of risk. Modern Portfolio Theory (MPT), introduced by Markowitz, has significantly transformed the understanding of risk and ...
Budi Purwanto +2 more
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