Multicriteria Portfolio Construction With Python

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Multicriteria Portfolio Construction with Python

Author : Elissaios Sarmas
Publisher : Springer Nature
ISBN 13 : 3030537439
Total Pages : 176 pages
Book Rating : 4.0/5 (35 download)

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Book Synopsis Multicriteria Portfolio Construction with Python by : Elissaios Sarmas

Download or read book Multicriteria Portfolio Construction with Python written by Elissaios Sarmas and published by Springer Nature. This book was released on 2020-10-17 with total page 176 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book covers topics in portfolio management and multicriteria decision analysis (MCDA), presenting a transparent and unified methodology for the portfolio construction process. The most important feature of the book includes the proposed methodological framework that integrates two individual subsystems, the portfolio selection subsystem and the portfolio optimization subsystem. An additional highlight of the book includes the detailed, step-by-step implementation of the proposed multicriteria algorithms in Python. The implementation is presented in detail; each step is elaborately described, from the input of the data to the extraction of the results. Algorithms are organized into small cells of code, accompanied by targeted remarks and comments, in order to help the reader to fully understand their mechanics. Readers are provided with a link to access the source code through GitHub. This Work may also be considered as a reference which presents the state-of-art research on portfolio construction with multiple and complex investment objectives and constraints. The book consists of eight chapters. A brief introduction is provided in Chapter 1. The fundamental issues of modern portfolio theory are discussed in Chapter 2. In Chapter 3, the various multicriteria decision aid methods, either discrete or continuous, are concisely described. In Chapter 4, a comprehensive review of the published literature in the field of multicriteria portfolio management is considered. In Chapter 5, an integrated and original multicriteria portfolio construction methodology is developed. Chapter 6 presents the web-based information system, in which the suggested methodological framework has been implemented. In Chapter 7, the experimental application of the proposed methodology is discussed and in Chapter 8, the authors provide overall conclusions. The readership of the book aims to be a diverse group, including fund managers, risk managers, investment advisors, bankers, private investors, analytics scientists, operations researchers scientists, and computer engineers, to name just several. Portions of the book may be used as instructional for either advanced undergraduate or post-graduate courses in investment analysis, portfolio engineering, decision science, computer science, or financial engineering.

Multicriteria Portfolio Management

Author : Panos Xidonas
Publisher : Springer Science & Business Media
ISBN 13 : 1461436702
Total Pages : 138 pages
Book Rating : 4.4/5 (614 download)

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Book Synopsis Multicriteria Portfolio Management by : Panos Xidonas

Download or read book Multicriteria Portfolio Management written by Panos Xidonas and published by Springer Science & Business Media. This book was released on 2012-05-09 with total page 138 pages. Available in PDF, EPUB and Kindle. Book excerpt: The primary purpose in this book is to present an integrated and innovative methodological approach for the construction and selection of equity portfolios. The approach takes into account the inherent multidimensional nature of the problem, while allowing the decision makers to incorporate specified preferences in the decision processes. A fundamental principle of modern portfolio theory is that comparisons between portfolios are generally made using two criteria; the expected return and portfolio variance. According to most of the portfolio models derived from the stochastic dominance approach, the group of portfolios open to comparisons is divided into two parts: the efficient portfolios, and the dominated. This work integrates the two approaches providing a unified model for decision making in portfolio management with multiple criteria.

Business Analytics for Professionals

Author : Alp Ustundag
Publisher : Springer Nature
ISBN 13 : 3030938239
Total Pages : 488 pages
Book Rating : 4.0/5 (39 download)

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Book Synopsis Business Analytics for Professionals by : Alp Ustundag

Download or read book Business Analytics for Professionals written by Alp Ustundag and published by Springer Nature. This book was released on 2022-05-09 with total page 488 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book explains concepts and techniques for business analytics and demonstrate them on real life applications for managers and practitioners. It illustrates how machine learning and optimization techniques can be used to implement intelligent business automation systems. The book examines business problems concerning supply chain, marketing & CRM, financial, manufacturing and human resources functions and supplies solutions in Python.

