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
doaj +2 more sources
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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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 ...
Steven Hoi
exaly +5 more sources
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
doaj +2 more sources
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
doaj +2 more sources
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
doaj +2 more sources
Mean-Variance-Skewness-Entropy Measures: A Multi-Objective Approach for Portfolio Selection
Entropy, 2011 In this study, we present a multi-objective approach based on a mean-variance-skewness-entropy portfolio selection model (MVSEM). In this approach, an entropy measure is added to the mean-variance-skewness model (MVSM) to generate a well‑diversified ...
Yeliz Mert Kantar, Ilhan Usta
doaj +3 more sources
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
doaj +1 more source
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
doaj +1 more source
A behavioural approach to financial portfolio selection problem: an empirical study using heuristics [PDF]
, 2014 This thesis was submitted for the degree of Doctor of Philosophy and awarded by Brunel UniversityThe behaviourally based portfolio selection problem with investor's loss aversion and risk aversion biases in portfolio choice under uncertainty are studied.
Grishina, Nina
core +7 more sources