Results 31 to 40 of about 3,121,078 (347)
Portfolio selection using R [PDF]
Yugoslav Journal of Operations Research, 2020 In this paper, we consider the Markowitz mean-variance model to minimize the risk on two assets and develop the program in R software to improve the performance of the model for two real stocks data with various combinations of the portfolios.
Mishra Rohan, Ram Bhagwat
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A Fuzzy Goal Programming Model for Efficient Portfolio Selection. [PDF]
Journal of Optimization in Industrial Engineering, 2017 This paper considers a multi-objective portfolio selection problem imposed by gaining of portfolio, divided yield and risk control in an ambiguous investment environment, in which the return and risk are characterized by probabilistic numbers.
Abolfazl Kazemi +2 more
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Portfolio Selection With Robust Estimation [PDF]
SSRN Electronic Journal, 2007 Mean-variance portfolios constructed using the sample mean and covariance matrix of asset returns perform poorly out of sample due to estimation error. Moreover, it is commonly accepted that estimation error in the sample mean is much larger than in the sample covariance matrix.
Victor DeMiguel, Francisco J. Nogales
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SAGE Open, 2020 Sustainable investment is typically fulfilled by screening of environmental, social, and governance (ESG); the screening strategies are practical and expedite sustainable-investment development.
Yue Qi, Xiaolin Li
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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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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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Cost-Sensitive Portfolio Selection via Deep Reinforcement Learning [PDF]
IEEE Transactions on Knowledge and Data Engineering, 2020 Portfolio Selection is an important real-world financial task and has attracted extensive attention in artificial intelligence communities. This task, however, has two main difficulties: (i) the non-stationary price series and complex asset correlations ...
Yifan Zhang +5 more
semanticscholar +1 more source
Constrained Dynamic Mean-Variance Portfolio Selection in Continuous-Time
Algorithms, 2021 This paper revisits the dynamic MV portfolio selection problem with cone constraints in continuous-time. We first reformulate our constrained MV portfolio selection model into a special constrained LQ optimal control model and develop the optimal ...
Weiping Wu +3 more
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Application of fuzzy logic in portfolio management: evidence from Iranian researches [PDF]
Journal of Fuzzy Extension and Applications, 2020 Over the past decades, financial researchers have proposed different methods in portfolio selection, so that, Markwotiz [1] introduced risk and return criteria for a portfolio selection.
Meysam Kaviani, Seyed Fakhrehosseini
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Stock Portfolio Optimization Using a Combined Approach of Relative Robust Risk Parity [PDF]
Iranian Journal of Finance, 2021 Risk parity is perceived as one of the stock portfolio selection models that have received a lot of attention since the US financial crisis in 2008. The philosophy of this model is to allocate the same amount of portfolio risk between the constituent ...
Sayed Mohammad Ebrahim Mirmohammadi +3 more
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