Online Algorithms for the Portfolio Selection Problem
ISBN:
978-3-658-13527-0
Auflage:
1st ed. 2016
Verlag:
Springer Fachmedien Wiesbaden GmbH, Springer Gabler
Land des Verlags:
Deutschland
Erscheinungsdatum:
02.06.2016
Format:
Softcover
Seitenanzahl:
185
Lieferung in 5-10 Werktagen
Versandkostenfrei ab 40 Euro in Österreich
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.
Schlagwörter
Biografische Anmerkung
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.
