Asset Allocation And Portfolio Optimization Problems With Metaheuristics

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Metaheuristic Approaches to Portfolio Optimization

Author : Ray, Jhuma
Publisher : IGI Global
ISBN 13 : 1522581049
Total Pages : 281 pages
Book Rating : 4.5/5 (225 download)

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Book Synopsis Metaheuristic Approaches to Portfolio Optimization by : Ray, Jhuma

Download or read book Metaheuristic Approaches to Portfolio Optimization written by Ray, Jhuma and published by IGI Global. This book was released on 2019-06-22 with total page 281 pages. Available in PDF, EPUB and Kindle. Book excerpt: Control of an impartial balance between risks and returns has become important for investors, and having a combination of financial instruments within a portfolio is an advantage. Portfolio management has thus become very important for reaching a resolution in high-risk investment opportunities and addressing the risk-reward tradeoff by maximizing returns and minimizing risks within a given investment period for a variety of assets. Metaheuristic Approaches to Portfolio Optimization is an essential reference source that examines the proper selection of financial instruments in a financial portfolio management scenario in terms of metaheuristic approaches. It also explores common measures used for the evaluation of risks/returns of portfolios in real-life situations. Featuring research on topics such as closed-end funds, asset allocation, and risk-return paradigm, this book is ideally designed for investors, financial professionals, money managers, accountants, students, professionals, and researchers.

Portfolio Management with Heuristic Optimization

Author : Dietmar G. Maringer
Publisher : Springer Science & Business Media
ISBN 13 : 0387258531
Total Pages : 238 pages
Book Rating : 4.3/5 (872 download)

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Book Synopsis Portfolio Management with Heuristic Optimization by : Dietmar G. Maringer

Download or read book Portfolio Management with Heuristic Optimization written by Dietmar G. Maringer and published by Springer Science & Business Media. This book was released on 2006-07-02 with total page 238 pages. Available in PDF, EPUB and Kindle. Book excerpt: Portfolio Management with Heuristic Optimization consist of two parts. The first part (Foundations) deals with the foundations of portfolio optimization, its assumptions, approaches and the limitations when "traditional" optimization techniques are to be applied. In addition, the basic concepts of several heuristic optimization techniques are presented along with examples of how to implement them for financial optimization problems. The second part (Applications and Contributions) consists of five chapters, covering different problems in financial optimization: the effects of (linear, proportional and combined) transaction costs together with integer constraints and limitations on the initital endowment to be invested; the diversification in small portfolios; the effect of cardinality constraints on the Markowitz efficient line; the effects (and hidden risks) of Value-at-Risk when used the relevant risk constraint; the problem factor selection for the Arbitrage Pricing Theory.

Metaheuristics for Portfolio Optimization

Author : G. A. Vijayalakshmi Pai
Publisher : John Wiley & Sons
ISBN 13 : 1119482798
Total Pages : 312 pages
Book Rating : 4.1/5 (194 download)

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Book Synopsis Metaheuristics for Portfolio Optimization by : G. A. Vijayalakshmi Pai

Download or read book Metaheuristics for Portfolio Optimization written by G. A. Vijayalakshmi Pai and published by John Wiley & Sons. This book was released on 2017-12-27 with total page 312 pages. Available in PDF, EPUB and Kindle. Book excerpt: The book is a monograph in the cross disciplinary area of Computational Intelligence in Finance and elucidates a collection of practical and strategic Portfolio Optimization models in Finance, that employ Metaheuristics for their effective solutions and demonstrates the results using MATLAB implementations, over live portfolios invested across global stock universes. The book has been structured in such a way that, even novices in finance or metaheuristics should be able to comprehend and work on the hybrid models discussed in the book.

Research Anthology on Multi-Industry Uses of Genetic Programming and Algorithms

Author : Management Association, Information Resources
Publisher : IGI Global
ISBN 13 : 1799880990
Total Pages : 1534 pages
Book Rating : 4.7/5 (998 download)

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Book Synopsis Research Anthology on Multi-Industry Uses of Genetic Programming and Algorithms by : Management Association, Information Resources

