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An efficient hybrid metaheuristic algorithm for cardinality constrained portfolio optimization
Swarm and Evolutionary Computation, 2020Portfolio optimization with cardinality constraints turns out to be a mixed-integer quadratic programming problem which is proven to be NP-Complete that limits the efficiency of exact solution approaches, often because of the long-running times ...
C. B. Kalayci +2 more
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Knowledge-Based Systems, 2020
Over the years, portfolio optimization remains an important decision-making strategy for investment. The most familiar and widely used approach in the field of portfolio optimization is the mean–variance framework introduced by Markowitz.
Mehmet Anıl Akbay +2 more
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Over the years, portfolio optimization remains an important decision-making strategy for investment. The most familiar and widely used approach in the field of portfolio optimization is the mean–variance framework introduced by Markowitz.
Mehmet Anıl Akbay +2 more
semanticscholar +1 more source
Expert systems with applications, 2019
Portfolio optimization is the process of determining the best combination of securities and proportions with the aim of having less risk and obtaining more profit in an investment.
C. B. Kalayci +2 more
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Portfolio optimization is the process of determining the best combination of securities and proportions with the aim of having less risk and obtaining more profit in an investment.
C. B. Kalayci +2 more
semanticscholar +1 more source
Game-Theoretic Optimal Portfolios
Management Science, 1988We show, for a wide variety of payoff functions, that the expected log optimal portfolio is also game theoretically optimal in a single play or in multiple plays of the stock market. Thus there is no essential conflict between good short-term and long-run performance. Both are achieved by maximizing the conditional expected log return.
Robert Bell, Thomas M. Cover
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A brief review of portfolio optimization techniques
Artificial Intelligence Review, 2022Abhishek Gunjan, S. Bhattacharyya
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Optimal Sure Portfolio Plans [PDF]
Mathematical Finance, 1991 This paper is a sequel to the author's “Certainty Equivalence in the Continuous‐Time Portfolio‐cum‐Saving Model” in Applied Stochastic Analysis (eds. M. H. A. Davis and R. J. Elliot), where a model of optimal accumulation of capital and portfolio choice over an infinite horizon in continuous time was considered in which the vector process representing ...
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Quantum beetle antennae search: a novel technique for the constrained portfolio optimization problem
Science China Information Sciences, 2021A. Khan +4 more
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Portfolio Optimization - Can Optimizing Portfolio Outperform Naive Diversification?
SSRN Electronic Journal, 2014In this study we examined the performances of mean-variance and tangency portfolio investment strategies in order to determine if optimal diversification has benefits over 1/N strategy.
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