Machine Learning with Applications, 2023 We present a framework for modeling asset and portfolio dynamics, incorporating this information into portfolio optimization. We define drivers for asset and portfolio dynamics and their optimal selection. For this framework, we introduce the Commonality
Alejandro Rodriguez Dominguez
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Feature Selection for Portfolio Optimization [PDF]
SSRN Electronic Journal, 2015 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Thomas Trier Bjerring +2 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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Formation of the optimal portfolio of insurer’s services of the voluntary types of insurance [PDF]
Insurance Markets and Companies, 2016 The article studies the possibility of using optimization modelling to form the optimal structure of insurance services’ portfolio of insurance companies.
Valentyna Levchenko, Myroslav Ostapenko
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Strategic Portfolio Optimization Using Simulated, Digital, and Quantum Annealing
Applied Sciences, 2022 In this work, we introduce a new workflow to solve portfolio optimization problems on annealing platforms. We combine a classical preprocessing step with a modified unconstrained binary optimization (QUBO) model and evaluate it using simulated annealing (
Jonas Lang +2 more
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Algorithm portfolios for noisy optimization [PDF]
Annals of Mathematics and Artificial Intelligence, 2015 in Annals of Mathematics and Artificial Intelligence, Springer Verlag ...
Marie-Liesse Cauwet +3 more
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Combining transformer based deep reinforcement learning with Black-Litterman model for portfolio optimization [PDF]
Neural computing & applications (Print)As a model-free algorithm, deep reinforcement learning (DRL) agent learns and makes decisions by interacting with the environment in an unsupervised way.
Ruoyu Sun +3 more
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Cardinality-constrained Distributionally Robust Portfolio Optimization [PDF]
European Journal of Operational Research, 2021 This paper studies a distributionally robust portfolio optimization model with a cardinality constraint for limiting the number of invested assets. We formulate this model as a mixed-integer semidefinite optimization (MISDO) problem by means of the ...
Ken Kobayashi +2 more
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Robustness-based portfolio optimization under epistemic uncertainty
Journal of Industrial Engineering International, 2018 In this paper, we propose formulations and algorithms for robust portfolio optimization under both aleatory uncertainty (i.e., natural variability) and epistemic uncertainty (i.e., imprecise probabilistic information) arising from interval data ...
Md. Asadujjaman, Kais Zaman
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Optimal portfolio choice with benchmarks [PDF]
Journal of the Operational Research Society, 2017 We construct an algorithm that makes it possible to numerically obtain an investor’s optimal portfolio under general preferences. In particular, the objective function and risks constraints may be driven by benchmarks (reflecting state-dependent preferences).
Carole Bernard +2 more
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