Download or read book Research Anthology on Multi-Industry Uses of Genetic Programming and Algorithms written by Management Association, Information Resources and published by IGI Global. This book was released on 2020-12-05 with total page 1534 pages. Available in PDF, EPUB and Kindle. Book excerpt: Genetic programming is a new and evolutionary method that has become a novel area of research within artificial intelligence known for automatically generating high-quality solutions to optimization and search problems. This automatic aspect of the algorithms and the mimicking of natural selection and genetics makes genetic programming an intelligent component of problem solving that is highly regarded for its efficiency and vast capabilities. With the ability to be modified and adapted, easily distributed, and effective in large-scale/wide variety of problems, genetic algorithms and programming can be utilized in many diverse industries. This multi-industry uses vary from finance and economics to business and management all the way to healthcare and the sciences. The use of genetic programming and algorithms goes beyond human capabilities, enhancing the business and processes of various essential industries and improving functionality along the way. The Research Anthology on Multi-Industry Uses of Genetic Programming and Algorithms covers the implementation, tools and technologies, and impact on society that genetic programming and algorithms have had throughout multiple industries. By taking a multi-industry approach, this book covers the fundamentals of genetic programming through its technological benefits and challenges along with the latest advancements and future outlooks for computer science. This book is ideal for academicians, biological engineers, computer programmers, scientists, researchers, and upper-level students seeking the latest research on genetic programming.

Artificial Intelligence: Theories, Models and Applications

Author : Ilias Maglogiannis
Publisher : Springer
ISBN 13 : 3642304486
Total Pages : 399 pages
Book Rating : 4.6/5 (423 download)

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Book Synopsis Artificial Intelligence: Theories, Models and Applications by : Ilias Maglogiannis

Download or read book Artificial Intelligence: Theories, Models and Applications written by Ilias Maglogiannis and published by Springer. This book was released on 2012-05-26 with total page 399 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book constitutes the proceedings of the 7th Hellenic Conference on Artificial Intelligence, SETN 2012, held in Lamia, Greece, in May 2012. The 47 contributions included in this volume were carefully reviewed and selected from 81 submissions. They deal with emergent topics of artificial intelligence and come from the SETN main conference as well as from the following special sessions on advancing translational biological research through the incorporation of artificial intelligence methodologies; artificial intelligence in bioinformatics; intelligent annotation of digital content; intelligent, affective, and natural interfaces; and unified multimedia knowledge representation and processing.

Modeling and Simulation in Engineering, Economics and Management

Author : Raúl León
Publisher : Springer
ISBN 13 : 3319405063
Total Pages : 213 pages
Book Rating : 4.3/5 (194 download)

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Book Synopsis Modeling and Simulation in Engineering, Economics and Management by : Raúl León

Download or read book Modeling and Simulation in Engineering, Economics and Management written by Raúl León and published by Springer. This book was released on 2016-06-25 with total page 213 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book contains the refereed proceedings of the International Conference on Modeling and Simulation in Engineering, Economics and Management, MS 2016, held in Teruel, Spain, in July 2016. The event was co-organized by the AMSE Association and the University of Zaragoza through the GESES Research Group, with the support of the SoGReS-MF Research Group from University Jaume I. This edition of the conference paid special attention to modeling and simulation in diverse fields of business management. The 20 papers in this book were carefully reviewed and selected from 52 submissions. They are organized in topical sections on modeling and simulation in finance and accounting; modeling and simulation in business management and economy; and engineering and other general applications. /div

Computational Management

Author : Srikanta Patnaik
Publisher : Springer Nature
ISBN 13 : 303072929X
Total Pages : 682 pages
Book Rating : 4.0/5 (37 download)

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Book Synopsis Computational Management by : Srikanta Patnaik

Download or read book Computational Management written by Srikanta Patnaik and published by Springer Nature. This book was released on 2021-05-29 with total page 682 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book offers a timely review of cutting-edge applications of computational intelligence to business management and financial analysis. It covers a wide range of intelligent and optimization techniques, reporting in detail on their application to real-world problems relating to portfolio management and demand forecasting, decision making, knowledge acquisition, and supply chain scheduling and management.

Congress on Intelligent Systems

Author : Mukesh Saraswat
Publisher : Springer Nature
ISBN 13 : 9811694168
Total Pages : 933 pages
Book Rating : 4.8/5 (116 download)

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Book Synopsis Congress on Intelligent Systems by : Mukesh Saraswat

