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A Mixture of Gaussians Approach to Mathematical Portfolio Oversight : The EF3M Algorithm
Lopez de Prado, Marcos - 2013
An analogue can be made between: (a) the slow pace at which species adapt to an environment, which often results in the emergence of a new distinct species out of a once homogeneous genetic pool, and (b) the slow changes that take place over time within a fund, mutating its investment style. A...
Persistent link: https://www.econbiz.de/10013092381
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An Open-Source Implementation of the Critical-Line Algorithm for Portfolio Optimization
Bailey, David H. - 2016
, the Critical Line Algorithm (CLA) is the only algorithm specifically designed for inequality-constrained portfolio … algorithm's decision flow. In addition, we have developed several utilities that facilitate the answering of recurrent practical …
Persistent link: https://www.econbiz.de/10013007753
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Applying a Global Optimisation Algorithm to Fund of Hedge Funds Portfolio Optimisation
Thapar, Rishi - 2009
Portfolio optimisation for a Fund of Hedge Funds (“FoHF”) has to address the asymmetric, non-Gaussian nature of the underlying returns distributions. Furthermore, the objective functions and constraints are not necessarily convex or even smooth. Therefore traditional portfolio optimisation...
Persistent link: https://www.econbiz.de/10013156987
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Production and inventory planning under decreasing absolute risk aversion : a unified approach for sensitivity analysis
Seshadri, Sridhar; Wu, Qi - In: Risk and decision analysis 5 (2014) 1, pp. 63-73
Persistent link: https://www.econbiz.de/10010492581
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Production planning with risk hedging under a conditional value at risk objective
Wang, Liao; Yao, David D. - In: Operations research 71 (2023) 4, pp. 1055-1072
Persistent link: https://www.econbiz.de/10014338036
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A Local Relaxation Method for Cardinality Constrained Portfolio Optimization Problem
Murray, Walter - 2012
presence of strict time constraints in practice. The proposed local relaxation algorithm exploits the inherent structure of the … of similarity amongst different assets. The algorithm can either be cold started using the centroids of initial clusters … with different cardinality constraints, indicates that the proposed algorithm is able to achieve significant performance …
Persistent link: https://www.econbiz.de/10013115552
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Portfolio Optimization for a Large Investor Controlling Market Sentiment Under Partial Information
Altay, Sühan - 2019
by actions of the investor. Using the classical filtering theory, we reduce this problem with partial information to one … with full information and solve it for logarithmic and power utility functions. In particular, we apply control theory for …
Persistent link: https://www.econbiz.de/10012901723
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Robust Empirical Optimization is Almost the Same as Mean-Variance Optimization
Gotoh, Jun-ya - 2017
We formulate a distributionally robust optimization problem where the deviation of the alternative distribution is controlled by a φ-divergence penalty in the objective, and show that a large class of these problems are essentially equivalent to a mean-variance problem. We also show that while...
Persistent link: https://www.econbiz.de/10012943301
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Non-Emptyness of Stochastic Dominance Efficient Sets via Stochastic Spanning
Arvanitis, Stelios - 2017
We derive sufficient conditions for non-emptyness of the efficient set for Stochastic Dominance Relations, commonly applied in Economics and Finance, over sets of distributions on the real line. We do so via the use of the concept of stochastic spanning and its characterization via a saddle type...
Persistent link: https://www.econbiz.de/10012946120
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Portfolio Oversight : An Evolutionary Approach
Lopez de Prado, Marcos - 2014
An analogue can be made between: (a) the slow pace at which species adapt to an environment, which often results in the emergence of a new distinct species out of a once homogeneous genetic pool, and (b) the slow changes that take place over time within a fund, with several co-existing...
Persistent link: https://www.econbiz.de/10013065107