Online Algorithms for the Portfolio Selection Problem - Brossura

Dochow, Robert

Brossura

ISBN 10: 3658135271 ISBN 13: 9783658135270

Casa editrice: Springer Gabler, 2016

Riassunto

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. 

Su questo libro

Informazioni sull'autore

Dr. Robert Dochow completed his dissertation under the supervision of Prof. Dr. Günter Schmidt at the Chair of Operations Research and Business Informatics of Saarland University, Saarbrücken, Germany. 

Dalla quarta di copertina

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.

Contents

 Performance Evaluation

 Selected Algorithms from the Literature

 Proposed Algorithms with Risk Management

 Empirical Testing of Algorithms  A Software Tool for Testing

Target Groups

 Scientists and students from the fields of finance, operations research, and machine learning

 Practitioners in banks and insurance companies, traders and brokers

The Author

Dr. Robert Dochow completed his dissertation under the supervision of Prof. Dr. Günter Schmidt at the Chair of Operations Research and Business Informatics of Saarland University, Saarbrücken, Germany.

Dettagli dell'edizione

• Editore: Springer Gabler
• Data di pubblicazione: 2016
• Lingua: Inglese
• ISBN 10: 3658135271
• ISBN 13: 9783658135270
• Rilegatura: Copertina flessibile
• Numero edizione: 1
• Numero di pagine: 212
• Contatto del produttore: GPSR Kontakt; ProductSafety@springernature.com; ; Slevogtstraße 3-5; Heidelberg; 69126; Germania