Online Portfolio Selection

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Online Portfolio Selection

Author : Bin Li
Publisher : CRC Press
ISBN 13 : 1482249642
Total Pages : 227 pages
Book Rating : 4.4/5 (822 download)

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Book Synopsis Online Portfolio Selection by : Bin Li

Download or read book Online Portfolio Selection written by Bin Li and published by CRC Press. This book was released on 2018-10-30 with total page 227 pages. Available in PDF, EPUB and Kindle. Book excerpt: With the aim to sequentially determine optimal allocations across a set of assets, Online Portfolio Selection (OLPS) has significantly reshaped the financial investment landscape. Online Portfolio Selection: Principles and Algorithms supplies a comprehensive survey of existing OLPS principles and presents a collection of innovative strategies that leverage machine learning techniques for financial investment. The book presents four new algorithms based on machine learning techniques that were designed by the authors, as well as a new back-test system they developed for evaluating trading strategy effectiveness. The book uses simulations with real market data to illustrate the trading strategies in action and to provide readers with the confidence to deploy the strategies themselves. The book is presented in five sections that: Introduce OLPS and formulate OLPS as a sequential decision task Present key OLPS principles, including benchmarks, follow the winner, follow the loser, pattern matching, and meta-learning Detail four innovative OLPS algorithms based on cutting-edge machine learning techniques Provide a toolbox for evaluating the OLPS algorithms and present empirical studies comparing the proposed algorithms with the state of the art Investigate possible future directions Complete with a back-test system that uses historical data to evaluate the performance of trading strategies, as well as MATLAB® code for the back-test systems, this book is an ideal resource for graduate students in finance, computer science, and statistics. It is also suitable for researchers and engineers interested in computational investment. Readers are encouraged to visit the authors’ website for updates: http://olps.stevenhoi.org.

Online Portfolio Selection

Author : Bin Li
Publisher :
ISBN 13 :
Total Pages : 212 pages
Book Rating : 4.:/5 (11 download)

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Book Synopsis Online Portfolio Selection by : Bin Li

Download or read book Online Portfolio Selection written by Bin Li and published by . This book was released on 2018 with total page 212 pages. Available in PDF, EPUB and Kindle. Book excerpt: With the aim to sequentially determine optimal allocations across a set of assets, Online Portfolio Selection (OLPS) has significantly reshaped the financial investment landscape. Online Portfolio Selection: Principles and Algorithms supplies a comprehensive survey of existing OLPS principles and presents a collection of innovative strategies that leverage machine learning techniques for financial investment. The book presents four new algorithms based on machine learning techniques that were designed by the authors, as well as a new back-test system they developed for evaluating trading strategy effectiveness. The book uses simulations with real market data to illustrate the trading strategies in action and to provide readers with the confidence to deploy the strategies themselves. The book is presented in five sections that: Introduce OLPS and formulate OLPS as a sequential decision task Present key OLPS principles, including benchmarks, follow the winner, follow the loser, pattern matching, and meta-learning Detail four innovative OLPS algorithms based on cutting-edge machine learning techniques Provide a toolbox for evaluating the OLPS algorithms and present empirical studies comparing the proposed algorithms with the state of the art Investigate possible future directions Complete with a back-test system that uses historical data to evaluate the performance of trading strategies, as well as MATLAB® code for the back-test systems, this book is an ideal resource for graduate students in finance, computer science, and statistics. It is also suitable for researchers and engineers interested in computational investment. Readers are encouraged to visit the authors' website for updates: http://olps.stevenhoi.org.

Evolutionary and Memetic Computing for Project Portfolio Selection and Scheduling

Author : Kyle Robert Harrison
Publisher : Springer Nature
ISBN 13 : 3030883159
Total Pages : 218 pages
Book Rating : 4.0/5 (38 download)

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Book Synopsis Evolutionary and Memetic Computing for Project Portfolio Selection and Scheduling by : Kyle Robert Harrison