Download or read book Congress on Intelligent Systems written by Mukesh Saraswat and published by Springer Nature. This book was released on 2022-07-01 with total page 933 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is a collection of selected papers presented at the Second Congress on Intelligent Systems (CIS 2021), organized by Soft Computing Research Society and CHRIST (Deemed to be University), Bengaluru, India, during September 4 – 5, 2021. It includes novel and innovative work from experts, practitioners, scientists, and decision-makers from academia and industry. It covers topics such as Internet of things, information security, embedded systems, real-time systems, cloud computing, big data analysis, quantum computing, automation systems, bio-inspired intelligence, cognitive systems, cyber physical systems, data analytics, data/web mining, data science, intelligence for security, intelligent decision making systems, intelligent information processing, intelligent transportation, artificial intelligence for machine vision, imaging sensors technology, image segmentation, convolutional neural network, image/video classification, soft computing for machine vision, pattern recognition, human–computer interaction, robotic devices and systems, autonomous vehicles, intelligent control systems, human motor control, game playing, evolutionary algorithms, swarm optimization, neural network, deep learning, supervised learning, unsupervised learning, fuzzy logic, rough sets, computational optimization, and neuro-fuzzy systems.

Metaheuristics Algorithm and Optimization of Engineering and Complex Systems

Author : R., Thanigaivelan
Publisher : IGI Global
ISBN 13 :
Total Pages : 416 pages
Book Rating : 4.3/5 (693 download)

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Book Synopsis Metaheuristics Algorithm and Optimization of Engineering and Complex Systems by : R., Thanigaivelan

Download or read book Metaheuristics Algorithm and Optimization of Engineering and Complex Systems written by R., Thanigaivelan and published by IGI Global. This book was released on 2024-07-23 with total page 416 pages. Available in PDF, EPUB and Kindle. Book excerpt: In the field of engineering, optimization and decision-making have become pivotal concerns. The ever-increasing demand for data processing has given rise to issues such as extended processing times and escalated memory utilization, posing formidable obstacles across various engineering domains. Problems persist, requiring not only solutions but advancements beyond existing best practices. Creating and implementing novel heuristic algorithms is a time-intensive process, yet the imperative to do so remains strong, driven by the potential to significantly lower computational costs even with marginal improvements. This book, titled Metaheuristics Algorithm and Optimization of Engineering and Complex Systems, is a beacon of innovation in this context. It examines the critical need for inventive algorithmic solutions, exploring hyperheuristic approaches that offer solutions such as automating search spaces through integrated heuristics. Designed to cater to a broad audience, this book is a valuable resource for both novice and experienced dynamic optimization practitioners. By addressing the spectrum of theory and practice, as well as discrete versus continuous dynamic optimization, it becomes an indispensable reference in a captivating and emerging field. With a deliberate focus on inclusivity, the book is poised to benefit anyone with an interest in staying abreast of the latest developments in dynamic optimization.

Nonlinear and Complex Dynamics

Author : José António Tenreiro Machado
Publisher : Springer Science & Business Media
ISBN 13 : 146140231X
Total Pages : 328 pages
Book Rating : 4.4/5 (614 download)

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Book Synopsis Nonlinear and Complex Dynamics by : José António Tenreiro Machado

Download or read book Nonlinear and Complex Dynamics written by José António Tenreiro Machado and published by Springer Science & Business Media. This book was released on 2011-08-28 with total page 328 pages. Available in PDF, EPUB and Kindle. Book excerpt: Nonlinear Dynamics of Complex Systems describes chaos, fractal and stochasticities within celestial mechanics, financial systems and biochemical systems. Part I discusses methods and applications in celestial systems and new results in such areas as low energy impact dynamics, low-thrust planar trajectories to the moon and earth-to-halo transfers in the sun, earth and moon. Part II presents the dynamics of complex systems including bio-systems, neural systems, chemical systems and hydro-dynamical systems. Finally, Part III covers economic and financial systems including market uncertainty, inflation, economic activity and foreign competition and the role of nonlinear dynamics in each.

Recent Trends in Swarm Intelligence Enabled Research for Engineering Applications

Author : Siddhartha Bhattacharyya
Publisher : Elsevier
ISBN 13 : 0443155321
Total Pages : 382 pages
Book Rating : 4.4/5 (431 download)

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Book Synopsis Recent Trends in Swarm Intelligence Enabled Research for Engineering Applications by : Siddhartha Bhattacharyya

