Results 11 to 20 of about 4,569,395 (350)
Regularizing portfolio optimization [PDF]
New Journal of Physics, 2010 The optimization of large portfolios displays an inherent instability to estimation error. This poses a fundamental problem, because solutions that are not stable under sample fluctuations may look optimal for a given sample, but are, in effect, very far from optimal with respect to the average risk.
Susanne Still, Imre Kondor
openaire +6 more sources
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
doaj +2 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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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
Benchmarking the performance of portfolio optimization with QAOA [PDF]
Quantum Information Processing, 2022 We present a detailed study of portfolio optimization using different versions of the quantum approximate optimization algorithm (QAOA). For a given list of assets, the portfolio optimization problem is formulated as quadratic binary optimization ...
Sebastian Brandhofer +8 more
semanticscholar +1 more source
MetaTrader: An Reinforcement Learning Approach Integrating Diverse Policies for Portfolio Optimization [PDF]
International Conference on Information and Knowledge Management, 2022 Portfolio management is a fundamental problem in finance. It involves periodic reallocations of assets to maximize the expected returns within an appropriate level of risk exposure.
Hui Niu, Siyuan Li, Jian Li
semanticscholar +1 more source
A quantum online portfolio optimization algorithm [PDF]
Quantum Information Processing, 2022 Portfolio optimization plays a central role in finance to obtain optimal portfolio allocations that aim to achieve certain investment goals. Portfolio optimization also provides a rich area to study the application of quantum computers to obtain ...
Debbie Lim, P. Rebentrost
semanticscholar +1 more source
Multi-period portfolio optimization using model predictive control with mean-variance and risk parity frameworks [PDF]
European Journal of Operational Research, 2021 We employ model predictive control for a multi-period portfolio optimization problem. In addition to the mean-variance objective, we construct a portfolio whose allocation is given by model predictive control with a riskparity objective, and provide a ...
Xiaoyue Li, A. Uysal, J. Mulvey
semanticscholar +1 more source
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
Meta-heuristics for portfolio optimization
Soft Computing - A Fusion of Foundations, Methodologies and Applications, 2023 Portfolio optimization has been studied extensively by researchers in computer science and finance, with new and novel work frequently published. Traditional methods, such as quadratic programming, are not computationally effective for solving complex ...
Kyle Erwin, A. Engelbrecht
semanticscholar +1 more source