Results 51 to 60 of about 7,461,083 (331)
Portfolio Optimization Efficiency Test Considering Data Snooping Bias
Business Systems Research, 2020 Background: In the portfolio optimization area, most of the research is focused on insample portfolio optimization. One may ask a rational question of what the efficiency of the portfolio optimization strategy is and how to measure it.
Kresta Aleš, Wang Anlan
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Method for solving the multi-criteria non-Markov problem of project portfolio optimization
Радіоелектронні і комп'ютерні системи, 2022 The subject of the study in this paper is models and methods of optimization of the organization's project portfolio for the planning period, considering the effects of the previously made decisions.
Igor Kononenko, Anhelina Korchakova
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Portfolio Optimization at Damascus Securities Exchange: A Fractal Analysis Approach
Cogent Economics & Finance, 2023 This paper adopts the fractal analysis approach, specifically a Hurst exponent index in portfolio optimization at the Damascus Securities Exchange (DSE).
Kinda Dooba, Sulaiman Mouselli
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Direct Data-Driven Portfolio Optimization with Guaranteed Shortfall Probability [PDF]
, 2013 This paper proposes a novel methodology for optimal allocation of a portfolio of risky financial assets. Most existing methods that aim at compromising between portfolio performance (e.g., expected return) and its risk (e.g., volatility or shortfall ...
Calafiore, Giuseppe Carlo
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An overview of portfolio optimization using fuzzy data envelopment analysis models [PDF]
Journal of Fuzzy Extension and Applications, 2020 A combination of projects, assets, programs, and other components put together in a set is called a portfolio. Arranging these components helps to facilitate the efficient management of the set and subsequently leads to achieving the strategic goals ...
Mehrdad Rasoulzadeh, Mohammad Fallah
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Dynamic Portfolio Optimization with Real Datasets Using Quantum Processors and Quantum-Inspired Tensor Networks [PDF]
Physical Review Research, 2020 In this paper we tackle the problem of dynamic portfolio optimization, i.e., determining the optimal trading trajectory for an investment portfolio of assets over a period of time, taking into account transaction costs and other possible constraints ...
Samuel Mugel +6 more
semanticscholar +1 more source
Copula-based Black-Litterman portfolio optimization
European Journal of Operational Research, 2021 We extend the Black-Litterman (BL) approach to incorporate tail dependency in portfolio optimization and estimate the posterior joint distribution of returns using vine copulas.
Maziar Sahamkhadam +2 more
semanticscholar +1 more source
Portfolio optimization based on self-organizing maps clustering and genetics algorithm
IJAIN (International Journal of Advances in Intelligent Informatics), 2022 In this modern era, gaining additional income is necessary to fulfill daily needs since inflation is unavoidable. Investing in stocks can give passive income to help people deal with the increasing prices of necessities.
Fajri Farid, Dedi Rosadi
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Tri-criterion inverse portfolio optimization with application to socially responsible mutual funds [PDF]
, 2014 We present a framework for inverse optimization in a Markowitz portfolio model that is extended to include a third criterion. The third criterion causes the traditional nondominated frontier to become a surface.
Steuer, Ralph E. +3 more
core +1 more source
Procedia Economics and Finance, 2015 The problem of investing money is common to citizens, families and companies. In this chapter, we introduce the decision framework of the portfolio selection problem in general terms. We describe the basic concepts of financial assets, capital to invest, performance (rate of return) and risk (measure of dispersion) possibly with the use of examples ...
Mansini R., Ogryczak W., Speranza M. G.
+5 more sources