Dynamic portfolio optimization using technical analysis‐based clustering
Sign Up to like & getrecommendations! Published in 2022 at "International Journal of Intelligent Systems"
DOI: 10.1002/int.22870
Abstract: An accurate prediction of asset prices is perhaps the biggest challenge of any study in portfolio optimization. Asset prices are affected by several random and nonrandom factors, which makes them difficult to forecast. This paper… read more here.
Keywords: asset; methodology; portfolio; dynamic portfolio ... See more keywords
Dynamic portfolio insurance strategies: risk management under Johnson distributions
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DOI: 10.1007/s10479-016-2121-8
Abstract: The purpose of this paper is to analyze the gap risk of dynamic portfolio insurance strategies which generalize the “Constant Proportion Portfolio Insurance” (CPPI) method by allowing the multiple to vary. We illustrate our theoretical… read more here.
Keywords: insurance strategies; portfolio; dynamic portfolio; johnson distributions ... See more keywords
Time-consistent risk-constrained dynamic portfolio optimization with transactional costs and time-dependent returns
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DOI: 10.1007/s10479-018-2991-z
Abstract: Dynamic portfolio optimization has a vast literature exploring different simplifications by virtue of computational tractability of the problem. Previous works provide solution methods considering unrealistic assumptions, such as no transactional costs, small number of assets,… read more here.
Keywords: time; time consistent; portfolio optimization; transactional costs ... See more keywords
Developing a dynamic portfolio selection model with a self-adjusted rebalancing method
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DOI: 10.1057/jors.2016.21
Abstract: In this paper, we propose a comprehensive investment strategy for not only selecting but also maintaining an investment portfolio that takes into account changing market conditions. First, we implement a dynamic portfolio selection model (DPSM)… read more here.
Keywords: portfolio; investment; portfolio selection; investment strategy ... See more keywords