Portfolio Construction and Analytics

Author : Frank J. Fabozzi
Publisher : John Wiley & Sons
ISBN 13 : 1119238145
Total Pages : 760 pages
Book Rating : 4.1/5 (192 download)

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Book Synopsis Portfolio Construction and Analytics by : Frank J. Fabozzi

Download or read book Portfolio Construction and Analytics written by Frank J. Fabozzi and published by John Wiley & Sons. This book was released on 2016-03-23 with total page 760 pages. Available in PDF, EPUB and Kindle. Book excerpt: A detailed, multi-disciplinary approach to investment analytics Portfolio Construction and Analytics provides an up-to-date understanding of the analytic investment process for students and professionals alike. With complete and detailed coverage of portfolio analytics and modeling methods, this book is unique in its multi-disciplinary approach. Investment analytics involves the input of a variety of areas, and this guide provides the perspective of data management, modeling, software resources, and investment strategy to give you a truly comprehensive understanding of how today's firms approach the process. Real-world examples provide insight into analytics performed with vendor software, and references to analytics performed with open source software will prove useful to both students and practitioners. Portfolio analytics refers to all of the methods used to screen, model, track, and evaluate investments. Big data, regulatory change, and increasing risk is forcing a need for a more coherent approach to all aspects of investment analytics, and this book provides the strong foundation and critical skills you need. Master the fundamental modeling concepts and widely used analytics Learn the latest trends in risk metrics, modeling, and investment strategies Get up to speed on the vendor and open-source software most commonly used Gain a multi-angle perspective on portfolio analytics at today's firms Identifying investment opportunities, keeping portfolios aligned with investment objectives, and monitoring risk and performance are all major functions of an investment firm that relies heavily on analytics output. This reliance will only increase in the face of market changes and increased regulatory pressure, and practitioners need a deep understanding of the latest methods and models used to build a robust investment strategy. Portfolio Construction and Analytics is an invaluable resource for portfolio management in any capacity.

Handbook of Portfolio Construction

Author : John B. Guerard, Jr.
Publisher : Springer Science & Business Media
ISBN 13 : 0387774394
Total Pages : 796 pages
Book Rating : 4.3/5 (877 download)

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Book Synopsis Handbook of Portfolio Construction by : John B. Guerard, Jr.

Download or read book Handbook of Portfolio Construction written by John B. Guerard, Jr. and published by Springer Science & Business Media. This book was released on 2009-12-12 with total page 796 pages. Available in PDF, EPUB and Kindle. Book excerpt: Portfolio construction is fundamental to the investment management process. In the 1950s, Harry Markowitz demonstrated the benefits of efficient diversification by formulating a mathematical program for generating the "efficient frontier" to summarize optimal trade-offs between expected return and risk. The Markowitz framework continues to be used as a basis for both practical portfolio construction and emerging research in financial economics. Such concepts as the Capital Asset Pricing Model (CAPM) and the Arbitrage Pricing Theory (APT), for example, provide the foundation for setting benchmarks, for predicting returns and risk, and for performance measurement. This volume showcases original essays by some of today’s most prominent academics and practitioners in the field on the contemporary application of Markowitz techniques. Covering a wide spectrum of topics, including portfolio selection, data mining tests, and multi-factor risk models, the book presents a comprehensive approach to portfolio construction tools, models, frameworks, and analyses, with both practical and theoretical implications.

Multi-Period Trading Via Convex Optimization

Author : Stephen Boyd
Publisher :
ISBN 13 : 9781680833287
Total Pages : 92 pages
Book Rating : 4.8/5 (332 download)

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Book Synopsis Multi-Period Trading Via Convex Optimization by : Stephen Boyd

Download or read book Multi-Period Trading Via Convex Optimization written by Stephen Boyd and published by . This book was released on 2017-07-28 with total page 92 pages. Available in PDF, EPUB and Kindle. Book excerpt: This monograph collects in one place the basic deﬁnitions, a careful description of the model, and discussion of how convex optimization can be used in multi-period trading, all in a common notation and framework.

