书目名称 | Online Algorithms for the Portfolio Selection Problem |
编辑 | Robert Dochow |
视频video | |
概述 | Publication in the field of economic sciences |
图书封面 |  |
描述 | 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. |
出版日期 | Book 2016 |
关键词 | Investment; Trading; Performance Evaluation; Competitive Analysis; Software Tool; investments and securit |
版次 | 1 |
doi | https://doi.org/10.1007/978-3-658-13528-7 |
isbn_softcover | 978-3-658-13527-0 |
isbn_ebook | 978-3-658-13528-7 |
copyright | Springer Fachmedien Wiesbaden 2016 |