Online Portfolio Selection

Author : Bin Li,Steven Chu Hong Hoi
Publisher : CRC Press
Page : 212 pages
File Size : 42,9 Mb
Release : 2018-10-30
Category : Business & Economics
ISBN : 9781482249644

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Online Portfolio Selection by Bin Li,Steven Chu Hong Hoi Pdf

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.

Author : Robert Dochow
Publisher : Springer
Page : 185 pages
File Size : 46,9 Mb
Release : 2016-05-24
Category : Business & Economics
ISBN : 9783658135287

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Online Algorithms for the Portfolio Selection Problem by Robert Dochow Pdf

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.

Author : Bin Li,Steven Hoi
Publisher : Unknown
Page : 212 pages
File Size : 47,6 Mb
Release : 2018
Category : Electronic
ISBN : OCLC:1103592813

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Online Portfolio Selection by Bin Li,Steven Hoi Pdf

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.

Author : Shouyang Wang,Yusen Xia
Publisher : Springer Science & Business Media
Page : 200 pages
File Size : 50,5 Mb
Release : 2012-12-06
Category : Business & Economics
ISBN : 9783642559341

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Portfolio Selection and Asset Pricing by Shouyang Wang,Yusen Xia Pdf

In our daily life, almost every family owns a portfolio of assets. This portfolio could contain real assets such as a car, or a house, as well as financial assets such as stocks, bonds or futures. Portfolio theory deals with how to form a satisfied portfolio among an enormous number of assets. Originally proposed by H. Markowtiz in 1952, the mean-variance methodology for portfolio optimization has been central to the research activities in this area and has served as a basis for the development of modem financial theory during the past four decades. Follow-on work with this approach has born much fruit for this field of study. Among all those research fruits, the most important is the capital asset pricing model (CAPM) proposed by Sharpe in 1964. This model greatly simplifies the input for portfolio selection and makes the mean-variance methodology into a practical application. Consequently, lots of models were proposed to price the capital assets. In this book, some of the most important progresses in portfolio theory are surveyed and a few new models for portfolio selection are presented. Models for asset pricing are illustrated and the empirical tests of CAPM for China's stock markets are made. The first chapter surveys ideas and principles of modeling the investment decision process of economic agents. It starts with the Markowitz criteria of formulating return and risk as mean and variance and then looks into other related criteria which are based on probability assumptions on future prices of securities.

Author : Burcu Adıgüzel Mercangöz
Publisher : Springer Nature
Page : 355 pages
File Size : 42,7 Mb
Release : 2021-05-13
Category : Business & Economics
ISBN : 9783030702816

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Applying Particle Swarm Optimization by Burcu Adıgüzel Mercangöz Pdf

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.

Author : Harry Markowitz
Publisher : Yale University Press
Page : 369 pages
File Size : 49,6 Mb
Release : 2008-10-01
Category : Business & Economics
ISBN : 9780300013726

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Portfolio Selection by Harry Markowitz Pdf

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.

Author : Harry M. Markowitz,G. Peter Todd
Publisher : John Wiley & Sons
Page : 404 pages
File Size : 47,5 Mb
Release : 2000-02-15
Category : Business & Economics
ISBN : 1883249759

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Mean-Variance Analysis in Portfolio Choice and Capital Markets by Harry M. Markowitz,G. Peter Todd Pdf

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.

Author : Svetlozar T. Rachev,Christian Menn,Frank J. Fabozzi
Publisher : John Wiley & Sons
Page : 385 pages
File Size : 46,5 Mb
Release : 2005-09-15
Category : Business & Economics
ISBN : 9780471758907

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Fat-Tailed and Skewed Asset Return Distributions by Svetlozar T. Rachev,Christian Menn,Frank J. Fabozzi Pdf

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.

Author : Hiroshi Motoda,Zhaohui Wu,Longbing Cao,Osmar Zaiane,Min Yao,Wei Wang
Publisher : Springer
Page : 538 pages
File Size : 53,9 Mb
Release : 2013-12-16
Category : Computers
ISBN : 9783642539176

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Advanced Data Mining and Applications by Hiroshi Motoda,Zhaohui Wu,Longbing Cao,Osmar Zaiane,Min Yao,Wei Wang Pdf

The two-volume set LNAI 8346 and 8347 constitutes the thoroughly refereed proceedings of the 9th International Conference on Advanced Data Mining and Applications, ADMA 2013, held in Hangzhou, China, in December 2013. The 32 regular papers and 64 short papers presented in these two volumes were carefully reviewed and selected from 222 submissions. The papers included in these two volumes cover the following topics: opinion mining, behavior mining, data stream mining, sequential data mining, web mining, image mining, text mining, social network mining, classification, clustering, association rule mining, pattern mining, regression, predication, feature extraction, identification, privacy preservation, applications, and machine learning.

