Results 291 to 300 of about 423,008 (325)
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Mean-Expectile Portfolio Selection
Applied Mathematics & Optimization, 2019zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Hongcan Lin +2 more
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Portfolio Selection Using Portfolio Committees
SSRN Electronic Journal, 2020The author proposes a committee approach to portfolio selection. Because each optimal portfolio is a combination of three basic elements—strategy, covariance matrix, and risk type—the author first augments the combination to 250 optimal portfolios at each estimation period.
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Systemic Risk Driven Portfolio Selection
SSRN Electronic Journal, 2019How can we construct portfolios that perform well in the face of systemic events? The global financial crisis of 2007–2008 and the coronavirus disease 2019 pandemic have highlighted the importance of accounting for extreme form of risks. In “Systemic Risk-Driven Portfolio Selection,” Capponi and Rubtsov investigate the design of portfolios that trade ...
Agostino Capponi, Alexey Rubtsov
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Journal of Optimization Theory and Applications, 2012
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
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zbMATH Open Web Interface contents unavailable due to conflicting licenses.
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Proceedings of the 2019 8th International Conference on Software and Information Engineering, 2019
Portfolio management provides portfolio managers with the appropriate models for professional management of funds. The primary objectives for portfolio managers are to maximize the expected return of their investments while minimizing the associated risk. These two objectives translate into different portfolio selection factors, and there is variety of
Heba Salah Elselmy +2 more
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Portfolio management provides portfolio managers with the appropriate models for professional management of funds. The primary objectives for portfolio managers are to maximize the expected return of their investments while minimizing the associated risk. These two objectives translate into different portfolio selection factors, and there is variety of
Heba Salah Elselmy +2 more
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2004 IEEE Aerospace Conference Proceedings (IEEE Cat. No.04TH8720), 2004
Most design decisions are treated as exclusive finite choice decisions. The decision maker is presented with a finite set of design alternatives and must choose exactly one of the presented alternatives. This paper studies the case where the decision maker is presented with a finite number of alternatives and can choose an indeterminate number of them,
M.W. Maier, G. Singleton, J. Fishenden
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Most design decisions are treated as exclusive finite choice decisions. The decision maker is presented with a finite set of design alternatives and must choose exactly one of the presented alternatives. This paper studies the case where the decision maker is presented with a finite number of alternatives and can choose an indeterminate number of them,
M.W. Maier, G. Singleton, J. Fishenden
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SSRN Electronic Journal, 2017
We develop a new method to optimize portfolios of options in a market where European calls and puts are available with many exercise prices for each of several potentially correlated underlying assets. We identify the combination of asset-specific option payoffs that maximizes the Sharpe ratio of the overall portfolio: such payoffs are the unique ...
Paolo Guasoni, Eberhard Mayerhofer
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We develop a new method to optimize portfolios of options in a market where European calls and puts are available with many exercise prices for each of several potentially correlated underlying assets. We identify the combination of asset-specific option payoffs that maximizes the Sharpe ratio of the overall portfolio: such payoffs are the unique ...
Paolo Guasoni, Eberhard Mayerhofer
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Forward-Looking Robust Portfolio Selection [PDF]
SSRN Electronic Journal, 2013 In this paper we develop a portfolio optimization strategy based on the extraction of option-implied distributions and the application of robust asset allocation. We compute the option-implied probability density functions of the constituents of the Euro Stoxx 50 Index.
Sara Cecchetti, Laura Sigalotti
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Proceedings of the eleventh annual conference on Computational learning theory, 1998
A typical problem in portfolio selection in stock markets is that it is not clear which of the many available strategies should be used. We apply a general algorithm of prediction with expert advice (the Aggregating Algorithm) to two different idealizations of the stock market.
V. Vovk, C. Watkins
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A typical problem in portfolio selection in stock markets is that it is not clear which of the many available strategies should be used. We apply a general algorithm of prediction with expert advice (the Aggregating Algorithm) to two different idealizations of the stock market.
V. Vovk, C. Watkins
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The Journal of Financial and Quantitative Analysis, 1970
This paper describes the development and testing of a model of bank portfolio selection that considers variability of both income and gross asset levels as the risks involved in banking. In particular, the model is formulated as maximizing expected profit subject to risk constraints on wealth losses and the availability of liquid assets. The parameters
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This paper describes the development and testing of a model of bank portfolio selection that considers variability of both income and gross asset levels as the risks involved in banking. In particular, the model is formulated as maximizing expected profit subject to risk constraints on wealth losses and the availability of liquid assets. The parameters
openaire +1 more source