Download or read book Evolutionary and Memetic Computing for Project Portfolio Selection and Scheduling written by Kyle Robert Harrison and published by Springer Nature. This book was released on 2021-11-13 with total page 218 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book consists of eight chapters, authored by distinguished researchers and practitioners, that highlight the state of the art and recent trends in addressing the project portfolio selection and scheduling problem (PPSSP) across a variety of domains, particularly defense, social programs, supply chains, and finance. Many organizations face the challenge of selecting and scheduling a subset of available projects subject to various resource and operational constraints. In the simplest scenario, the primary objective for an organization is to maximize the value added through funding and implementing a portfolio of projects, subject to the available budget. However, there are other major difficulties that are often associated with this problem such as qualitative project benefits, multiple conflicting objectives, complex project interdependencies, workforce and manufacturing constraints, and deep uncertainty regarding project costs, benefits, and completion times. It is well known that the PPSSP is an NP-hard problem and, thus, there is no known polynomial-time algorithm for this problem. Despite the complexity associated with solving the PPSSP, many traditional approaches to this problem make use of exact solvers. While exact solvers provide definitive optimal solutions, they quickly become prohibitively expensive in terms of computation time when the problem size is increased. In contrast, evolutionary and memetic computing afford the capability for autonomous heuristic approaches and expert knowledge to be combined and thereby provide an efficient means for high-quality approximation solutions to be attained. As such, these approaches can provide near real-time decision support information for portfolio design that can be used to augment and improve existing human-centric strategic decision-making processes. This edited book provides the reader with a broad overview of the PPSSP, its associated challenges, and approaches to addressing the problem using evolutionary and memetic computing.

Portfolio Selection

Author : Harry Markowitz
Publisher : Yale University Press
ISBN 13 : 0300013728
Total Pages : 369 pages
Book Rating : 4.3/5 ( download)

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Book Synopsis Portfolio Selection by : Harry Markowitz

Download or read book Portfolio Selection written by Harry Markowitz and published by Yale University Press. This book was released on 2008-10-01 with total page 369 pages. Available in PDF, EPUB and Kindle. Book excerpt: Embracing finance, economics, operations research, and computers, this book applies modern techniques of analysis and computation to find combinations of securities that best meet the needs of private or institutional investors.

Online Algorithms for the Portfolio Selection Problem

Author : Robert Dochow
Publisher : Springer
ISBN 13 : 365813528X
Total Pages : 207 pages
Book Rating : 4.6/5 (581 download)

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Book Synopsis Online Algorithms for the Portfolio Selection Problem by : Robert Dochow

Download or read book Online Algorithms for the Portfolio Selection Problem written by Robert Dochow and published by Springer. This book was released on 2016-05-24 with total page 207 pages. Available in PDF, EPUB and Kindle. Book excerpt: Robert Dochow mathematically derives a simplified classification structure of selected types of the portfolio selection problem. He proposes two new competitive online algorithms with risk management, which he evaluates analytically. The author empirically evaluates online algorithms by a comprehensive statistical analysis. Concrete results are that follow-the-loser algorithms show the most promising performance when the objective is the maximization of return on investment and risk-adjusted performance. In addition, when the objective is the minimization of risk, the two new algorithms with risk management show excellent performance. A prototype of a software tool for automated evaluation of algorithms for portfolio selection is given.

The Kelly Capital Growth Investment Criterion

Author : Leonard C. MacLean
Publisher : World Scientific
ISBN 13 : 9814293490
Total Pages : 883 pages
Book Rating : 4.8/5 (142 download)

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Book Synopsis The Kelly Capital Growth Investment Criterion by : Leonard C. MacLean

Download or read book The Kelly Capital Growth Investment Criterion written by Leonard C. MacLean and published by World Scientific. This book was released on 2011 with total page 883 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume provides the definitive treatment of fortune's formula or the Kelly capital growth criterion as it is often called. The strategy is to maximize long run wealth of the investor by maximizing the period by period expected utility of wealth with a logarithmic utility function. Mathematical theorems show that only the log utility function maximizes asymptotic long run wealth and minimizes the expected time to arbitrary large goals. In general, the strategy is risky in the short term but as the number of bets increase, the Kelly bettor's wealth tends to be much larger than those with essentially different strategies. So most of the time, the Kelly bettor will have much more wealth than these other bettors but the Kelly strategy can lead to considerable losses a small percent of the time. There are ways to reduce this risk at the cost of lower expected final wealth using fractional Kelly strategies that blend the Kelly suggested wager with cash. The various classic reprinted papers and the new ones written specifically for this volume cover various aspects of the theory and practice of dynamic investing. Good and bad properties are discussed, as are fixed-mix and volatility induced growth strategies. The relationships with utility theory and the use of these ideas by great investors are featured.