Author : Danai Koutra,Claudia Plant,Manuel Gomez Rodriguez,Elena Baralis,Francesco Bonchi
Publisher : Springer Nature
Page : 506 pages
File Size : 49,7 Mb
Release : 2023-09-17
Category : Computers
ISBN : 9783031434242

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Machine Learning and Knowledge Discovery in Databases: Research Track by Danai Koutra,Claudia Plant,Manuel Gomez Rodriguez,Elena Baralis,Francesco Bonchi Pdf

The multi-volume set LNAI 14169 until 14175 constitutes the refereed proceedings of the European Conference on Machine Learning and Knowledge Discovery in Databases, ECML PKDD 2023, which took place in Turin, Italy, in September 2023. The 196 papers were selected from the 829 submissions for the Research Track, and 58 papers were selected from the 239 submissions for the Applied Data Science Track. The volumes are organized in topical sections as follows: Part I: Active Learning; Adversarial Machine Learning; Anomaly Detection; Applications; Bayesian Methods; Causality; Clustering. Part II: ​Computer Vision; Deep Learning; Fairness; Federated Learning; Few-shot learning; Generative Models; Graph Contrastive Learning. Part III: ​Graph Neural Networks; Graphs; Interpretability; Knowledge Graphs; Large-scale Learning. Part IV: ​Natural Language Processing; Neuro/Symbolic Learning; Optimization; Recommender Systems; Reinforcement Learning; Representation Learning. Part V: ​Robustness; Time Series; Transfer and Multitask Learning. Part VI: ​Applied Machine Learning; Computational Social Sciences; Finance; Hardware and Systems; Healthcare & Bioinformatics; Human-Computer Interaction; Recommendation and Information Retrieval. ​Part VII: Sustainability, Climate, and Environment.- Transportation & Urban Planning.- Demo.

Author : Allan Borodin,Ran El-Yaniv
Publisher : Cambridge University Press
Page : 440 pages
File Size : 52,9 Mb
Release : 2005-02-17
Category : Computers
ISBN : 0521619467

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Online Computation and Competitive Analysis by Allan Borodin,Ran El-Yaniv Pdf

Contains theoretical foundations, applications, and examples of competitive analysis for online algorithms.

Author : Geoffrey P. E. Clarkson
Publisher : Unknown
Page : 168 pages
File Size : 42,8 Mb
Release : 1962
Category : Business & Economics
ISBN : UOM:39015035120586

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Portfolio Selection by Geoffrey P. E. Clarkson Pdf

Author : Gang Li,Heng Tao Shen,Ye Yuan,Xiaoyang Wang,Huawen Liu,Xiang Zhao
Publisher : Springer Nature
Page : 495 pages
File Size : 43,8 Mb
Release : 2020-08-20
Category : Computers
ISBN : 9783030553937

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Knowledge Science, Engineering and Management by Gang Li,Heng Tao Shen,Ye Yuan,Xiaoyang Wang,Huawen Liu,Xiang Zhao Pdf

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.

Author : Sachiyo Arai,Kazuhiro Kojima,Koji Mineshima,Daisuke Bekki,Ken Satoh,Yuiko Ohta
Publisher : Springer
Page : 425 pages
File Size : 53,5 Mb
Release : 2018-06-29
Category : Computers
ISBN : 9783319937946

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New Frontiers in Artificial Intelligence by Sachiyo Arai,Kazuhiro Kojima,Koji Mineshima,Daisuke Bekki,Ken Satoh,Yuiko Ohta Pdf

This book constitutes extended, revised and selected papers from the 9th International Symposium of Artificial Intelligence supported by the Japanese Society for Artificial Intelligence, JSAI-isAI 2017. It was held in November 2017 in Tokyo, Japan. The 22 papers were carefully selected from 109 submissions and are organized in sections on juris-informatics, skill science, artificial intelligence of and for business, logic and engineering of natural language semantics, argument for agreement and assurance, scientific document analysis, knowledge explication for industry.

Author : Selçuk Candan,Lei Chen,Torben Bach Pedersen,Lijun Chang,Wen Hua
Publisher : Springer
Page : 684 pages
File Size : 40,8 Mb
Release : 2017-03-20
Category : Computers
ISBN : 9783319556994

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Database Systems for Advanced Applications by Selçuk Candan,Lei Chen,Torben Bach Pedersen,Lijun Chang,Wen Hua Pdf

This two volume set LNCS 10177 and 10178 constitutes the refereed proceedings of the 22nd International Conference on Database Systems for Advanced Applications, DASFAA 2017, held in Suzhou, China, in March 2017. The 73 full papers, 9 industry papers, 4 demo papers and 3 tutorials were carefully selected from a total of 300 submissions. The papers are organized around the following topics: semantic web and knowledge management; indexing and distributed systems; network embedding; trajectory and time series data processing; data mining; query processing and optimization; text mining; recommendation; security, privacy, senor and cloud; social network analytics; map matching and spatial keywords; query processing and optimization; search and information retrieval; string and sequence processing; stream date processing; graph and network data processing; spatial databases; real time data processing; big data; social networks and graphs.