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An Overview of Machine Learning for Portfolio Optimization
Journal of Portfolio ManagementThis article explores the application of machine learning in portfolio optimization, focusing on two primary areas: parameter estimation and optimization.
Yongjae Lee +3 more
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Decentralized Robust Portfolio Optimization Based on Cooperative-Competitive Multiagent Systems
IEEE Transactions on Cybernetics, 2021This article addresses decentralized robust portfolio optimization based on multiagent systems. Decentralized robust portfolio optimization is first formulated as two distributed minimax optimization problems in a Markowitz return-risk framework ...
Man-Fai Leung, Jun Wang, Duan Li
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Metaheuristics for Portfolio Optimization
2017Portfolio optimization refers to allocating an amount of investors’ wealth to different assets in order to satisfy the investors’ preferences for return and risk. We address the portfolio optimization problem with real-world constraints, where traditional optimization methods fail to efficiently find an optimal or near-optional solution.
Sarah El-Bizri, Nashat Mansour
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Scientific Reports
In the financial field, constructing efficient investment portfolios is a focal point of research, encompassing asset selection and optimization of asset allocation.
Zhen-Dai Huang +4 more
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In the financial field, constructing efficient investment portfolios is a focal point of research, encompassing asset selection and optimization of asset allocation.
Zhen-Dai Huang +4 more
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ASYMPTOTICALLY OPTIMAL PORTFOLIOS
Mathematical Finance, 1992This paper extends to continuous time the concept of universal portfolio introduced by Cover (1991). Being a performance weighted average of constant rebalanced portfolios, the universal portfolio outperforms constant rebalanced and buy‐and‐hold portfolios exponentially over the long run.
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Optimal Impulse Control of Portfolios
Mathematics of Operations Research, 1988An investor has the opportunity of holding shares in n risky assets and one nonrisky asset at every time in a fixed interval [t, T]. The risky assets are governed by a stochastic differential equation. At random instants of his choice he may intervene in order to rebalance his portfolio and consume a nonnegative amount of money.
Jerome F. Eastham, Kevin J. Hastings
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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.
Mehmet Anil Akbay, Can B Kalayci
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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.
Mehmet Anil Akbay, Can B Kalayci
exaly +2 more sources
Elasticity Approach to Portfolio Optimization
Mathematical Methods of Operations Research (ZOR), 2003Portfolio investment problems in a continuous-time setting are studied. In previous papers, including Merton (1969, 1971) with a stochastic control technique, and Pliska (1986), Cox \& Huang (1989, 1991) and Karatzas, Lehoczky \& Shreve (1987) with a martingale approach, the portfolio problems were formulated with respect to the assets which belong to ...
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GraphSAGE with deep reinforcement learning for financial portfolio optimization
Expert systems with applications, 2023Qi-Guo Sun, Xueying Wei, Xi-Bei Yang
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