Results 21 to 30 of about 7,461,083 (331)
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
Portfolio optimization with digitized counterdiabatic quantum algorithms [PDF]
Physical Review Research, 2021 We consider digitized-counterdiabatic quantum computing as an advanced paradigm to approach quantum advantage for industrial applications in the NISQ era.
N. N. Hegade +5 more
semanticscholar +1 more source
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 +3 more sources
Portfolio optimization of financial commodities with energy futures. [PDF]
Ann Oper Res, 2022 The recent growth in economic and financial markets has brought the focus on energy derivatives as an alternative investment class for investors, financial analysts, and portfolio managers.
Wang L +4 more
europepmc +2 more sources
Functional Portfolio Optimization in Stochastic Portfolio Theory
SIAM Journal on Financial Mathematics, 2022 In this paper we develop a concrete and fully implementable approach to the optimization of functionally generated portfolios in stochastic portfolio theory. The main idea is to optimize over a family of rank-based portfolios parameterized by an exponentially concave function on the unit interval. This choice can be motivated by the long term stability
Steven Campbell, Ting-Kam Leonard Wong
openaire +3 more sources
Social responsibility portfolio optimization incorporating ESG criteria
Journal of Management Science and Engineering, 2021 Social responsibility investment (SRI) has attracted worldwide attention for its potential in promoting investment sustainability and stability. We developed a three-step framework by incorporating environmental, social, and governance (ESG) performance ...
Li Chen +4 more
semanticscholar +1 more source
Dynamic portfolio optimization with inverse covariance clustering [PDF]
Expert systems with applications, 2021 Market conditions change continuously. However, in portfolio's investment strategies, it is hard to account for this intrinsic non-stationarity. In this paper, we propose to address this issue by using the Inverse Covariance Clustering (ICC) method to ...
Yuanrong Wang, T. Aste
semanticscholar +1 more source
Optimal characteristic portfolios
Quantitative Finance, 2020 Characteristic-sorted portfolios are the workhorses of modern empirical finance, deployed widely to evaluate anomalies and construct asset pricing models. We propose a new method for their estimation that is simple to compute, makes no ex-ante assumption on the nature of the relationship between the characteristic and returns, and does not require ad ...
Richard J. McGee, Jose Olmo
openaire +4 more sources
International Journal of Financial Studies, 2022 With the advances in time-series prediction, several recent developments in machine learning have shown that integrating prediction methods into portfolio selection is a great opportunity. In this paper, we propose a novel approach to portfolio formation
Apichat Chaweewanchon, Rujira Chaysiri
semanticscholar +1 more source
Option Portfolio Selection with Generalized Entropic Portfolio Optimization
Entropy, 2020 In this third and final paper of our series on the topic of portfolio optimization, we introduce a further generalized portfolio selection method called generalized entropic portfolio optimization (GEPO).
Peter Joseph Mercurio +2 more
doaj +1 more source