Log in

Relevant bibliographies by topics / Portfolio selection optimization

Contents

Journal articles
Dissertations / Theses
Books
Book chapters
Conference papers

Academic literature on the topic 'Portfolio selection optimization'

Author: Grafiati

Published: 4 September 2021

Last updated: 1 February 2022

Create a spot-on reference in APA, MLA, Chicago, Harvard, and other styles

Select a source type:

Consult the lists of relevant articles, books, theses, conference reports, and other scholarly sources on the topic 'Portfolio selection optimization.'

Next to every source in the list of references, there is an 'Add to bibliography' button. Press on it, and we will generate automatically the bibliographic reference to the chosen work in the citation style you need: APA, MLA, Harvard, Chicago, Vancouver, etc.

You can also download the full text of the academic publication as pdf and read online its abstract whenever available in the metadata.

Journal articles on the topic "Portfolio selection optimization"

1

Mercurio, Peter Joseph, Yuehua Wu, and Hong Xie. "Option Portfolio Selection with Generalized Entropic Portfolio Optimization." Entropy 22, no. 8 (2020): 805. http://dx.doi.org/10.3390/e22080805.

Full text

Abstract:

In this third and final paper of our series on the topic of portfolio optimization, we introduce a further generalized portfolio selection method called generalized entropic portfolio optimization (GEPO). GEPO extends discrete entropic portfolio optimization (DEPO) to include intervals of continuous returns, with direct application to a wide range of option strategies. This lays the groundwork for an adaptable optimization framework that can accommodate a wealth of option portfolios, including popular strategies such as covered calls, married puts, credit spreads, straddles, strangles, butterf

APA, Harvard, Vancouver, ISO, and other styles

2

Berger, Theo, and Christian Fieberg. "On portfolio optimization." Journal of Risk Finance 17, no. 3 (2016): 295–309. http://dx.doi.org/10.1108/jrf-09-2015-0094.

Full text

Abstract:

Purpose The purpose of this paper is to show how investors can incorporate the multi-scale nature of asset and factor returns into their portfolio decisions and to evaluate the out-of-sample performance of such strategies. Design/methodology/approach The authors decompose daily return series of common risk factors and of all stocks listed in the Dow Jones Industrial Index (DJI) from 2000 to 2015 into different time scales to separate short-term noise from long-run trends. Then, the authors apply various (multi-scale) factor models to determine variance-covariance matrices which are used for mi

APA, Harvard, Vancouver, ISO, and other styles

3

Glensk, Barbara, and Reinhard Madlener. "Fuzzy Portfolio Optimization of Power Generation Assets." Energies 11, no. 11 (2018): 3043. http://dx.doi.org/10.3390/en11113043.

Full text

Abstract:

Fuzzy theory is proposed as an alternative to the probabilistic approach for assessing portfolios of power plants, in order to capture the complex reality of decision-making processes. This paper presents different fuzzy portfolio selection models, where the rate of returns as well as the investor’s aspiration levels of portfolio return and risk are regarded as fuzzy variables. Furthermore, portfolio risk is defined as a downside risk, which is why a semi-mean-absolute deviation portfolio selection model is introduced. Finally, as an illustration, the models presented are applied to a selectio

APA, Harvard, Vancouver, ISO, and other styles

4

Kim, Namhyoung, and Suvrit Sra. "Portfolio Optimization with Groupwise Selection." Industrial Engineering and Management Systems 13, no. 4 (2014): 442–48. http://dx.doi.org/10.7232/iems.2014.13.4.442.

Full text

APA, Harvard, Vancouver, ISO, and other styles

5

Nystrup, Peter, Erik Lindström, and Henrik Madsen. "Hyperparameter Optimization for Portfolio Selection." Journal of Financial Data Science 2, no. 3 (2020): 40–54. http://dx.doi.org/10.3905/jfds.2020.1.035.

Full text

APA, Harvard, Vancouver, ISO, and other styles

6

Bjerring, Thomas Trier, Omri Ross, and Alex Weissensteiner. "Feature selection for portfolio optimization." Annals of Operations Research 256, no. 1 (2016): 21–40. http://dx.doi.org/10.1007/s10479-016-2155-y.

Full text

APA, Harvard, Vancouver, ISO, and other styles

7

Jena, R. K. "Extended Mean - Variance Portfolio Optimization Model: A Comparative Study Among Swarm Intelligence Algorithms." International Journal of Accounting and Financial Reporting 9, no. 2 (2019): 184. http://dx.doi.org/10.5296/ijafr.v9i2.14601.

