Results 1 to 10 of about 23,032 (275)
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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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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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.
James Kotary
+8 more sources
Nonlinear Shrinkage Estimation of Higher-Order Moments for Portfolio Optimization Under Uncertainty in Complex Financial Systems. [PDF]
Entropy (Basel)Lu W, Tian Z.
europepmc +2 more sources
Distributionally Robust Portfolio Optimization. [PDF]
Proc IEEE Conf Decis Control, 2019 In this paper we consider the problem of portfolio optimization involving uncertainty in the probability distribution of the assets returns. Starting with an estimate of the mean and covariance matrix of the returns of the assets, we define a class of admissible distributions for the returns and show that optimizing the worst-case risk of loss can be ...
Bardakci IE, Lagoa CM.
europepmc +4 more sources
Procedia Economics and Finance, 2015 The problem of investing money is common to citizens, families and companies. In this chapter, we introduce the decision framework of the portfolio selection problem in general terms. We describe the basic concepts of financial assets, capital to invest, performance (rate of return) and risk (measure of dispersion) possibly with the use of examples ...
Frajtova-Michalikova, Katarina +2 more
+5 more sources
Multi-Guide Set-Based Particle Swarm Optimization for Multi-Objective Portfolio Optimization
Algorithms, 2023 Portfolio optimization is a multi-objective optimization problem (MOOP) with risk and profit, or some form of the two, as competing objectives. Single-objective portfolio optimization requires a trade-off coefficient to be specified in order to balance ...
Kyle Erwin, Andries Engelbrecht
doaj +1 more source