Results 31 to 40 of about 4,935,448 (269)
Stock Portfolio Optimization Using a Deep Learning LSTM Model [PDF]
2021 IEEE Mysore Sub Section International Conference (MysuruCon), 2021 Predicting future stock prices and their movement patterns is a complex problem. Hence, building a portfolio of capital assets using the predicted prices to achieve the optimization between its return and risk is an even more difficult task.
Jaydip Sen, Abhishek Dutta, Sidra Mehtab
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IEEE Access, 2021 Since optimal portfolio strategy depends heavily on the distribution of uncertain returns, this article proposes a new method for the portfolio optimization problem with respect to distribution uncertainty.
Ningning Du, Yankui Liu, Ying Liu
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Sistemnì Doslìdženâ ta Informacìjnì Tehnologìï, 2020 The problem of constructing an optimal securities portfolio under uncertainty is considered along with the direct and dual problems of fuzzy portfolio optimization. The modified fuzzy portfolio optimization problem is also suggested under a constraint on
Helen Zaychenko, Yuriy Zaychenko
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Large-Scale Portfolio Optimization Using Biogeography-Based Optimization
International Journal of Financial Studies, 2023 Portfolio optimization is a mathematical formulation whose objective is to maximize returns while minimizing risks. A great deal of improvement in portfolio optimization models has been made, including the addition of practical constraints. As the number
Wendy Wijaya, Kuntjoro Adji Sidarto
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ASTIN Bulletin, 2000 AbstractBased on the profit and loss account of an insurance company we derive a probabilistic model for the financial result of the company, thereby both assets and liabilities are marked to market. We thus focus on the economic value of the company.We first analyse the underwriting risk of the company. The maximization of the risk return ratio of the
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Bitcoin and Portfolio Diversification: A Portfolio Optimization Approach
Journal of Risk and Financial Management, 2021 This study investigates the performance of Bitcoin as a diversifier under different constraining portfolio optimization frameworks. The study employs different constraining optimization frameworks that seek to maximize risk-adjusted returns (Sharpe ratio)
Walid Bakry +3 more
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Optimization of Non-Profit Projects’ Portfolio: Chosen Aspects and Assumptions [PDF]
Biuletyn Wojskowej Akademii Technicznej, 2014 The chosen aspects and assumptions of the author’s proposal of the optimization model of the non-profit projects’ portfolio are presented. The functional model of the non-profit sector (third sector), which is the base for the further analyses, is also ...
Jacek Woźniak
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Optimal trend-following portfolios
Journal of Investment Strategies, 2023 This paper derives an optimal portfolio that is based on trend-following signal. Building on an earlier related article, it provides a unifying theoretical setting to introduce an autocorrelation model with the covariance matrix of trends and risk premia. We specify practically relevant models for the covariance matrix of trends.
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Portfolio optimization under a minimax rule revisited
Optimization, 2021 In this paper, we revisit the bi-criteria portfolio optimization model where the short selling is permitted, and a trade-off is sought between the expected return rate of a portfolio and the maximum of the uncertainty measured by a general deviation ...
K. Meng +3 more
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A bibliometric analysis and visualization of the scientific publications on multi-period portfolio optimization: From the current status to future directions [PDF]
AccountingPortfolio optimization is a widely recognized strategy for investing that involves selecting a combination of assets that offers the optimal balance between potential gains and volatility.
Arman Khosravi +2 more
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