Full text

Abstract:

Portfolio optimization is one of the important issues in the effective management of investment. There is plenty of research in the literature addressing these issues. Markowitz’s primary portfolio selection model is a more suitable method to solve the model for obtaining fairly optimum portfolios. But, the problem of portfolio optimization is multi-objective in nature that aims at simultaneously maximizing the expected return of the portfolio and minimizing portfolio risk. The computational complexity increases with an increase in the total number of available assets. Therefore heuristic meth

APA, Harvard, Vancouver, ISO, and other styles

8

Mercurio, Peter Joseph, Yuehua Wu, and Hong Xie. "Portfolio Optimization for Binary Options Based on Relative Entropy." Entropy 22, no. 7 (2020): 752. http://dx.doi.org/10.3390/e22070752.

Full text

Abstract:

The portfolio optimization problem generally refers to creating an investment portfolio or asset allocation that achieves an optimal balance of expected risk and return. These portfolio returns are traditionally assumed to be continuous random variables. In An Entropy-Based Approach to Portfolio Optimization, we introduced a novel non-parametric optimization method based on Shannon entropy, called return-entropy portfolio optimization (REPO), which offers a simple and fast optimization algorithm for assets with continuous returns. Here, in this paper, we would like to extend the REPO approach

APA, Harvard, Vancouver, ISO, and other styles

9

Li, Longqing. "Simulation-Based Optimal Portfolio Selection Strategy—Evidence from Asian Markets." Applied Economics and Finance 5, no. 5 (2018): 1. http://dx.doi.org/10.11114/aef.v5i4.3376.

Full text

Abstract:

Recently portfolio optimization has become widely popular in risk management, and the common practice is to use mean-variance or Value-at-Risk (VaR), despite the VaR being incoherent risk measure because of the lack of subadditivity. This has led to the emergence of the conditional value-at-risk (CVaR) approach, consequently, a gradual development of mean-CVaR portfolio optimization. To seek an optimal portfolio selection strategy and increase the robustness of the result, the paper studies the performance of portfolio optimization in Asian markets using a Monte-Carlo simulation tool, creates

APA, Harvard, Vancouver, ISO, and other styles

10

Li, Longqing. "Simulation-Based Optimal Portfolio Selection Strategy—Evidence from Asian Markets." Applied Economics and Finance 5, no. 5 (2018): 1. http://dx.doi.org/10.11114/aef.v5i5.3376.

Full text

Abstract:

Recently portfolio optimization has become widely popular in risk management, and the common practice is to use mean-variance or Value-at-Risk (VaR), despite the VaR being incoherent risk measure because of the lack of subadditivity. This has led to the emergence of the conditional value-at-risk (CVaR) approach, consequently, a gradual development of mean-CVaR portfolio optimization. To seek an optimal portfolio selection strategy and increase the robustness of the result, the paper studies the performance of portfolio optimization in Asian markets using a Monte-Carlo simulation tool, creates

APA, Harvard, Vancouver, ISO, and other styles

Dissertations / Theses on the topic "Portfolio selection optimization"

1

Puhle, Michael. "Bond portfolio optimization." Berlin Heidelberg Springer, 2007. http://d-nb.info/985928115/04.

Full text

APA, Harvard, Vancouver, ISO, and other styles

2

Müller, Stephan. "Constrained portfolio optimization /." [S.l.] : [s.n.], 2005. http://aleph.unisg.ch/hsgscan/hm00133325.pdf.

Full text

APA, Harvard, Vancouver, ISO, and other styles

3

SCHLITTLER, JOAO GABRIEL FELIZARDO S. "PORTFOLIO SELECTION VIA DATA-DRIVEN DISTRIBUTIONALLY ROBUST OPTIMIZATION." PONTIFÍCIA UNIVERSIDADE CATÓLICA DO RIO DE JANEIRO, 2018. http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=36002@1.

Full text

Abstract:

PONTIFÍCIA UNIVERSIDADE CATÓLICA DO RIO DE JANEIRO<br>COORDENAÇÃO DE APERFEIÇOAMENTO DO PESSOAL DE ENSINO SUPERIOR<br>PROGRAMA DE SUPORTE À PÓS-GRADUAÇÃO DE INSTS. DE ENSINO<br>PROGRAMA DE EXCELENCIA ACADEMICA<br>Otimização de portfólio tradicionalmente assume ter conhecimento da distribuição de probabilidade dos retornos ou pelo menos algum dos seus momentos. No entanto, é sabido que a distribuição de probabilidade dos retornos muda com frequência ao longo do tempo, tornando difícil a utilização prática de modelos puramente estatísticos, que confiam indubitavelmente em uma distribuição estima

APA, Harvard, Vancouver, ISO, and other styles

4

Potaptchik, Marina. "Portfolio Selection Under Nonsmooth Convex Transaction Costs." Thesis, University of Waterloo, 2006. http://hdl.handle.net/10012/2940.

