Results 11 to 20 of about 32,122 (260)
Optimal portfolio choice with benchmarks [PDF]
Journal of the Operational Research Society, 2017 We construct an algorithm that makes it possible to numerically obtain an investor’s optimal portfolio under general preferences. In particular, the objective function and risks constraints may be driven by benchmarks (reflecting state-dependent preferences).
Carole Bernard +2 more
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Direct Data-Driven Portfolio Optimization with Guaranteed Shortfall Probability [PDF]
, 2013 This paper proposes a novel methodology for optimal allocation of a portfolio of risky financial assets. Most existing methods that aim at compromising between portfolio performance (e.g., expected return) and its risk (e.g., volatility or shortfall ...
Calafiore, Giuseppe Carlo
core +1 more source
Optimal trend-following portfolios
Journal of Investment Strategies, 2023 This paper derives an optimal portfolio that is based on trend-following signal. Building on an earlier related article, it provides a unifying theoretical setting to introduce an autocorrelation model with the covariance matrix of trends and risk premia. We specify practically relevant models for the covariance matrix of trends.
openaire +2 more sources
Tri-criterion inverse portfolio optimization with application to socially responsible mutual funds [PDF]
, 2014 We present a framework for inverse optimization in a Markowitz portfolio model that is extended to include a third criterion. The third criterion causes the traditional nondominated frontier to become a surface.
Steuer, Ralph E. +3 more
core +1 more source
An Algorithm for Portfolio Optimization Problem [PDF]
Informatica, 2005 Summary: Portfolio optimization is to find the stock portfolio minimizing the risk for a required return or maximizing the return for a given risk level. The seminal work in this field is the mean-variance model formulated as a quadratic programming problem.
Jong Soo Kim +2 more
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On the Diversity Constraints for Portfolio Optimization [PDF]
Entropy, 2013 In the literature, Markowitz’s mean-variance model and its variants have been shown to yield portfolios that put excessive weights on only a few assets. Many diversity constraints were proposed and added to these models to avoid such overly concentrated portfolios.
openaire +1 more source
Stochastic programming with multivariate second order stochastic dominance constraints with applications in portfolio optimization [PDF]
, 2014 In this paper we study optimization problems with multivariate stochastic dominance constraints where the underlying functions are not necessarily linear. These problems are important in multicriterion decision making, since each component of vectors can
Xu, Huifu +2 more
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Deep deterministic portfolio optimization
The Journal of Finance and Data Science, 2020 Can deep reinforcement learning algorithms be exploited as solvers for optimal trading strategies? The aim of this work is to test reinforcement learning algorithms on conceptually simple, but mathematically non-trivial, trading environments. The environments are chosen such that an optimal or close-to-optimal trading strategy is known.
Ayman Chaouki +4 more
openaire +3 more sources
Advanced Functional Materials, EarlyView.Flexible piezoresistive pressure sensors underpin wearable and soft electronics. This review links sensing physics, including contact resistance modulation, quantum tunneling and percolation, to unified materials/structure design. We highlight composite and graded architectures, interfacial/porous engineering, and microstructured 3D conductive networks
Feng Luo +2 more
wiley +1 more source
LNG Portfolio Diversification Optimization Model of Thailand [PDF]
, 2023 With the increase of reliance of LNG for Thailand, tons of liquefied natural gas (LNG) are imported, however there is no report that describes the engagement by a mathematical model.
U-tapao, Chalida; LNG Portfolio Diversification Optimization Model of Thailand +3 more
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