Download or read book Recent Trends in Swarm Intelligence Enabled Research for Engineering Applications written by Siddhartha Bhattacharyya and published by Elsevier. This book was released on 2024-07-13 with total page 382 pages. Available in PDF, EPUB and Kindle. Book excerpt: With the advent of data-intensive applications, the elimination of redundancy in disseminated information has become a serious challenge for researchers who are on the lookout for evolving metaheuristic algorithms which can explore and exploit the information feature space to derive the optimal settings for specific applications. Swarm intelligence algorithms have developed as one of the most widely used metaheuristic techniques for addressing this challenge in an effective way. Inspired by the behavior of a swarm of bees, these swarm intelligence techniques emulate the corresponding natural instincts to derive optimal solutions for data-intensive applications. Recent Trends in Swarm Intelligence Enabled Research for Engineering Applications focuses on the recent and most up-to-date technologies combining other intelligent tools with swarm intelligence techniques to yield robust and failsafe solutions to real world problems. This book aims to provide audiences with a platform to learn and gain insights into the latest developments in hybrid swarm intelligence. It will be useful to researchers, engineers, developers, practitioners, and graduate students working in the major and interdisciplinary areas of computational intelligence, communication systems, computer networks, and soft computing. - Introduces the theory underpinning hybrid swarm intelligence-enabled research as well as the leading applications across the fields of communication, networking, and information engineering - Presents a range of applications research, including signal processing, communication engineering, bioinformatics, controllers, federated learning systems, blockchain, and IoT - Includes case studies and code snippets in applications chapters

Applying Particle Swarm Optimization

Author : Burcu Adıgüzel Mercangöz
Publisher : Springer Nature
ISBN 13 : 3030702812
Total Pages : 355 pages
Book Rating : 4.0/5 (37 download)

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Book Synopsis Applying Particle Swarm Optimization by : Burcu Adıgüzel Mercangöz

Download or read book Applying Particle Swarm Optimization written by Burcu Adıgüzel Mercangöz and published by Springer Nature. This book was released on 2021-05-13 with total page 355 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book explains the theoretical structure of particle swarm optimization (PSO) and focuses on the application of PSO to portfolio optimization problems. The general goal of portfolio optimization is to find a solution that provides the highest expected return at each level of portfolio risk. According to H. Markowitz’s portfolio selection theory, as new assets are added to an investment portfolio, the total risk of the portfolio’s decreases depending on the correlations of asset returns, while the expected return on the portfolio represents the weighted average of the expected returns for each asset. The book explains PSO in detail and demonstrates how to implement Markowitz’s portfolio optimization approach using PSO. In addition, it expands on the Markowitz model and seeks to improve the solution-finding process with the aid of various algorithms. In short, the book provides researchers, teachers, engineers, managers and practitioners with many tools they need to apply the PSO technique to portfolio optimization.

Quantitative Asset Management

Author : William Johnson
Publisher : HiTeX Press
ISBN 13 :
Total Pages : 486 pages
Book Rating : 4.:/5 (661 download)

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Book Synopsis Quantitative Asset Management by : William Johnson

Download or read book Quantitative Asset Management written by William Johnson and published by HiTeX Press. This book was released on 2024-10-12 with total page 486 pages. Available in PDF, EPUB and Kindle. Book excerpt: "Quantitative Asset Management: Techniques for Optimizing Portfolio Returns" is an authoritative guide that expertly bridges theory and practice, equipping readers with the essential tools and strategies to navigate the complex world of finance. This meticulously crafted book unveils the intricate frameworks and advanced methodologies at the core of quantitative asset management, empowering investors, analysts, and financial professionals to achieve superior portfolio performance. From the foundational principles of modern portfolio theory to the cutting-edge application of machine learning in finance, each chapter delivers a rich tapestry of insights that elevate the reader’s understanding and decision-making skills. This volume intricately explores a wide array of topics including risk management, algorithmic trading, behavioral finance, and the ethical considerations that underpin successful asset management. By weaving together practical examples and real-world applications, it ensures readers can apply the learned concepts effectively within their own financial contexts. Whether navigating the challenges of market dynamics or leveraging emerging technologies, this book stands as a vital resource, ensuring its readers are well-prepared to excel in the ever-evolving landscape of quantitative finance.

Metaheuristics in the Service Industry

Author : Martin Josef Geiger
Publisher : Springer Science & Business Media
ISBN 13 : 3642009395
Total Pages : 177 pages
Book Rating : 4.6/5 (42 download)

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Book Synopsis Metaheuristics in the Service Industry by : Martin Josef Geiger

Download or read book Metaheuristics in the Service Industry written by Martin Josef Geiger and published by Springer Science & Business Media. This book was released on 2009-05-30 with total page 177 pages. Available in PDF, EPUB and Kindle. Book excerpt: Most developed economics show the tendency of an increasing importance of modern services such as tourism, logistical services, finance, and others. In many cases, complex optimization problems can be found in this context, and the successful operation of modern services often depends on the ability to solve the obtained optimization models. Metaheuristics on the other hand present an interesting problem-resolution paradigm that has attracted considerable interest in past years. The book combines a set of selected and peer-reviewed articles, presenting novel results of metaheuristics for modern services. In particular, applications in the area of transportation and logistics are considered, while other areas include production and financial services. Novel methodological approaches as well as improved results are obtained, resulting in a considerable contribution to the state-of-the-art of research in metaheuristics.