Multiple Criteria Decision Aid

Author : Jason Papathanasiou
Publisher : Springer
ISBN 13 : 3319916483
Total Pages : 173 pages
Book Rating : 4.3/5 (199 download)

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Book Synopsis Multiple Criteria Decision Aid by : Jason Papathanasiou

Download or read book Multiple Criteria Decision Aid written by Jason Papathanasiou and published by Springer. This book was released on 2018-09-19 with total page 173 pages. Available in PDF, EPUB and Kindle. Book excerpt: Multiple criteria decision aid (MCDA) methods are illustrated in this book through theoretical and computational techniques utilizing Python. Existing methods are presented in detail with a step by step learning approach. Theoretical background is given for TOPSIS, VIKOR, PROMETHEE, SIR, AHP, goal programming, and their variations. Comprehensive numerical examples are also discussed for each method in conjunction with easy to follow Python code. Extensions to multiple criteria decision making algorithms such as fuzzy number theory and group decision making are introduced and implemented through Python as well. Readers will learn how to implement and use each method based on the problem, the available data, the stakeholders involved, and the various requirements needed. Focusing on the practical aspects of the multiple criteria decision making methodologies, this book is designed for researchers, practitioners and advanced graduate students in the applied mathematics, information systems, operations research and business administration disciplines, as well as other engineers and scientists oriented in interdisciplinary research. Readers will greatly benefit from this book by learning and applying various MCDM/A methods. (Adiel Teixeira de Almeida, CDSID-Center for Decision System and Information Development, Universidade Federal de Pernambuco, Recife, Brazil) Promoting the development and application of multicriteria decision aid is essential to ensure more ethical and sustainable decisions. This book is a great contribution to this objective. It is a perfect blend of theory and practice, providing potential users and researchers with the theoretical bases of some of the best-known methods as well as with the computing tools needed to practice, to compare and to put these methods to use. (Jean-Pierre Brans, Vrije Universiteit Brussel, Brussels, Belgium) This book is intended for researchers, practitioners and students alike in decision support who wish to familiarize themselves quickly and efficiently with multicriteria decision aiding algorithms. The proposed approach is original, as it presents a selection of methods from the theory to the practical implementation in Python, including a detailed example. This will certainly facilitate the learning of these techniques, and contribute to their effective dissemination in applications. (Patrick Meyer, IMT Atlantique, Lab-STICC, Univ. Bretagne Loire, Brest, France)

Portfolio Diversification

Author : Francois-Serge Lhabitant
Publisher : Elsevier
ISBN 13 : 0081017863
Total Pages : 274 pages
Book Rating : 4.0/5 (81 download)

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Book Synopsis Portfolio Diversification by : Francois-Serge Lhabitant

Download or read book Portfolio Diversification written by Francois-Serge Lhabitant and published by Elsevier. This book was released on 2017-09-26 with total page 274 pages. Available in PDF, EPUB and Kindle. Book excerpt: Portfolio Diversification provides an update on the practice of combining several risky investments in a portfolio with the goal of reducing the portfolio's overall risk. In this book, readers will find a comprehensive introduction and analysis of various dimensions of portfolio diversification (assets, maturities, industries, countries, etc.), along with time diversification strategies (long term vs. short term diversification) and diversification using other risk measures than variance. Several tools to quantify and implement optimal diversification are discussed and illustrated. Focuses on portfolio diversification across all its dimensions Includes recent empirical material that was created and developed specifically for this book Provides several tools to quantify and implement optimal diversification

Quantitative Portfolio Management

Author : Pierre Brugière
Publisher : Springer Nature
ISBN 13 : 3030377407
Total Pages : 212 pages
Book Rating : 4.0/5 (33 download)

