Results 11 to 20 of about 7,461,083 (331)
Bitcoin and Portfolio Diversification: A Portfolio Optimization Approach [PDF]
SSRN Electronic Journal, 2021 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)
Walid Bakry +3 more
semanticscholar +4 more sources
Portfolio optimization for sustainable investments
SSRN Electronic Journal, 2021 In mean-variance portfolio optimization, multi-index models often accelerate computation, reduce input requirements, facilitate understanding, and allow easy adjustment to changing conditions more effectively than full covariance matrix estimation in ...
Armin Varmaz +2 more
semanticscholar +5 more sources
IEEE Access, 2021 Since optimal portfolio strategy depends heavily on the distribution of uncertain returns, this article proposes a new method for the portfolio optimization problem with respect to distribution uncertainty.
Ningning Du, Yankui Liu, Ying Liu
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
doaj +2 more sources
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
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 ...
S. 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
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, Ayse Sinem Uysal, J. Mulvey
semanticscholar +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
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 ...
A. Butler, Roy H. Kwon
semanticscholar +1 more source