Best practices for portfolio optimization by quantum computing, experimented on real quantum devices. [PDF]
Sci Rep, 2023 In finance, portfolio optimization aims at finding optimal investments maximizing a trade-off between return and risks, given some constraints. Classical formulations of this quadratic optimization problem have exact or heuristic solutions, but the ...
Buonaiuto G +4 more
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Portfolio optimization of financial commodities with energy futures. [PDF]
Ann Oper Res, 2022 The recent growth in economic and financial markets has brought the focus on energy derivatives as an alternative investment class for investors, financial analysts, and portfolio managers.
Wang L +4 more
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Constrained portfolio optimization with discrete variables: An algorithmic method based on dynamic programming. [PDF]
PLoS ONE, 2022 Portfolio optimization is one of the most important issues in financial markets. In this regard, the more realistic are assumptions and conditions of modelling to portfolio optimization into financial markets, the more reliable results will be obtained ...
Fereshteh Vaezi Jezeie +2 more
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An Entropy-Based Approach to Portfolio Optimization [PDF]
Entropy, 2020 This paper presents an improved method of applying entropy as a risk in portfolio optimization. A new family of portfolio optimization problems called the return-entropy portfolio optimization (REPO) is introduced that simplifies the computation of ...
Peter Joseph Mercurio +2 more
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Portfolio Optimization for Binary Options Based on Relative Entropy [PDF]
Entropy, 2020 The portfolio optimization problem generally refers to creating an investment portfolio or asset allocation that achieves an optimal balance of expected risk and return. These portfolio returns are traditionally assumed to be continuous random variables.
Peter Joseph Mercurio +2 more
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Option Portfolio Selection with Generalized Entropic Portfolio Optimization [PDF]
Entropy, 2020 In this third and final paper of our series on the topic of portfolio optimization, we introduce a further generalized portfolio selection method called generalized entropic portfolio optimization (GEPO).
Peter Joseph Mercurio +2 more
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PyPortOptimization: A portfolio optimization pipeline leveraging multiple expected return methods, risk models, and post-optimization allocation techniques [PDF]
MethodsXThis paper presents PyPortOptimization, an automated portfolio optimization library that incorporates multiple methods for expected returns, risk return modeling, and portfolio optimization.
Rushikesh Nakhate +2 more
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The specific thesis aims at providing useful information in portfolio management and contributes to the conclusion of the best way to create an efficient portfolio. It consists of two parts, a theoretical and empirical. In the theoretical part, basic information, that an investor should take into consideration, is provided.
Daniel P. Palomar
semanticscholar +7 more sources
Prediction-Based Portfolio Optimization Models Using Deep Neural Networks
IEEE Access, 2020 Portfolio optimization is a hot research topic, which has attracted many researchers in recent decades. Better portfolio optimization model can help investors earn more stable profits.
Yilin Ma, Ruizhu Han, Weizhong Wang
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Portfolio optimization in the era of digital financialization using cryptocurrencies. [PDF]
Technol Forecast Soc Change, 2020 Highlights • Portfolio diversification through innovative financial instruments.• Adding cryptocurrencies in an existing portfolio provides better returns.• Ethereum presents better opportunities for diversification than Bitcoin.• Multiple ...
Ma Y, Ahmad F, Liu M, Wang Z.
europepmc +2 more sources