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Book Synopsis Quantitative Portfolio Management by : Pierre Brugière

Download or read book Quantitative Portfolio Management written by Pierre Brugière and published by Springer Nature. This book was released on 2020-03-28 with total page 212 pages. Available in PDF, EPUB and Kindle. Book excerpt: This self-contained book presents the main techniques of quantitative portfolio management and associated statistical methods in a very didactic and structured way, in a minimum number of pages. The concepts of investment portfolios, self-financing portfolios and absence of arbitrage opportunities are extensively used and enable the translation of all the mathematical concepts in an easily interpretable way. All the results, tested with Python programs, are demonstrated rigorously, often using geometric approaches for optimization problems and intrinsic approaches for statistical methods, leading to unusually short and elegant proofs. The statistical methods concern both parametric and non-parametric estimators and, to estimate the factors of a model, principal component analysis is explained. The presented Python code and web scraping techniques also make it possible to test the presented concepts on market data. This book will be useful for teaching Masters students and for professionals in asset management, and will be of interest to academics who want to explore a field in which they are not specialists. The ideal pre-requisites consist of undergraduate probability and statistics and a familiarity with linear algebra and matrix manipulation. Those who want to run the code will have to install Python on their pc, or alternatively can use Google Colab on the cloud. Professionals will need to have a quantitative background, being either portfolio managers or risk managers, or potentially quants wanting to double check their understanding of the subject.

Multiple Criteria Decision Analysis

Author : Valerie Belton
Publisher : Springer Science & Business Media
ISBN 13 : 1461514959
Total Pages : 381 pages
Book Rating : 4.4/5 (615 download)

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Book Synopsis Multiple Criteria Decision Analysis by : Valerie Belton

Download or read book Multiple Criteria Decision Analysis written by Valerie Belton and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 381 pages. Available in PDF, EPUB and Kindle. Book excerpt: The field of multiple criteria decision analysis (MCDA), also termed multiple criteria decision aid, or multiple criteria decision making (MCDM), has developed rapidly over the past quarter century and in the process a number of divergent schools of thought have emerged. This can make it difficult for a new entrant into the field to develop a comprehensive appreciation of the range of tools and approaches which are available to assist decision makers in dealing with the ever-present difficulties of seeking compromise or consensus between conflicting inter ests and goals, i.e. the "multiple criteria". The diversity of philosophies and models makes it equally difficult for potential users of MCDA, i.e. management scientists and/or decision makers facing problems involving conflicting goals, to gain a clear understanding of which methodologies are appropriate to their particular context. Our intention in writing this book has been to provide a compre hensive yet widely accessible overview of the main streams of thought within MCDA. We aim to provide readers with sufficient awareness of the underlying philosophies and theories, understanding of the practi cal details of the methods, and insight into practice to enable them to implement any of the approaches in an informed manner. As the title of the book indicates, our emphasis is on developing an integrated view of MCDA, which we perceive to incorporate both integration of differ ent schools of thought within MCDA, and integration of MCDA with broader management theory, science and practice.

Portfolio Decision Analysis

Author : Ahti Salo
Publisher : Springer Science & Business Media
ISBN 13 : 1441999434
Total Pages : 410 pages
Book Rating : 4.4/5 (419 download)

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Book Synopsis Portfolio Decision Analysis by : Ahti Salo

