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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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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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
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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
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Possibility theory for multiobjective fuzzy random portfolio optimization [PDF]
Decision Science Letters, 2014 The problem of portfolio optimization is a standard problem in financial world and it has received tremendous attentions. Portfolio optimization plays essential role in determining portfolio strategies for investors.
Mir Ehsan Hesam Sadati +2 more
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Project Portfolio Optimization with Considering Interaction between Projects Using Imperialist Competitive Algorithm (ICA) [PDF]
مدیریت صنعتی, 2013 Due to Project evaluation complexity and resource constraints, the project portfolio optimization is numerous decision making challenges. Hence, many researches have been done to introduce model and methods for portfolio optimization.
Pourkazemi Pourkazemi +3 more
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Optimal Portfolio Prediction in Tehran Stock Market using Multi-Objective Evolutionary Algorithms, NSGA-II and MOPSO [PDF]
تحقیقات مالی, 2014 Despite the growing use of evolutionary multi-objective optimization algorithms in different categories of science, these algorithms as a powerful tool in portfolio optimization and specially solving multi-objective portfolio optimization problem is ...
Mahsa Rajabi, Hamid Khaloozadeh
doaj +1 more source
Journal of Finance and Data Science, 2023 This paper introduces the minCluster portfolio, which is a portfolio optimization method combining the optimization of downside risk measures, hierarchical clustering and cellwise robustness.
Emmanuel Jordy Menvouta +2 more
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International Journal of Financial Studies, 2022 Portfolio optimization is an activity for balancing return and risk. In this paper, we used mean-variance (M-V) portfolio models with buy-in threshold and cardinality constraints.
Werry Febrianti +2 more
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