Differential Evolution for Multiobjective Portfolio Optimization [PDF]
Financial portfolio optimization is a challenging problem. First, the problem is multiobjective (i.e.: minimize risk and maximize profit) and the objective functions are often multimodal and non smooth (e.g.: value at risk).
Thiemo Krink, Sandra Paterlini
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Portfolio Diversification and City Agglomeration [PDF]
We relate the degree of investor portfolio focus to the broader urban economic context of the household. Using a detailed panel of investors in Sweden over the period 1995 to 2000, we find that the level of investor diversification, as measured by number
William N. Goetzmann +2 more
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Chemometric Organization and Structure-Property Relationships in an Industrial Polypropylene Product Portfolio. [PDF]
Polymers (Basel)Hernández-Fernández J +2 more
europepmc +1 more source
Delegated Portfolio Management [PDF]
In this paper, we examine optimal portfolio decisions within a decentralized framework. There are many portfolio managers choosing optimal portfolio weights in a mean-variance framework and taking decisions in a decentralized way.
Paulo Coutinho, Benjamin Miranda Tabak
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Towards Autonomous Bio-Inspired Optimization: Deep Reinforcement Learning for Adaptive Metaheuristic Orchestration. [PDF]
Biomimetics (Basel)Carrasco C +5 more
europepmc +1 more source
Stochastic Dominance Portfolio Analysis of Forestry Assets [PDF]
We consider the forestry decision-making and harvesting problem from the perspective of financial portfolio management, where harvestable forest stands constitute one of the liquid assets of the portfolio.
& Timo Kuosmanen, V.-P. Heikkinen
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Investor sentiment and stock portfolio construction: A study based on the black-litterman model. [PDF]
PLoS OneSun L, Fu B, Liu W.
europepmc +1 more source
Delegated Portfolio Management with Socially Responsible Investment Constraints [PDF]
We consider the problem of how to set a compensation for a portfolio manager who is required to restrict the investment set, as it happens when applying socially responsible screening.
Fabretti, Annalisa, Herzel, Stefano
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Research governance in England needs improvements to ensure participant and site confidentiality in healthcare workforce research. [PDF]
Health Res Policy SystAunger J +10 more
europepmc +1 more source
Different Risk Measures: Different Portfolio Compositions? [PDF]
Traditionally, the measure of risk used in portfolio optimisation models is the variance. However, alternative measures of risk have many theoretical and practical advantages and it is peculiar therefore that they are not used more frequently.
Peter Byrne, Stephen Lee
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