Online Algorithms for the Portfolio Selection Problem - Couverture souple

Dochow, Robert

Couverture souple

ISBN 10 : 3658135271 ISBN 13 : 9783658135270

Editeur : Springer Gabler, 2016

Synopsis

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. 

A propos du livre

À propos de l'auteur

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.

Détails de l'édition

• Éditeur: Springer Gabler
• Date d'édition: 2016
• Langue: anglais
• ISBN 10: 3658135271
• ISBN 13: 9783658135270
• Reliure: Broché
• Numéro d'édition: 1
• Nombre de pages: 212
• Coordonnées du fabricant: Springer Nature Customer Service Center GmbH; ProductSafety@springernature.com; ; Europaplatz 3; Heidelberg; 69115; Allemagne