Handbook of Research on Applied AI for International Business and Marketing Applications

Author : Christiansen, Bryan
Publisher : IGI Global
ISBN 13 : 1799850781
Total Pages : 702 pages
Book Rating : 4.7/5 (998 download)

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Book Synopsis Handbook of Research on Applied AI for International Business and Marketing Applications by : Christiansen, Bryan

Download or read book Handbook of Research on Applied AI for International Business and Marketing Applications written by Christiansen, Bryan and published by IGI Global. This book was released on 2020-09-25 with total page 702 pages. Available in PDF, EPUB and Kindle. Book excerpt: Artificial intelligence (AI) describes machines/computers that mimic cognitive functions that humans associate with other human minds, such as learning and problem solving. As businesses have evolved to include more automation of processes, it has become more vital to understand AI and its various applications. Additionally, it is important for workers in the marketing industry to understand how to coincide with and utilize these techniques to enhance and make their work more efficient. The Handbook of Research on Applied AI for International Business and Marketing Applications is a critical scholarly publication that provides comprehensive research on artificial intelligence applications within the context of international business. Highlighting a wide range of topics such as diversification, risk management, and artificial intelligence, this book is ideal for marketers, business professionals, academicians, practitioners, researchers, and students.

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.

Alternative Decision-Making Models for Financial Portfolio Management: Emerging Research and Opportunities

Author : Spaseski, Narela
Publisher : IGI Global
ISBN 13 : 1522532609
Total Pages : 345 pages
Book Rating : 4.5/5 (225 download)

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Book Synopsis Alternative Decision-Making Models for Financial Portfolio Management: Emerging Research and Opportunities by : Spaseski, Narela

Download or read book Alternative Decision-Making Models for Financial Portfolio Management: Emerging Research and Opportunities written by Spaseski, Narela and published by IGI Global. This book was released on 2017-08-11 with total page 345 pages. Available in PDF, EPUB and Kindle. Book excerpt: Economics is an integral aspect to every successful society, yet basic financial practices have gone unchanged for decades. Analyzing unconventional finance methods can provide new ways to ensure personal financial futures on an individual level, as well as boosting international economies. Alternative Decision-Making Models for Financial Portfolio Management: Emerging Research and Opportunities is an essential reference source that discusses methods and techniques that make financial administration more efficient for professionals in economic fields. Featuring relevant topics such as mean-variance portfolio theory, decision tree analysis, risk protection strategies, and asset-liability management, this publication is ideal for academicians, students, economists, and researchers that would like to stay current on new and innovative methods to transform the financial realm.

Machine Learning for Financial Engineering

Author : György Ottucsák
Publisher : World Scientific
ISBN 13 : 1848168136
Total Pages : 261 pages
Book Rating : 4.8/5 (481 download)

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Book Synopsis Machine Learning for Financial Engineering by : György Ottucsák

Download or read book Machine Learning for Financial Engineering written by György Ottucsák and published by World Scientific. This book was released on 2012 with total page 261 pages. Available in PDF, EPUB and Kindle. Book excerpt: Preface v 1 On the History of the Growth-Optimal Portfolio M.M. Christensen 1 2 Empirical Log-Optimal Portfolio Selections: A Survey L. Györfi Gy. Ottucsáak A. Urbán 81 3 Log-Optimal Portfolio-Selection Strategies with Proportional Transaction Costs L. Györfi H. Walk 119 4 Growth-Optimal Portfoho Selection with Short Selling and Leverage M. Horváth A. Urbán 153 5 Nonparametric Sequential Prediction of Stationary Time Series L. Györfi Gy. Ottucsák 179 6 Empirical Pricing American Put Options L. Györfi A. Telcs 227 Index 249.

