Author: C. B. ChapmanPublisher:
ISBN:
Category :
Languages : en
Pages : 51
Book Description
Basic modular portfolio selection
Author: C. B. ChapmanModular Portfolio Selection
Author: C. B. ChapmanModular Portfolio Selection
Author: C. B. ChapmanOnline Portfolio Selection
Author: Bin LiPublisher: CRC Press
ISBN: 1482249642
Category : Business & Economics
Languages : en
Pages : 227
Book Description
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.
Portfolio Analysis
Author: John P. DickinsonPublisher: Saxon House Lexington Mass.
ISBN:
Category : Business & Economics
Languages : en
Pages : 256
Book Description
Modular Portfolio Selection
Author: C. B. ChapmanMean-Variance Analysis in Portfolio Choice and Capital Markets
Author: Harry M. MarkowitzPublisher: John Wiley & Sons
ISBN: 9781883249755
Category : Business & Economics
Languages : en
Pages : 404
Book Description
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.
Portfolio Selection
Author: Harry MarkowitzPublisher: Yale University Press
ISBN: 0300013728
Category : Business & Economics
Languages : en
Pages : 369
Book Description
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.
Advances in Neural Networks - ISNN 2008
Author: Fuchun SunPublisher: Springer Science & Business Media
ISBN: 3540877339
Category : Computers
Languages : en
Pages : 876
Book Description
(Bayreuth University, Germany), Jennie Si (Arizona State University, USA), and Hang Li (MicrosoftResearchAsia, China). Besides the regularsessions andpanels, ISNN 2008 also featured four special sessions focusing on some emerging topics.
Multicriteria Portfolio Management
Author: Panos XidonasPublisher: Springer Science & Business Media
ISBN: 1461436702
Category : Mathematics
Languages : en
Pages : 138
Book Description
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.