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Online Algorithms for the Portfolio Selection Problem

Name: Online Algorithms for the Portfolio Selection Problem
Brand: Springer-Verlag Berlin and Heidelberg GmbH & Co. KG
SKU: 02967054
Price: 48.74 EUR
Availability: InStock
Author: Robert Dochow
ISBN: 9783658135270

Robert Dochow

Jezik

Angleščina

Knjiga Mehka

Koda Libristo: 02967054

Založba Springer-Verlag Berlin and Heidelberg GmbH & Co. KG, maj 2016

Robert Dochow mathematically derives a simplified classification structure of selected types of the... Celoten opis

Koda Libristo: 02967054

118 b

48.74 €

Na zalogi pri dobavitelju Odposlali bomo v 5-8 dneh

Do 30 dni za vračilo

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.