Full text

Abstract:

We consider a portfolio selection problem in the presence of transaction costs. Transaction costs on each asset are assumed to be a convex function of the amount sold or bought. This function can be nondifferentiable in a finite number of points. The objective function of this problem is a sum of a convex twice differentiable function and a separable convex nondifferentiable function. We first consider the problem in the presence of linear constraints and later generalize the results to the case when the constraints are given by the convex piece-wise linear functions. <br /><br /

APA, Harvard, Vancouver, ISO, and other styles

5

Ferreira, Pedro Miguel Barreirão. "Diversification and portfolio selection methods." Master's thesis, Instituto Superior de Economia e Gestão, 2010. http://hdl.handle.net/10400.5/2227.

Full text

Abstract:

Mestrado em Finanças<br>This paper studies several portfolio selection methods in order to achieve higher returns and lower risk than the market. The main objective of this paper is to conclude if it is possible to achieve higher returns and lower risk than the market using only daily close stocks price data. It is important however, to know how the number of assets affects the risk of portfolio (benefits of diversification). Therefore, in the early stage, the impact of the introduction of stocks in the portfolio in terms of risk will be analyzed in order to choose a minimum number of stocks t

APA, Harvard, Vancouver, ISO, and other styles

6

Bierkamp, Nils. "Simulative portfolio optimization under distributions of hyperbolic type : methods and empirical investigation /." Aachen : Shaker, 2006. http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&doc_number=014986541&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA.

Full text

APA, Harvard, Vancouver, ISO, and other styles

7

CORREA, MARLON HENRIQUE ZAVAGLI. "STOCHASTIC OPTIMIZATION MODEL FOR PORTFOLIO SELECTION OF BRAZILIAN FIXED-INCOME SECURITIES." PONTIFÍCIA UNIVERSIDADE CATÓLICA DO RIO DE JANEIRO, 2015. http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=25294@1.

Full text

Abstract:

PONTIFÍCIA UNIVERSIDADE CATÓLICA DO RIO DE JANEIRO<br>CONSELHO NACIONAL DE DESENVOLVIMENTO CIENTÍFICO E TECNOLÓGICO<br>A seleção de um portfolio de renda fixa é um problema comumente enfrentado pelos agentes do mercado financeiro. A alocação ótima destes ativos melhora o nível de rentabilidade e lucratividade da instituição. Um dos trade-offs rotineiramente encontrado pelos gestores destas carteiras é decidir entre a compra de títulos pré-fixados e pós-fixados de curto prazo ou longo prazo, sendo que estes últimos no geral rendem mais devido ao prêmio de risco. Tais títulos, apesar de terem a

APA, Harvard, Vancouver, ISO, and other styles

8

Bade, Alexander. "Bayesian portfolio optimization from a static and dynamic perspective /." Münster : Verl.-Haus Monsenstein und Vannerdat, 2009. http://d-nb.info/996985085/04.

Full text

APA, Harvard, Vancouver, ISO, and other styles

9

Ramilton, Alan. "Should you optimize your portfolio? : On portfolio optimization: The optimized strategy versus the naïve and market strategy on the Swedish stock market." Thesis, Uppsala universitet, Företagsekonomiska institutionen, 2014. http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-218024.

Full text

Abstract:

In this paper, I evaluate the out-of-sample performance of the portfolio optimizer relative to the naïve and market strategy on the Swedish stock market from January 1998 to December 2012. Recent studies suggest that simpler strategies, such as the naïve strategy, outperforms optimized strategies and that they should be implemented in the absence of better estimation models. Of the 12 strategies I evaluate, 11 of them significantly outperform both benchmark strategies in terms of Sharpe ratio. I find that the no-short-sales constrained minimum-variance strategy is preferred over the mean-varia

APA, Harvard, Vancouver, ISO, and other styles

10

Murphy, Jonathan Rodgers. "A robust multi-objective statistical improvement approach to electric power portfolio selection." Diss., Georgia Institute of Technology, 2012. http://hdl.handle.net/1853/45946.

