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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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
europepmc +2 more sources
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
europepmc +2 more sources
Bitcoin and Portfolio Diversification: Portfolio Optimization Approach [PDF]
SSRN Electronic Journal, 2020 This study investigates the performance of Bitcoin as a diversifier under different constraining portfolio optimization frameworks. The study employs different constraining optimization frameworks that seek to maximize risk-adjusted returns (Sharpe ratio) of the portfolio by optimizing allocations to each asset class (asset allocation). The performance
Walid Bakry +3 more
openaire +4 more sources
Integrating Prediction in Mean-Variance Portfolio Optimization [PDF]
Social Science Research Network, 2021 In quantitative finance, prediction models are traditionally optimized independently from their use in the asset allocation decision-making process. We address this limitation and present a stochastic optimization framework for integrating regression ...
Andrew Butler, Roy H. Kwon
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Portfolio Optimization with a Mean-Absolute Deviation-Entropy Multi-Objective Model. [PDF]
Entropy (Basel), 2021 Investors wish to obtain the best trade-off between the return and risk. In portfolio optimization, the mean-absolute deviation model has been used to achieve the target rate of return and minimize the risk.
Lam WS, Lam WH, Jaaman SH.
europepmc +2 more sources
Functional Portfolio Optimization in Stochastic Portfolio Theory [PDF]
SIAM Journal on Financial Mathematics, 2022 In this paper we develop a concrete and fully implementable approach to the optimization of functionally generated portfolios in stochastic portfolio theory. The main idea is to optimize over a family of rank-based portfolios parameterized by an exponentially concave function on the unit interval. This choice can be motivated by the long term stability
Steven Campbell, Ting-Kam Leonard Wong
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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
doaj +2 more sources
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
doaj +2 more sources
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
doaj +2 more sources