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Online Algorithms for the Portfolio Selection Problem

DOCHOW, Robert - Personal Name;

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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Detail Information
Series Title
-
Call Number
-
Publisher
Fachmedien Wiesbaden : Springer Gabler Wiesbaden., 2016
Collation
XXVI, 185
Language
English
ISBN/ISSN
978-3-658-13528-7
Classification
NONE
Content Type
text
Media Type
computer
Carrier Type
online resource
Edition
1
Subject(s)
Quantitative Economics, Operations Research and
Decision Theory, Financial Services
Specific Detail Info
-
Statement of Responsibility
Robert Dochow
Other Information
Cataloger
LINDA
Source
-
Validator
Taufik
Other version/related

No other version available

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  • Online Algorithms for the Portfolio Selection Problem
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