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A brief review of portfolio optimization techniques
Artificial Intelligence Review, 2022Abhishek Gunjan +2 more
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Portfolio optimization with return prediction using deep learning and machine learning
Expert systems with applications, 2021Integrating return prediction of traditional time series models in portfolio formation can improve the performance of original portfolio optimization model.
Yilin Ma, Ruizhu Han, Weizhong Wang
semanticscholar +1 more source
Mean-variance portfolio optimization using machine learning-based stock price prediction
Applied Soft Computing, 2021The success of portfolio construction depends primarily on the future performance of stock markets. Recent developments in machine learning have brought significant opportunities to incorporate prediction theory into portfolio selection.
Wei Chen +3 more
semanticscholar +1 more source
SSRN Electronic Journal, 2011 We provide a model with endogenous portfolios of secured and unsecured household debt. Secured debt is collateralized by owner-occupied housing whereas unsecured debt can be discharged according to bankruptcy regulations. We show that the calibrated model matches important quantitative characteristics of observed wealth and debt portfolios for prime ...
Hintermaier, Thomas, Koeniger, Winfried
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The Journal of Finance, 1952
Embracing finance, economics, operations research, and computers, this book applies modern techniques of analysis and computation to find combinations of securities that best meet the needs of private or institutional investors.
Harry M. Markowitz
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Embracing finance, economics, operations research, and computers, this book applies modern techniques of analysis and computation to find combinations of securities that best meet the needs of private or institutional investors.
Harry M. Markowitz
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The Journal of Finance, 1975
IN THE FIRST SECTION of this paper we describe a portfolio game in which the players manage portfolios of hypothetical stocks with the aid of some equally hypothetical analysts. The players compete not only against one another but also against the market index and a portfolio managed by means of the Sharpe model.
Brealey, Richard A, Hodges, S D
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IN THE FIRST SECTION of this paper we describe a portfolio game in which the players manage portfolios of hypothetical stocks with the aid of some equally hypothetical analysts. The players compete not only against one another but also against the market index and a portfolio managed by means of the Sharpe model.
Brealey, Richard A, Hodges, S D
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Portfolio diversification with virtual currency: Evidence from bitcoin
International Review of Financial Analysis, 2019The paper investigates the proprieties of Bitcoin in the financial markets. Specifically, we explore the conditional cross effects and volatility spillover between Bitcoin and financial indicators using different multivariate GARCH specifications.
K. Guesmi +3 more
semanticscholar +1 more source
Multiperiod Portfolio Analysis And The Inefficiency Of The Market Portfolio
The Journal of Finance, 1976THE MEAN-VARIANCE (EV) approach to portfolio selection has been criticized traditionally on three aspects of its application: (1) It relies entirely on the mean and variance (or standard deviation) of the distribution of holding-period-returns (HPR's); yet, other moments of the distribution, like skewness and kurtosis, may also be of interest to ...
Gressis, N, Philippatos, G C, Hayya, J
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