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Online Algorithms for the Portfolio Selection Problem - Softcover

Dochow, Robert

 
9783658135270: Online Algorithms for the Portfolio Selection Problem
Softcover
ISBN 10: 3658135271 ISBN 13: 9783658135270
Verlag: Springer Gabler, 2016

Inhaltsangabe

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. 

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Über die Autorin bzw. den Autor

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. 

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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.

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Verlag
Springer Gabler
Erscheinungsdatum
2016
Sprache
Englisch
ISBN 10 
3658135271
ISBN 13 
9783658135270
Einband
Taschenbuch
Auflage
1
Anzahl der Seiten
212
Kontakt zum Hersteller
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Deutschland

Weitere beliebte Ausgaben desselben Titels

9783658135294: Online Algorithms for the Portfolio Selection Problem

Vorgestellte Ausgabe

ISBN 10:  3658135298 ISBN 13:  9783658135294
Verlag: Springer Gabler, 2016
Softcover