Download or read book Portfolio Decision Analysis written by Ahti Salo and published by Springer Science & Business Media. This book was released on 2011-08-12 with total page 410 pages. Available in PDF, EPUB and Kindle. Book excerpt: Portfolio Decision Analysis: Improved Methods for Resource Allocation provides an extensive, up-to-date coverage of decision analytic methods which help firms and public organizations allocate resources to 'lumpy' investment opportunities while explicitly recognizing relevant financial and non-financial evaluation criteria and the presence of alternative investment opportunities. In particular, it discusses the evolution of these methods, presents new methodological advances and illustrates their use across several application domains. The book offers a many-faceted treatment of portfolio decision analysis (PDA). Among other things, it (i) synthesizes the state-of-play in PDA, (ii) describes novel methodologies, (iii) fosters the deployment of these methodologies, and (iv) contributes to the strengthening of research on PDA. Portfolio problems are widely regarded as the single most important application context of decision analysis, and, with its extensive and unique coverage of these problems, this book is a much-needed addition to the literature. The book also presents innovative treatments of new methodological approaches and their uses in applications. The intended audience consists of practitioners and researchers who wish to gain a good understanding of portfolio decision analysis and insights into how PDA methods can be leveraged in different application contexts. The book can also be employed in courses at the post-graduate level.

Ant Colony Optimization

Author : Marco Dorigo
Publisher : MIT Press
ISBN 13 : 9780262042192
Total Pages : 324 pages
Book Rating : 4.0/5 (421 download)

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Book Synopsis Ant Colony Optimization by : Marco Dorigo

Download or read book Ant Colony Optimization written by Marco Dorigo and published by MIT Press. This book was released on 2004-06-04 with total page 324 pages. Available in PDF, EPUB and Kindle. Book excerpt: An overview of the rapidly growing field of ant colony optimization that describes theoretical findings, the major algorithms, and current applications. The complex social behaviors of ants have been much studied by science, and computer scientists are now finding that these behavior patterns can provide models for solving difficult combinatorial optimization problems. The attempt to develop algorithms inspired by one aspect of ant behavior, the ability to find what computer scientists would call shortest paths, has become the field of ant colony optimization (ACO), the most successful and widely recognized algorithmic technique based on ant behavior. This book presents an overview of this rapidly growing field, from its theoretical inception to practical applications, including descriptions of many available ACO algorithms and their uses. The book first describes the translation of observed ant behavior into working optimization algorithms. The ant colony metaheuristic is then introduced and viewed in the general context of combinatorial optimization. This is followed by a detailed description and guide to all major ACO algorithms and a report on current theoretical findings. The book surveys ACO applications now in use, including routing, assignment, scheduling, subset, machine learning, and bioinformatics problems. AntNet, an ACO algorithm designed for the network routing problem, is described in detail. The authors conclude by summarizing the progress in the field and outlining future research directions. Each chapter ends with bibliographic material, bullet points setting out important ideas covered in the chapter, and exercises. Ant Colony Optimization will be of interest to academic and industry researchers, graduate students, and practitioners who wish to learn how to implement ACO algorithms.

Machine Learning for Asset Managers

Author : Marcos M. López de Prado
Publisher : Cambridge University Press
ISBN 13 : 1108879721
Total Pages : 152 pages
Book Rating : 4.1/5 (88 download)

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Book Synopsis Machine Learning for Asset Managers by : Marcos M. López de Prado

Download or read book Machine Learning for Asset Managers written by Marcos M. López de Prado and published by Cambridge University Press. This book was released on 2020-04-22 with total page 152 pages. Available in PDF, EPUB and Kindle. Book excerpt: Successful investment strategies are specific implementations of general theories. An investment strategy that lacks a theoretical justification is likely to be false. Hence, an asset manager should concentrate her efforts on developing a theory rather than on backtesting potential trading rules. The purpose of this Element is to introduce machine learning (ML) tools that can help asset managers discover economic and financial theories. ML is not a black box, and it does not necessarily overfit. ML tools complement rather than replace the classical statistical methods. Some of ML's strengths include (1) a focus on out-of-sample predictability over variance adjudication; (2) the use of computational methods to avoid relying on (potentially unrealistic) assumptions; (3) the ability to "learn" complex specifications, including nonlinear, hierarchical, and noncontinuous interaction effects in a high-dimensional space; and (4) the ability to disentangle the variable search from the specification search, robust to multicollinearity and other substitution effects.

