Similar Search Results

Optimisation of the stock structure of a single stock item taking into account stock quantity constraints, using a lagrange multiplier

Krzyżaniak, Stanisław - In: LogForum : elektroniczne czasopismo naukowe z dziedziny … 18 (2022) 2, pp. 1-9

Persistent link: https://www.econbiz.de/10013336042

Parallel optimization of sparse portfolios with AR-HMMs

Sipos, I. Róbert; Ceffer, Attila; Levendovszky, János - In: Computational economics 49 (2017) 4, pp. 563-578

Persistent link: https://www.econbiz.de/10011762135

Essays on robust portfolio management

Plachel, Lukas - 2019

-of-sample volatility if a jump in systematic risk occurs. Chapter 2 introduces a covariance estimation approach which is based solely on …Modern Portfolio Theory (MPT) provides an elegant mathematical framework for the efficient portfolio allocation problem … problems of traditional mean-variance optimization originating from model- and estimation errors. In order to simultaneously …

Persistent link: https://www.econbiz.de/10012152145

Uncertain Covariance Models and Uncertainty-Penalized Portfolio Optimization

Shah, Anish - 2021

risk assessment, uncertainty-penalized optimization to counter estimation error and improve realized utility, and …

Persistent link: https://www.econbiz.de/10013251623

A simheuristic algorithm for the portfolio optimization problem with random returns and noisy covariances

Kizys, Renatas; Doering, Jana; Juan, Angel A.; Polat, Onur - In: Computers & operations research : and their … 139 (2022), pp. 1-13

Persistent link: https://www.econbiz.de/10013342721

Spatial smoothing techniques for the assessment of habitat suitability

Kneib, Thomas (contributor); Müller, Jörg (contributor); … - 2006

analyse and account for spatial correlation in regression models with normally distributed responses, far less work has been …

Persistent link: https://www.econbiz.de/10003395307

Forecasting of future stock prices using neural networks and genetic algorithms

Mitilineos, Stelios A.; Artikis, Panayiotis G. - In: International journal of decision sciences, risk and … 7 (2017) 1/2, pp. 2-25

Persistent link: https://www.econbiz.de/10011797297

Genetic algorithm-based portfolio optimization with higher moments in global stock markets

Kshatriya, Saranya; Prasanna, Krishna - In: Journal of risk 20 (2017/2018) 4, pp. 1-26

Persistent link: https://www.econbiz.de/10011848918

Allocation of Stocks in a Portfolio Using Antlion Algorithm : Investor's Perspective

Kaushal, Kshma - 2018

An investment is a commitment of funds made in the expectation of some positive rate of return. A fundamental principle of investments is diversification, where investors diversify their investments into different types of financial assets. The different stocks can be clubbed in one portfolio....

Persistent link: https://www.econbiz.de/10012921823

Markowitz mean-variance portfolio optimization with predictive stock selection using machine learning

Apichat Chaweewanchon; Rujira Chaysiri - In: International Journal of Financial Studies : open … 10 (2022) 3, pp. 1-19

With the advances in time-series prediction, several recent developments in machine learning have shown that integrating prediction methods into portfolio selection is a great opportunity. In this paper, we propose a novel approach to portfolio formation strategy based on a hybrid machine...

Persistent link: https://www.econbiz.de/10013368389