Full text

Abstract:

Motivated by an electric power portfolio selection problem, a sampling method is developed for simulation-based robust design that builds on existing multi-objective statistical improvement methods. It uses a Bayesian surrogate model regressed on both design and noise variables, and makes use of methods for estimating epistemic model uncertainty in environmental uncertainty metrics. Regions of the design space are sequentially sampled in a manner that balances exploration of unknown designs and exploitation of designs thought to be Pareto optimal, while regions of the noise space are sampled t

APA, Harvard, Vancouver, ISO, and other styles

Books on the topic "Portfolio selection optimization"

1

Boyle, Phelim P. Optimal portfolio selection with transaction costs. University of Toronto, Dept. of Statistics, 1994.

Find full text

APA, Harvard, Vancouver, ISO, and other styles

2

Bond Portfolio Optimization. Springer, 2008.

Find full text

APA, Harvard, Vancouver, ISO, and other styles

3

Travers, Frank J. Investment Manager Analysis: A Comprehensive Guide to Portfolio Selection, Monitoring and Optimization. Wiley & Sons, Incorporated, John, 2011.

Find full text

APA, Harvard, Vancouver, ISO, and other styles

4

Travers, Frank J. Investment Manager Analysis: A Comprehensive Guide to Portfolio Selection, Monitoring and Optimization. Wiley & Sons, Incorporated, John, 2004.

Find full text

APA, Harvard, Vancouver, ISO, and other styles

5

Investment Manager Analysis: A Comprehensive Guide to Portfolio Selection, Monitoring and Optimization (Wiley Finance). Wiley, 2004.

Find full text

APA, Harvard, Vancouver, ISO, and other styles

Book chapters on the topic "Portfolio selection optimization"

1

Pardalos, P. M. "Optimization Techniques for Portfolio Selection." In New Operational Approaches for Financial Modelling. Physica-Verlag HD, 1997. http://dx.doi.org/10.1007/978-3-642-59270-6_2.

Full text

APA, Harvard, Vancouver, ISO, and other styles

2

Kibzun, Andrey, and Riho Lepp. "Discrete Approximation in Quantile Problem of Portfolio Selection." In Applied Optimization. Springer US, 2001. http://dx.doi.org/10.1007/978-1-4757-6594-6_6.

Full text

APA, Harvard, Vancouver, ISO, and other styles

3

Majumder, Saibal, Samarjit Kar, and Tandra Pal. "Mean-Entropy Model of Uncertain Portfolio Selection Problem." In Multi-Objective Optimization. Springer Singapore, 2018. http://dx.doi.org/10.1007/978-981-13-1471-1_2.

Full text

APA, Harvard, Vancouver, ISO, and other styles

4

Vercher, Enriqueta, and José D. Bermúdez. "Fuzzy Portfolio Selection Models: A Numerical Study." In Springer Optimization and Its Applications. Springer US, 2012. http://dx.doi.org/10.1007/978-1-4614-3773-4_10.

Full text

APA, Harvard, Vancouver, ISO, and other styles

5

Hasuike, Takashi, and Hiroaki Ishii. "Mathematical Approaches for Fuzzy Portfolio Selection Problems with Normal Mixture Distributions." In Fuzzy Optimization. Springer Berlin Heidelberg, 2010. http://dx.doi.org/10.1007/978-3-642-13935-2_19.

Full text

APA, Harvard, Vancouver, ISO, and other styles

6

Coelho, Ricardo. "On Fuzzy Convex Optimization to Portfolio Selection Problem." In Soft Computing Based Optimization and Decision Models. Springer International Publishing, 2017. http://dx.doi.org/10.1007/978-3-319-64286-4_8.

Full text

APA, Harvard, Vancouver, ISO, and other styles

7

Calvo, Clara, Carlos Ivorra, and Vicente Liern. "Fuzzy Portfolio Selection Models for Dealing with Investor’s Preferences." In Soft Computing Based Optimization and Decision Models. Springer International Publishing, 2017. http://dx.doi.org/10.1007/978-3-319-64286-4_7.

Full text

APA, Harvard, Vancouver, ISO, and other styles

8

Hochreiter, Ronald. "An Evolutionary Optimization Approach to Risk Parity Portfolio Selection." In Applications of Evolutionary Computation. Springer International Publishing, 2015. http://dx.doi.org/10.1007/978-3-319-16549-3_23.

Full text

APA, Harvard, Vancouver, ISO, and other styles

9

Lai, Kin Keung, Lean Yu, Shouyang Wang, and Chengxiong Zhou. "A Double-Stage Genetic Optimization Algorithm for Portfolio Selection." In Neural Information Processing. Springer Berlin Heidelberg, 2006. http://dx.doi.org/10.1007/11893295_102.

