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Portfolio optimization in the capital market bubble space, an application of meta-heuristic algorithms

Mohammadi, Iman; Khoshouei, Hamzeh Mohammadi; … - In: Managerial finance 49 (2023) 4, pp. 741-757

Persistent link: https://www.econbiz.de/10014252578

Reconciling Factor Optimization with Portfolio Constraints

Gnedenko, Boris - 2017

Allocation between factor portfolios can bring significant advantages over traditional portfolio optimization performed among individual assets or asset classes. One such advantage is a substantial dimension reduction when one's attention turns from many assets to few factors. This, however,...

Persistent link: https://www.econbiz.de/10012973146

Maximizing the Sharpe Ratio : A Genetic Programming Approach

Liu, Yang; Zhou, Guofu; Zhu, Yingzi - 2021

While common machine learning algorithms focus on minimizing the mean-square errors of model fit, we show that genetic programming, GP, is well-suited to maximize an economic objective, the Sharpe ratio of the usual spread portfolio in the cross-section of expected stock returns. In contrast to...

Persistent link: https://www.econbiz.de/10013242613

Optimizing the Compression Cycle : Algorithms for Multilateral Netting in OTC Derivatives Markets

O'Kane, Dominic - 2014

Concerns about the fragility of the financial system caused by the OTC derivatives market has encouraged the increased use of counterparty risk mitigation techniques including the use of market compression. In this process groups of market participants share position information via a third...

Persistent link: https://www.econbiz.de/10013063807

Solving Complex Equations Subject to Constraints Using Lagrangian Constrained Optimization

Burgess, Nicholas - 2021

In this paper we outline the Lagrangian constrained optimization method to solve complex problems subject to constraints. Firstly we summarize the Lagrangian constrained optimization routine. Secondly we outline a detailed implementation strategy. Thirdly and finally we provide example and solve...

Persistent link: https://www.econbiz.de/10013213151

Modelling and trading the English stock market with new forecasting techniques

Karathanasopoulos, Andreas - In: Economics and Business Letters : EBL 5 (2016) 2, pp. 50-57

The motivation of this paper is to introduce a short term adaptive model (Partial Swarm Optimizer combined with linear and nonlinear models when applied to the task of forecasting and trading the daily closing returns of the FTSE100 exchange traded funds (ETFs). This is done by benchmarking its...

Persistent link: https://www.econbiz.de/10011573208

A Practical Guide for Optimizing Volatility Positions with Interior Point Solvers

Silverstein, Brian - 2022

This paper examines how volatility positions can be optimally constructed by modeling the selection process as a linear … parameters to be applied in the optimization process for robust position risk management. We use implied volatility decreases …) events to construct a linear system where feasible solutions represent an investor’s optimal volatility position. Significant …

Persistent link: https://www.econbiz.de/10014236189

Optimal Order Size in Pro-Rata Markets

Aldridge, Irene - 2014

Several exchanges in futures and options deploy pro-rata matching. The executed size of limit orders in pro-rata markets is never certain, unlike in price-time priority matching systems. This article derives the optimal size of limit orders in pro-rata markets given the trader's desired...

Persistent link: https://www.econbiz.de/10013061277

Dynamische Portfolio-Selektion unter Berücksichtigung von Kurssprüngen

Nietert, Bernhard - 1998

Persistent link: https://www.econbiz.de/10000998162

Optimal execution of multiasset block orders under stochastic liquidity

Makimoto, Naoki; Sugihara, Yoshihiko - 2010

Persistent link: https://www.econbiz.de/10008748180