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An integrated TOPSIS and ARAS method multi-criteria decision-making approach for optimizing investment portfolios using goal programming and genetic algorithm model. [PDF]
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Optimizing the possession portfolio
Current Opinion in Psychology, 2022Most consumers live surrounded by physical goods, some of which are used often and others that are largely neglected. In this article, we introduce the concept of a "possession portfolio" which we define as an individual's holistic sense (vs. an objective listing) of the totality of the physical goods they own at a given point in time.
Kelly L. Haws, Rebecca Walker Reczek
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ACM Computing Surveys, 2022
Portfolio optimization can be roughly categorized as the mean-variance approach and the exponential growth rate approach based on different theoretical foundations, trading logics, optimization objectives, and methodologies. The former and the latter are
Zhao-Rong Lai, Haisheng Yang
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Portfolio optimization can be roughly categorized as the mean-variance approach and the exponential growth rate approach based on different theoretical foundations, trading logics, optimization objectives, and methodologies. The former and the latter are
Zhao-Rong Lai, Haisheng Yang
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Metrika, 2002
We address the problem of estimating risk-minimizing portfolios from a sample of historical returns, when the underlying distribution that generates returns exhibits departures from the standard Gaussian assumption. Specifically, we examine how the underlying estimation problem is influenced by marginal heavy tails, as modeled by the univariate Student-
G. J. Lauprete +2 more
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We address the problem of estimating risk-minimizing portfolios from a sample of historical returns, when the underlying distribution that generates returns exhibits departures from the standard Gaussian assumption. Specifically, we examine how the underlying estimation problem is influenced by marginal heavy tails, as modeled by the univariate Student-
G. J. Lauprete +2 more
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Optimal Control of the Portfolio
Automation and Remote Control, 2001zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Kibzun, A. I., Kuznetsov, E. A.
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On the Optimality of Portfolio Insurance
The Journal of Finance, 1985ABSTRACTThis paper examines the optimality of an insurance strategy in which an investor buys a risky asset and a put on that asset. The put's striking price serves as the insurance level. In complete markets, it is highly unlikely that an investor would utilize such a strategy.
Benninga, Simon, Blume, Marshall E
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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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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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Closed-form solutions for short-term sparse portfolio optimization
Optimization, 2020The short-term sparse portfolio optimization (SSPO) models are dedicated to constructing sparse portfolio in each short period. In this paper, we discuss some existing SSPO model and propose two realistic sparse optimization models via the -norm.
Ziyan Luo +3 more
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