Option Portfolio Selection with Generalized Entropic Portfolio Optimization [PDF]
Entropy, 2020 In this third and final paper of our series on the topic of portfolio optimization, we introduce a further generalized portfolio selection method called generalized entropic portfolio optimization (GEPO).
Peter Joseph Mercurio +2 more
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Originating multiple-objective portfolio selection by counter-COVID measures and analytically instigating robust optimization by mean-parameterized nondominated paths [PDF]
Operations Research Perspectives, 2022 The COVID-19 pandemic is unleashing crises of humanity, economy, and finance. Portfolio selection is widely recognized as the foundation of modern financial economics.
Yue Qi +3 more
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A Simple View on the Interval and Fuzzy Portfolio Selection Problems [PDF]
Entropy, 2020 In this paper, first we show that the variance used in the Markowitz’s mean-variance model for the portfolio selection with its numerous modifications often does not properly present the risk of portfolio.
Krzysztof Kaczmarek +2 more
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Bio-inspired Machine Learning for Distributed Confidential Multi-Portfolio Selection Problem [PDF]
Biomimetics, 2022 The recently emerging multi-portfolio selection problem lacks a proper framework to ensure that client privacy and database secrecy remain intact. Since privacy is of major concern these days, in this paper, we propose a variant of Beetle Antennae Search
Ameer Tamoor Khan +3 more
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Real-world datasets for portfolio selection and solutions of some stochastic dominance portfolio models [PDF]
Data in Brief, 2016 A large number of portfolio selection models have appeared in the literature since the pioneering work of Markowitz. However, even when computational and empirical results are described, they are often hard to replicate and compare due to the ...
Renato Bruni +3 more
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An online portfolio selection algorithm using beta risk measure and fuzzy clustering [PDF]
Mathematics and Modeling in Finance, 2023 An online portfolio selection algorithm has been presented in this research. Online portfolio selection algorithms are concerned with capital allocation to several stocks to maximize the portfolio return over the long run by deciding the optimal ...
Matin Abdi +2 more
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Crypto Asset Portfolio Selection [PDF]
FinTech, 2021 The aim of this paper is to propose a portfolio selection methodology capable to take into account asset tail co-movements as additional constraints in Markowitz model. We apply the methodology to the observed time series of the 10 largest crypto assets, in terms of market capitalization, over the period 20 September 2017–31 December 2020 (1200 daily ...
Daniel Felix Ahelegbey +2 more
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Mathematics, 2022 Portfolio selection is a major topic for investors to allocate their assets and maximize their profit under constrained risk. For uncertain investment behavior in a vagueness environment, some researchers have devoted themselves to this field of fuzzy ...
Kuen-Suan Chen +2 more
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An Analysis of Centrality’s Features as a New Measure for Network Analysis, Risk Measurement & Portfolio Selection [PDF]
تحقیقات مالی, 2021 Objective: In network theory, centrality is a measure to estimate importance and influence of a special node to the whole network structure. The aim of this research is to investigate the characteristics of stock centrality and its reliability in risk ...
Saeed Fallahpour, Ali Ghahramani
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Online portfolio selection [PDF]
ACM Computing Surveys, 2014 Online portfolio selection is a fundamental problem in computational finance, which has been extensively studied across several research communities, including finance, statistics, artificial intelligence, machine learning, and data mining. This article aims to provide a comprehensive survey and a structural understanding of online portfolio selection ...
LI, Bin, HOI, Steven C. H.
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