Online Algorithms for the Portfolio Selection Problem

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. 

List of contents

Performance Evaluation.- Selected Algorithms from the Literature.- Proposed Algorithms with Risk Management.- Empirical Testing of Algorithms.- A Software Tool for Testing.

Product details

• Authors: Robert Dochow
• Publisher: Springer, Berlin
• Languages: English
• Product format: Paperback / Softback
• Released: 02.06.2016
• EAN: 9783658135270
• ISBN: 978-3-658-13527-0
• No. of pages: 185
• Dimensions: 149 mm x 12 mm x 213 mm
• Weight: 280 g
• Illustrations: XXVI, 185 p. 16 illus.
• Subjects: Social sciences, law, business > Business > Economics; Operations Research, C, Investment Banking, Financial Services, Economics and Finance, Economic Theory, Securities, Operations Research/Decision Theory, Operations Research and Decision Theory, Management decision making, Management science, Operational research, Decision Making, Quantitative Economics, Investments and Securities, Investment & securities, Economic Theory/Quantitative Economics/Mathematical Methods