Online Algorithms for the Portfolio Selection Problem

✍ Scribed by Robert Dochow (auth.)

• Publisher: Gabler Verlag
• Year: 2016
• Tongue: English
• Leaves: 207
• Edition: 1
• Category: Library

✦ Synopsis

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.

✦ Table of Contents

Front Matter....Pages I-XXVI
Introduction....Pages 1-7
Portfolio Selection Problems....Pages 9-43
Performance Evaluation....Pages 45-77
Selected Algorithms from the Literature....Pages 79-108
Proposed Algorithms with Risk Management....Pages 109-126
Empirical Testing of Algorithms....Pages 127-152
A Software Tool for Testing Algorithms....Pages 153-161
Conclusions and Future Work....Pages 163-167
Back Matter....Pages 169-185

✦ Subjects

Economic Theory/Quantitative Economics/Mathematical Methods; Operation Research/Decision Theory; Investments and Securities