Search Results - subject:"Portfolio Optimization"

Solving constrained mean-variance portfolio optimization problems using spiral optimization algorithm

Febrianti, Werry; Sidarto, Kuntjoro Adji; Sumarti, Novriana - In: International Journal of Financial Studies : open … 11 (2023) 1, pp. 1-12

Portfolio optimization is an activity for balancing return and risk. In this paper, we used mean-variance (M … programming (MINLP) problem. To solve this constrained mean-variance portfolio optimization problem, we propose the use of a …. The results show that our proposed algorithm can be an efficient tool for solving this portfolio optimization problem. …

Persistent link: https://www.econbiz.de/10013543067

Using deep reinforcement learning with hierarchical risk parity for portfolio optimization

Millea, Adrian; Edalat, Abbas - In: International Journal of Financial Studies : open … 11 (2023) 1, pp. 1-16

portfolio optimization on multiple markets. At the highest level a Deep Reinforcement Learning (DRL) agent selects among a … eliminate the need for retraining and are able to deal with large testing sets successfully.portfolio optimization on multiple …

Persistent link: https://www.econbiz.de/10013545887

Crypto portfolio optimization through lens of tail risk and variance measures

Tomić, Bojan; Žiković, Saša; Jovanović, Lorena - In: Zbornik radova Ekonomskog Fakulteta u Rijeci : časopis … 40 (2022) 2, pp. 297-312

Persistent link: https://www.econbiz.de/10013538925

Portfolio optimization for extreme risks with maximum diversification : an empirical analysis

Mehta, Navya Jayesh; Yang, Fan - In: Risks : open access journal 10 (2022) 5, pp. 1-26

-at-Risk, which is known to capture extreme risks better than variance. The portfolio optimization strategy based on DR maximizes the …

Persistent link: https://www.econbiz.de/10013358817

Multi-agent robust optimal investment problem in incomplete market

Kizaki, Keisuke; Saito, Taiga; Takahashi, Akihiko - 2022 - Revised in November 2022

Persistent link: https://www.econbiz.de/10013463761

Lufthansa: A century of international growth

Schmid, Stefan; Xia, Zhengtian - 2024

Over the last century, the passenger airline industry has undergone a series of transformations, with Lufthansa being a key player not only in Europe, but also worldwide. This case study traces Lufthansa's development, from its origins up until its current status, and outlines its expansion by...

Persistent link: https://www.econbiz.de/10015046545

Diversification with international assets and cryptocurrencies using Black-Litterman

Pereira Alves Abreu, Daniel de; Iquiapaza, Robert Aldo - In: REGE revista de gestão 31 (2024) 2, pp. 166-185

Persistent link: https://www.econbiz.de/10015189764

Differences in euro-area household finances and their relevance for monetary-policy transmission

Hintermaier, Thomas; Koeniger, Winfried - In: Quantitative economics : QE ; journal of the … 15 (2024) 4, pp. 1249-1301

This paper quantifies mechanisms through which heterogeneity in household finances affects the transmission of monetary policy, considering housing tenure choices over the life cycle. Our analysis also identifies challenges for monetary policy related to housing busts. It focuses on the four...

Persistent link: https://www.econbiz.de/10015190142

Commercial real estate valuation using CoStar

Kaprielyan, Margarita; Boone, Angelo - In: Journal of real estate practice and education : a … 26 (2024) 1, pp. 1-12

Persistent link: https://www.econbiz.de/10015190575

Prioritization of the IT sector in the CEE stock markets : investment policies, trends and hidden gems

Hurnyak, Ihor; Struk, Oleksandra - In: Comparative economic research : Central and Eastern Europe 27 (2024) 3, pp. 23-45

Objective: The main purpose of the research is to show that the Central and Eastern European (CEE) market is an essential component of the global stock market. It displays similar patterns to developed countries, and there is a special emphasis on information technology. Research Design &...

Persistent link: https://www.econbiz.de/10015190603