Fat-Tailed and Skewed Asset Return Distributions

Author : Svetlozar T. Rachev
Publisher : John Wiley & Sons
ISBN 13 : 0471758906
Total Pages : 385 pages
Book Rating : 4.4/5 (717 download)

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Book Synopsis Fat-Tailed and Skewed Asset Return Distributions by : Svetlozar T. Rachev

Download or read book Fat-Tailed and Skewed Asset Return Distributions written by Svetlozar T. Rachev and published by John Wiley & Sons. This book was released on 2005-09-15 with total page 385 pages. Available in PDF, EPUB and Kindle. Book excerpt: While mainstream financial theories and applications assume that asset returns are normally distributed, overwhelming empirical evidence shows otherwise. Yet many professionals don’t appreciate the highly statistical models that take this empirical evidence into consideration. Fat-Tailed and Skewed Asset Return Distributions examines this dilemma and offers readers a less technical look at how portfolio selection, risk management, and option pricing modeling should and can be undertaken when the assumption of a non-normal distribution for asset returns is violated. Topics covered in this comprehensive book include an extensive discussion of probability distributions, estimating probability distributions, portfolio selection, alternative risk measures, and much more. Fat-Tailed and Skewed Asset Return Distributions provides a bridge between the highly technical theory of statistical distributional analysis, stochastic processes, and econometrics of financial returns and real-world risk management and investments.

Financial Markets, Banking, and Monetary Policy

Author : Thomas D. Simpson
Publisher : John Wiley & Sons
ISBN 13 : 1118872231
Total Pages : 384 pages
Book Rating : 4.1/5 (188 download)

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Book Synopsis Financial Markets, Banking, and Monetary Policy by : Thomas D. Simpson

Download or read book Financial Markets, Banking, and Monetary Policy written by Thomas D. Simpson and published by John Wiley & Sons. This book was released on 2014-08-04 with total page 384 pages. Available in PDF, EPUB and Kindle. Book excerpt: An essential resource for understanding complex modern financial markets, monetary policy, and banking systems The international economic environment has evolved to the point that what constitutes money is not always clear-cut, and monetary aggregates are undependable as guides to overall policy. Central banks have had to turn to very different tactics in order to achieve their stated policy goals. In this in-depth resource, Thomas D. Simpson—a former official with the Federal Reserve System—introduces a new approach to both monetary policy and the overall financial system. Financial Markets, Banking, and Monetary Policy highlights the role of each major financial market and institution and shows how they've become a part of the overall financial system. The book also describes the important features of central banks—along with their responsibility for achieving specific macroeconomic objectives—and reveals how they pursue goals for inflation, employment, and the economy. While highlighting the United States system, Simpson's comprehensive view of banking and monetary policy is equally applicable to the financial systems and economies of other developed nations. This reliable resource is solidly grounded in economic principles and on the key term structure of interest rate relationships. Simpson explores how the term structure relationship plays a central role in the conduct of monetary policy and outlines a framework for understanding financial crises and the systemic risk faced by modern economies. The book explains in detail the evolving integration of central banks' various methods for conducting monetary and financial stability policies. Filled with illustrative examples and charts, this resource delves into the interconnection between financial markets and institutions, monetary policy, and performance of the economy. An indispensible resource for both professionals and students of finance and economics, Financial Markets, Banking, and Monetary Policy offers a clear understanding of Simpson's term structure relationship and how it works throughout the financial system.

Mean-Variance Analysis in Portfolio Choice and Capital Markets

Author : Harry M. Markowitz
Publisher : John Wiley & Sons
ISBN 13 : 9781883249755
Total Pages : 404 pages
Book Rating : 4.2/5 (497 download)

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Book Synopsis Mean-Variance Analysis in Portfolio Choice and Capital Markets by : Harry M. Markowitz

Download or read book Mean-Variance Analysis in Portfolio Choice and Capital Markets written by Harry M. Markowitz and published by John Wiley & Sons. This book was released on 2000-02-15 with total page 404 pages. Available in PDF, EPUB and Kindle. Book excerpt: In 1952, Harry Markowitz published "Portfolio Selection," a paper which revolutionized modern investment theory and practice. The paper proposed that, in selecting investments, the investor should consider both expected return and variability of return on the portfolio as a whole. Portfolios that minimized variance for a given expected return were demonstrated to be the most efficient. Markowitz formulated the full solution of the general mean-variance efficient set problem in 1956 and presented it in the appendix to his 1959 book, Portfolio Selection. Though certain special cases of the general model have become widely known, both in academia and among managers of large institutional portfolios, the characteristics of the general solution were not presented in finance books for students at any level. And although the results of the general solution are used in a few advanced portfolio optimization programs, the solution to the general problem should not be seen merely as a computing procedure. It is a body of propositions and formulas concerning the shapes and properties of mean-variance efficient sets with implications for financial theory and practice beyond those of widely known cases. The purpose of the present book, originally published in 1987, is to present a comprehensive and accessible account of the general mean-variance portfolio analysis, and to illustrate its usefulness in the practice of portfolio management and the theory of capital markets. The portfolio selection program in Part IV of the 1987 edition has been updated and contains exercises and solutions.