Full text

APA, Harvard, Vancouver, ISO, and other styles

10

Niu, Ben, Ying Bi, and Ting Xie. "Structure-Redesign-Based Bacterial Foraging Optimization for Portfolio Selection." In Intelligent Computing in Bioinformatics. Springer International Publishing, 2014. http://dx.doi.org/10.1007/978-3-319-09330-7_49.

Full text

APA, Harvard, Vancouver, ISO, and other styles

Conference papers on the topic "Portfolio selection optimization"

1

Barros, Marcio de Oliveira, Hélio Rodrigues Costa, Fábio Vitorino Figueiredo, and Ana Regina Cavalcanti da Rocha. "Multiobjective optimization for project portfolio selection." In the fourteenth international conference. ACM Press, 2012. http://dx.doi.org/10.1145/2330784.2331037.

Full text

APA, Harvard, Vancouver, ISO, and other styles

2

Loukeris, N., S. Bekiros, and I. Elefhteriadis. "The Intelligent Portfolio Selection Optimization System, (IPSOS)." In 2016 7th International Conference on Information, Intelligence, Systems & Applications (IISA). IEEE, 2016. http://dx.doi.org/10.1109/iisa.2016.7785340.

Full text

APA, Harvard, Vancouver, ISO, and other styles

3

Chu-Xin, JIN, CHEN Wan-Yi, and Yu Shu-Jing. "Robust Portfolio Selection Based on Optimization Methods." In 2018 37th Chinese Control Conference (CCC). IEEE, 2018. http://dx.doi.org/10.23919/chicc.2018.8483072.

Full text

APA, Harvard, Vancouver, ISO, and other styles

4

Das, Puja, and Arindam Banerjee. "Meta optimization and its application to portfolio selection." In the 17th ACM SIGKDD international conference. ACM Press, 2011. http://dx.doi.org/10.1145/2020408.2020588.

Full text

APA, Harvard, Vancouver, ISO, and other styles

5

Zhao, Ziping, and Daniel P. Palomar. "Large-Scale Regularized Portfolio Selection Via Convex Optimization." In 2019 IEEE Global Conference on Signal and Information Processing (GlobalSIP). IEEE, 2019. http://dx.doi.org/10.1109/globalsip45357.2019.8969214.

Full text

APA, Harvard, Vancouver, ISO, and other styles

6

Xu, Fasheng, Wei Chen, and Ling Yang. "Improved Particle Swarm Optimization for Realistic Portfolio Selection." In Eighth ACIS International Conference on Software Engineering, Artificial Intelligence, Networking, and Parallel/Distributed Computing (SNPD 2007). IEEE, 2007. http://dx.doi.org/10.1109/snpd.2007.375.

Full text

APA, Harvard, Vancouver, ISO, and other styles

7

Chen, Wei, Run-tong Zhang, Yong-ming Cai, and Fa-sheng Xu. "Particle Swarm Optimization for Constrained Portfolio Selection Problems." In 2006 International Conference on Machine Learning and Cybernetics. IEEE, 2006. http://dx.doi.org/10.1109/icmlc.2006.258773.

Full text

APA, Harvard, Vancouver, ISO, and other styles

8

Lin, Yifan, Enlu Zhou, and Aly Megahed. "A Nested Simulation Optimization Approach for Portfolio Selection." In 2020 Winter Simulation Conference (WSC). IEEE, 2020. http://dx.doi.org/10.1109/wsc48552.2020.9384023.

Full text

APA, Harvard, Vancouver, ISO, and other styles

9

Tang, Wenguang, and Fenxia Zhao. "Multi-objective Programming Model for Asset Portfolio Selection." In 2011 Fourth International Joint Conference on Computational Sciences and Optimization (CSO). IEEE, 2011. http://dx.doi.org/10.1109/cso.2011.171.

Full text

APA, Harvard, Vancouver, ISO, and other styles

10

Davoudpour, Hamid, and Maryam Ashrafi. "Developing a framework for energy technology portfolio selection." In PROCEEDINGS OF THE SIXTH GLOBAL CONFERENCE ON POWER CONTROL AND OPTIMIZATION. AIP, 2012. http://dx.doi.org/10.1063/1.4769015.

Full text

APA, Harvard, Vancouver, ISO, and other styles

We offer discounts on all premium plans for authors whose works are included in thematic literature selections. Contact us to get a unique promo code!