Online Algorithms for the Portfolio Selection Problem - Softcover

Dochow, Robert

Softcover

ISBN 10: 3658135271 ISBN 13: 9783658135270

Publisher: 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. 

About this title

About the Author

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. 

From the Back Cover

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.

Contents

• Performance Evaluation

• Selected Algorithms from the Literature

• Proposed Algorithms with Risk Management

• Empirical Testing of Algorithms• A Software Tool for Testing

Target Groups

• Scientists and students from the fields of finance, operations research, and machine learning

• Practitioners in banks and insurance companies, traders and brokers

The Author

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.

Edition details

• Publisher: Springer Gabler
• Publication date: 2016
• Language: English
• ISBN 10: 3658135271
• ISBN 13: 9783658135270
• Binding: Paperback
• Edition number: 1
• Number of pages: 211