The Theory and Practice of Investment Management

Author : Frank J. Fabozzi
Publisher : John Wiley & Sons
ISBN 13 : 1118067568
Total Pages : 708 pages
Book Rating : 4.1/5 (18 download)

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Book Synopsis The Theory and Practice of Investment Management by : Frank J. Fabozzi

Download or read book The Theory and Practice of Investment Management written by Frank J. Fabozzi and published by John Wiley & Sons. This book was released on 2011-04-18 with total page 708 pages. Available in PDF, EPUB and Kindle. Book excerpt: An updated guide to the theory and practice of investment management Many books focus on the theory of investment management and leave the details of the implementation of the theory up to you. This book illustrates how theory is applied in practice while stressing the importance of the portfolio construction process. The Second Edition of The Theory and Practice of Investment Management is the ultimate guide to understanding the various aspects of investment management and investment vehicles. Tying together theoretical advances in investment management with actual practical applications, this book gives you a unique opportunity to use proven investment management techniques to protect and grow a portfolio under many different circumstances. Contains new material on the latest tools and strategies for both equity and fixed income portfolio management Includes key take-aways as well as study questions at the conclusion of each chapter A timely updated guide to an important topic in today's investment world This comprehensive investment management resource combines real-world financial knowledge with investment management theory to provide you with the practical guidance needed to succeed within the investment management arena.

Optimal Portfolios

Author : Ralf Korn
Publisher : World Scientific
ISBN 13 : 9812385347
Total Pages : 352 pages
Book Rating : 4.8/5 (123 download)

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Book Synopsis Optimal Portfolios by : Ralf Korn

Download or read book Optimal Portfolios written by Ralf Korn and published by World Scientific. This book was released on 1997 with total page 352 pages. Available in PDF, EPUB and Kindle. Book excerpt: The focus of the book is the construction of optimal investment strategies in a security market model where the prices follow diffusion processes. It begins by presenting the complete Black-Scholes type model and then moves on to incomplete models and models including constraints and transaction costs. The models and methods presented will include the stochastic control method of Merton, the martingale method of Cox-Huang and Karatzas et al., the log optimal method of Cover and Jamshidian, the value-preserving model of Hellwig etc.

Investors and Markets

Author : William F. Sharpe
Publisher : Princeton University Press
ISBN 13 : 0691138508
Total Pages : 231 pages
Book Rating : 4.6/5 (911 download)

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Book Synopsis Investors and Markets by : William F. Sharpe

Download or read book Investors and Markets written by William F. Sharpe and published by Princeton University Press. This book was released on 2008-07 with total page 231 pages. Available in PDF, EPUB and Kindle. Book excerpt: "Nobel Prize-winning financial economist William Sharpe shows that investment professionals cannot make good portfolio choices unless they understand the determinants of asset prices." -- Provided by publisher.

Knowledge Science, Engineering and Management

Author : Gang Li
Publisher : Springer Nature
ISBN 13 : 3030553930
Total Pages : 495 pages
Book Rating : 4.0/5 (35 download)

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Book Synopsis Knowledge Science, Engineering and Management by : Gang Li

Download or read book Knowledge Science, Engineering and Management written by Gang Li and published by Springer Nature. This book was released on 2020-08-20 with total page 495 pages. Available in PDF, EPUB and Kindle. Book excerpt: This two-volume set of LNAI 12274 and LNAI 12275 constitutes the refereed proceedings of the 13th International Conference on Knowledge Science, Engineering and Management, KSEM 2020, held in Hangzhou, China, in August 2020.* The 58 revised full papers and 27 short papers were carefully reviewed and selected from 291 submissions. The papers of the first volume are organized in the following topical sections: knowledge graph; knowledge representation; knowledge management for education; knowledge-based systems; and data processing and mining. The papers of the second volume are organized in the following topical sections: machine learning; recommendation algorithms and systems; social knowledge analysis and management; text mining and document analysis; and deep learning. *The conference was held virtually due to the COVID-19 pandemic.