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
Portfolio optimization under Solvency II
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DOI: 10.1007/s10479-018-2835-x
Abstract: In the current low interest-rate and highly-regulated environment investing capital efficiently is one of the most important challenges insurance companies face. Certain quantitative parts of regulatory requirements (e.g. Solvency II capital requirements) result in constraints… read more here.
Keywords: investment strategies; portfolio optimization; optimization solvency; solvency ... See more keywords
Improving the performance of evolutionary algorithms: a new approach utilizing information from the evolutionary process and its application to the fuzzy portfolio optimization problem
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DOI: 10.1007/s10479-018-2876-1
Abstract: AbstractThis paper examines the incorporation of useful information extracted from the evolutionary process, in order to improve algorithm performance. In order to achieve this objective, we introduce an efficient method of extracting and utilizing valuable… read more here.
Keywords: fuzzy portfolio; information; portfolio optimization; evolutionary process ... 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
Two-stage bond portfolio optimization and its application to Saudi Sukuk Market
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DOI: 10.1007/s10479-020-03544-5
Abstract: We consider a two-stage stochastic bond portfolio optimization problem, where an investor aims to optimize the cost of bond portfolio under different scenarios while ensuring predefined liabilities during a given planning horizon. The investor needs… read more here.
Keywords: bond portfolio; bond; portfolio optimization; market ... See more keywords
A Review on Ambiguity in Stochastic Portfolio Optimization
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DOI: 10.1007/s11228-017-0458-z
Abstract: In mean-risk portfolio optimization, it is typically assumed that the assets follow a known distribution P0, which is estimated from observed data. Aiming at an investment strategy which is robust against possible misspecification of P0,… read more here.
Keywords: portfolio; portfolio selection; portfolio optimization; review ... See more keywords
Risk, return and portfolio optimization for various industries in the ASEAN region
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DOI: 10.1016/j.bir.2018.09.003
Abstract: Abstract This paper examines risk, return and portfolio diversification at the industry level in four member countries of the ASEAN for which required data are available: Vietnam, Thailand, Malaysia, and Singapore. Market indices are examined… read more here.
Keywords: optimization various; return portfolio; portfolio optimization; risk ... See more keywords
On the use of the Moore–Penrose generalized inverse in the portfolio optimization problem
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DOI: 10.1016/j.frl.2016.12.017
Abstract: When the number of assets (N) exceeds the number of time periods (T), the sample covariance matrix is singular, and the portfolio optimization problem cannot be solved via traditional mean-variance algebra. In such a case,… read more here.
Keywords: portfolio; moore penrose; optimization problem; portfolio optimization ... See more keywords
Examining the effect of different configuration issues of the multiobjective evolutionary algorithms on the efficient frontier formulation for the constrained portfolio optimization problem
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DOI: 10.1057/jors.2016.38
Abstract: This article examines the effect of different configuration issues of the Multiobjective Evolutionary Algorithms on the efficient frontier formulation for the constrained portfolio optimization problem. We present the most popular techniques for dealing with the… read more here.
Keywords: optimization problem; portfolio optimization; efficient frontier;
Panic-aware portfolio optimization
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DOI: 10.1057/s41260-018-00103-3
Abstract: This article provides a portfolio optimization approach that takes into account extreme events. By merging a (downside-only) panic copula with the empirical marginal distributions, panic-awareness is attained for the optimization process. This approach includes the… read more here.
Keywords: optimization; panic aware; portfolio optimization; aware portfolio ... See more keywords
Neural network copula portfolio optimization for exchange traded funds
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DOI: 10.1080/14697688.2017.1414505
Abstract: This paper attempts to investigate if adopting accurate forecasts from Neural Network (NN) models can lead to statistical and economically significant benefits in portfolio management decisions. In order to achieve that, three NNs, namely the… read more here.
Keywords: copula; network; portfolio; portfolio optimization ... See more keywords