Results 31 to 40 of about 7,461,083 (331)
Distributionally robust mean-absolute deviation portfolio optimization using wasserstein metric. [PDF]
J Glob Optim, 2022 Data uncertainty has a great impact on portfolio selection. Based on the popular mean-absolute deviation (MAD) model, we investigate how to make robust portfolio decisions.
Chen D, Wu Y, Li J, Ding X, Chen C.
europepmc +2 more sources
Robust optimisation and its application to portfolio planning [PDF]
, 2009 This thesis was submitted for the degree of Doctor of Philosophy and awarded by Brunel University.Decision making under uncertainty presents major challenges from both modelling and solution methods perspectives.
Gregory, Christine
core +7 more sources
Quantum beetle antennae search: a novel technique for the constrained portfolio optimization problem
Science China Information Sciences, 2021 In this paper, we have formulated quantum beetle antennae search (QBAS), a meta-heuristic optimization algorithm, and a variant of beetle antennae search (BAS). We apply it to portfolio selection, a well-known finance problem.
A. Khan +4 more
semanticscholar +1 more source
Robust Optimization of Credit Portfolios [PDF]
Mathematics of Operations Research, 2017 We introduce a dynamic credit portfolio framework where optimal investment strategies are robust against misspecifications of the reference credit model. The risk-averse investor models his fear of credit risk misspecification by considering a set of plausible alternatives whose expected log likelihood ratios are penalized.
Lijun Bo, Agostino Capponi
openaire +3 more sources
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
doaj +1 more source
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
doaj +1 more source
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
semanticscholar +1 more source
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
openaire +1 more source
Foster–Hart optimal portfolios [PDF]
Journal of Banking & Finance, 2016 We reinvestigate the classic portfolio optimization problem where the notion of portfolio risk is captured by the “Foster-Hart risk” — a new, bankruptcy-proof, reserve based measure of risk, extremely sensitive to left tail events (Foster and Hart, 2009).
Anand, Abhinav +3 more
openaire +3 more sources
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
doaj +1 more source