Operations Research Proceedings 2001

Author : Peter Chamoni
Publisher : Springer Science & Business Media
ISBN 13 : 3642502822
Total Pages : 493 pages
Book Rating : 4.6/5 (425 download)

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Book Synopsis Operations Research Proceedings 2001 by : Peter Chamoni

Download or read book Operations Research Proceedings 2001 written by Peter Chamoni and published by Springer Science & Business Media. This book was released on 2013-03-09 with total page 493 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume contains the proceedings of the 200 I International Conference on Operations Research (OR 2(01) held at the Gerhard-Mercator-University Duisburg, September 3-5,2001. OR 200 1 was organized under the auspices of the German Society of Operations Research, Gesellschaft für Operations Research (GOR e. V.). The conference and the annual general meeting were attended by 360 participants from 20 countries. The presentation of 220 papers was organized in 15 sections. According to Duisburg as hosting city for this event OR 200 1 emphasized on contributions of OR in the areas of energy, transport and traftk. The program consisted of2 plenary lectures (Reinhard Selten and Jörg Hennerkes) and 15 invited semiplenary lectures. 97 papers were submitted for publication. Following the advice of the section chairs the program committee decided to accept 59 papers for this volume. The selected manuscripts will be published also in electronic form on the W orld Wide Web at http://www.uni-duisburg.de/or200 1. We want to thank all referees and authors for delivering their final manuscript in due time. We are also grateful to the other members of the local organizing committee and especially to Stefan Krebs, Corinna Schu and David Betge for the perfect conference management. Roland Düsing, Ralph Gollmer and Steffen Stock supported us in editing the abstracts and the final version of this proceeding volume. Last but not least thanks to all the assistants and student assistants for their operations on OR 2001 in Duisburg.

Strategic Information Technology and Portfolio Management

Author : Tan, Albert Wee Kwan
Publisher : IGI Global
ISBN 13 : 159904689X
Total Pages : 466 pages
Book Rating : 4.5/5 (99 download)

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Book Synopsis Strategic Information Technology and Portfolio Management by : Tan, Albert Wee Kwan

Download or read book Strategic Information Technology and Portfolio Management written by Tan, Albert Wee Kwan and published by IGI Global. This book was released on 2009-03-31 with total page 466 pages. Available in PDF, EPUB and Kindle. Book excerpt: "The objectives of the proposed book are to provide techniques and tools appropriate for building application portfolios and develop strategies that increase financial performance"--Provided by publisher.

Portfolio Optimization Using Fundamental Indicators Based on Multi-Objective EA

Author : Antonio Daniel Silva
Publisher : Springer
ISBN 13 : 3319293923
Total Pages : 108 pages
Book Rating : 4.3/5 (192 download)

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Book Synopsis Portfolio Optimization Using Fundamental Indicators Based on Multi-Objective EA by : Antonio Daniel Silva

Download or read book Portfolio Optimization Using Fundamental Indicators Based on Multi-Objective EA written by Antonio Daniel Silva and published by Springer. This book was released on 2016-02-11 with total page 108 pages. Available in PDF, EPUB and Kindle. Book excerpt: This work presents a new approach to portfolio composition in the stock market. It incorporates a fundamental approach using financial ratios and technical indicators with a Multi-Objective Evolutionary Algorithms to choose the portfolio composition with two objectives the return and the risk. Two different chromosomes are used for representing different investment models with real constraints equivalents to the ones faced by managers of mutual funds, hedge funds, and pension funds. To validate the present solution two case studies are presented for the SP&500 for the period June 2010 until end of 2012. The simulations demonstrates that stock selection based on financial ratios is a combination that can be used to choose the best companies in operational terms, obtaining returns above the market average with low variances in their returns. In this case the optimizer found stocks with high return on investment in a conjunction with high rate of growth of the net income and a high profit margin. To obtain stocks with high valuation potential it is necessary to choose companies with a lower or average market capitalization, low PER, high rates of revenue growth and high operating leverage