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portada Online Algorithms for the Portfolio Selection Problem
Type
Physical Book
Publisher
Author
Year
2016
Language
English
Pages
212
Format
Paperback
ISBN13
9783658135270
Edition No.
1
Categories

Online Algorithms for the Portfolio Selection Problem

Robert Dochow (Author) · Springer Gabler · Paperback

Online Algorithms for the Portfolio Selection Problem - Robert Dochow

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Synopsis "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. 

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