Handbook of Financial Engineering

Author : Constantin Zopounidis
Publisher : Springer Science & Business Media
ISBN 13 : 0387766820
Total Pages : 494 pages
Book Rating : 4.3/5 (877 download)

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Book Synopsis Handbook of Financial Engineering by : Constantin Zopounidis

Download or read book Handbook of Financial Engineering written by Constantin Zopounidis and published by Springer Science & Business Media. This book was released on 2010-07-25 with total page 494 pages. Available in PDF, EPUB and Kindle. Book excerpt: This comprehensive handbook discusses the most recent advances within the field of financial engineering, focusing not only on the description of the existing areas in financial engineering research, but also on the new methodologies that have been developed for modeling and addressing financial engineering problems. The book is intended for financial engineers, researchers, applied mathematicians, and graduate students interested in real-world applications to financial engineering.

Multiple Criteria Decision Making

Author : Y. Ilker Topcu
Publisher : Springer Nature
ISBN 13 : 303052406X
Total Pages : 413 pages
Book Rating : 4.0/5 (35 download)

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Book Synopsis Multiple Criteria Decision Making by : Y. Ilker Topcu

Download or read book Multiple Criteria Decision Making written by Y. Ilker Topcu and published by Springer Nature. This book was released on 2021-03-24 with total page 413 pages. Available in PDF, EPUB and Kindle. Book excerpt: Data and its processed state 'information' have become an indispensable resource for virtually all aspects of business, education, etc. Consequently, decisions regarding the handling of this data, transforming it into meaningful information, and ultimately arriving at the best course of action have taken on a new importance. This book highlights a selection of cutting-edge research on decision making presented at the 25th International Conference on Multiple Criteria Decision Making (MCDM 2019), held in Istanbul, Turkey.

Evolutionary Multiobjective Optimization

Author : Ajith Abraham
Publisher : Springer Science & Business Media
ISBN 13 : 1846281377
Total Pages : 313 pages
Book Rating : 4.8/5 (462 download)

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Book Synopsis Evolutionary Multiobjective Optimization by : Ajith Abraham

Download or read book Evolutionary Multiobjective Optimization written by Ajith Abraham and published by Springer Science & Business Media. This book was released on 2005-09-05 with total page 313 pages. Available in PDF, EPUB and Kindle. Book excerpt: Evolutionary Multi-Objective Optimization is an expanding field of research. This book brings a collection of papers with some of the most recent advances in this field. The topic and content is currently very fashionable and has immense potential for practical applications and includes contributions from leading researchers in the field. Assembled in a compelling and well-organised fashion, Evolutionary Computation Based Multi-Criteria Optimization will prove beneficial for both academic and industrial scientists and engineers engaged in research and development and application of evolutionary algorithm based MCO. Packed with must-find information, this book is the first to comprehensively and clearly address the issue of evolutionary computation based MCO, and is an essential read for any researcher or practitioner of the technique.

Understanding Risks and Uncertainties in Energy and Climate Policy

Author : Haris Doukas
Publisher : Springer
ISBN 13 : 3030031527
Total Pages : 271 pages
Book Rating : 4.0/5 (3 download)

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Book Synopsis Understanding Risks and Uncertainties in Energy and Climate Policy by : Haris Doukas

Download or read book Understanding Risks and Uncertainties in Energy and Climate Policy written by Haris Doukas and published by Springer. This book was released on 2018-12-10 with total page 271 pages. Available in PDF, EPUB and Kindle. Book excerpt: This open access book analyzes and seeks to consolidate the use of robust quantitative tools and qualitative methods for the design and assessment of energy and climate policies. In particular, it examines energy and climate policy performance and associated risks, as well as public acceptance and portfolio analysis in climate policy, and presents methods for evaluating the costs and benefits of flexible policy implementation as well as new framings for business and market actors. In turn, it discusses the development of alternative policy pathways and the identification of optimal switching points, drawing on concrete examples to do so. Lastly, it discusses climate change mitigation policies’ implications for the agricultural, food, building, transportation, service and manufacturing sectors.