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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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Large-Scale Portfolio Optimization
Management Science, 1984This paper describes a practical algorithm for large-scale mean-variance portfolio optimization. The emphasis is on developing an efficient computational approach applicable to the broad range of portfolio models employed by the investment community. What distinguishes these from the “usual” quadratic program is (i) the form of the covariance matrix ...
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A brief review of portfolio optimization techniques
Artificial Intelligence Review, 2022Siddhartha Bhattacharyya
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Minimax and Biobjective Portfolio Selection Based on Collaborative Neurodynamic Optimization
IEEE Transactions on Neural Networks and Learning Systems, 2021Man-Fai Leung, Jun Wang
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Portfolio optimization with return prediction using deep learning and machine learning
Expert Systems With Applications, 2021Yilin Ma, Ruizhu Han
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