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Global and Asset Class Diversified ETF Portfolio Strategy - A Convex Mean/CVaR Optimization Approach using Dynamic Copulas with Flexible Probabilities

Mantesso F, Flavio; Ahmed, Joe; Flores, Mauro - 2023

One of the most important factors to control for the achievements of investment portfolio returns is risk. If we only think that a 100% positive return is needed to recover a portfolio loss of 50%, we can understand why. With the advent of the exponential growth of technology usage in markets,...

Persistent link: https://www.econbiz.de/10014254526

A data-driven explainable case-based reasoning approach for financial risk detection

Li, Wei; Paraschiv, Florentina; Sermpinis, Georgios - 2021

The rapid development of artificial intelligence methods contributes to their wide applications for forecasting various financial risks in recent years. This study introduces a novel explainable case-based reasoning (CBR) approach without a requirement of rich expertise in financial risk....

Persistent link: https://www.econbiz.de/10012584957

Genetic Algorithm Calibration of Seasonal BVAR Models

Quilis, Enrique M. - 2015

In this paper we explore the use of Genetic Algorithms (GA) to calibrate seasonal BVAR models. In this way, the mechanistic use of seasonal adjustment procedures is avoided, since seasonality becomes a structural, basic and explicit part of the BVAR model. At the same time, the use of GA allows...

Persistent link: https://www.econbiz.de/10014132203

Some Experiments on Fitting of Gielis Curves by Simulated Annealing and Particle Swarm Methods of Global Optimization

Mishra, Sudhanshu K. - 2006

In this paper an attempt has been made to fit the Gielis curves (modified by various functions) to simulated data. The estimation has been done by two methods - the Classical Simulated Annealing (CSA) and the Particle Swarm (PS) methods - of global optimization. The Repulsive Particle Swarm...

Persistent link: https://www.econbiz.de/10014026933

Forecasting plausible scenarios and losses in interest rate targeting using mathematical optimization

Tanaka, Katsuhiro - In: International journal of financial engineering 6 (2019) 3, pp. 1-24

Persistent link: https://www.econbiz.de/10012314512

Neural network predictive modeling on dynamic portfolio management : a simulation-based portfolio optimization approach

Yu, Jiayang; Chang, Kuo-Chu - In: Journal of risk and financial management : JRFM 13 (2020) 11/285, pp. 1-23

simulation-based approach by fusing a number of macroeconomic factors using Neural Networks (NN) to build an Economic Factor …-based Predictive Model (EFPM). Then, we combine it with the Copula-GARCH simulation model and the Mean-Conditional Value at Risk (Mean …

Persistent link: https://www.econbiz.de/10012388728

A recent review on optimisation methods applied to credit scoring models

Kamimura, Elias Shohei; Pinto, Anderson Rogério Faia; … - In: Journal of economics, finance & administrative science 28 (2023) 56, pp. 352-371

Purpose This paper aims to present a literature review of the most recent optimisation methods applied to Credit Scoring Models (CSMs). Design/methodology/approach The research methodology employed technical procedures based on bibliographic and exploratory analyses. A traditional investigation...

Persistent link: https://www.econbiz.de/10014506795

Multi-Objective Portfolio Optimization by Mixed Integer Programming

Sawik, Bartosz - 2016

Persistent link: https://www.econbiz.de/10012988207

Simulation Optimization : Applications in Risk Management

Glover, Fred - 2010

Simulation optimization is providing solutions to important practical problems previously beyond reach. This paper … explores how new approaches are significantly expanding the power of simulation optimization for managing risk. Recent advances … in simulation optimization technology are leading to new opportunities to solve problems more effectively. Specifically …

Persistent link: https://www.econbiz.de/10013150671

Risk budgeting portfolios from simulations

Costa, Bernardo Freitas Paulo da; Pesenti, Silvana M.; … - In: European journal of operational research : EJOR 311 (2023) 3, pp. 1040-1056

Persistent link: https://www.econbiz.de/10014440198