搜索结果: 1-13 共查到“Portfolio Selection”相关记录13条 . 查询时间(0.046 秒)
A Bayesian Information Criterion for Portfolio Selection
Bayesian Information Criterion Minimal Variance Portfolio Portfolio Selection Risk Diversification Selection Consistency
2016/1/19
The mean-variance theory of Markowitz (1952) indicates that large invest-ment portfolios naturally provide better risk diversification than small ones.However, due to parameter estimation errors, one ...
Optimization Method for Interval Portfolio Selection Based on Satisfaction Index of Interval inequality Relation
Interval portfolio selection satisfaction index semiabsolute deviation risk parametric linear programming
2012/9/14
In this paper we consider an interval portfolio selection problem with uncertain returns and introduce an inclusive concept of satisfaction index for interval inequality relatio...
On-Line Portfolio Selection with Moving Average Reversion
Portfolio Selection Moving Average Reversion
2012/9/14
On-line portfolio selection has attracted in-creasing interests in machine learning and AI communities recently. Empirical evidence show that stock’s high and low prices are temporary and stock price ...
Time-Consistent Mean-Variance Portfolio Selection in Discrete and Continuous Time
mean-variance criterion Markowitz problem portfolio optimisation time consistency time-inconsistent optimal control
2012/6/5
It is well known that mean-variance portfolio selection is a time-inconsistent optimal control problem in the sense that it does not satisfy Bellman's optimality principle and therefore the usual dyna...
Portfolio Selection with Small Transaction Costs and Binding Portfolio Constraints
portfolio constraints transaction costs long-run portfolio choice
2012/6/5
An investor with constant relative risk aversion and an infinite planning horizon trades a risky and a safe asset with constant investment opportunities, in the presence of small transaction costs and...
On the non-stationarity of financial time series: impact on optimal portfolio selection
non-stationarity of financial time series impact optimal portfolio selection Statistical Finance
2012/6/2
We investigate the possible drawbacks of employing the standard Pearson estimator to measure correlation coefficients between financial stocks in the presence of non-stationary behavior, and we provid...
Optimal Liquidation Strategies Regularize Portfolio Selection
Optimal Liquidation Strategies Regularize Portfolio Selection
2010/10/19
We consider the problem of portfolio optimization in the presence of market impact, and derive optimal liquidation strategies. We discuss in detail the problem of finding the optimal portfolio under E...
Vast Volatility Matrix Estimation using High Frequency Data for Portfolio Selection
Minimum variance portfolio portfolio allocation risk assessment
2010/10/20
Portfolio allocation with gross-exposure constraint is an effective method to increase the efficiency and stability of selected portfolios among a vast pool of assets, as demonstrated in Fan et al (20...
Robust and Adaptive Algorithms for Online Portfolio Selection
Portfolio Selection Mean-Variance Portfolios Adaptive Filtering
2010/10/20
We present an online approach to portfolio selection. The motivation is within the context of algorithmic trading, which demands fast and recursive updates of portfolio allocations, as new data arrive...
Optimal Liquidation Strategies Regularize Portfolio Selection
Expected Shortfall portfolio optimization market impact
2010/4/28
We consider the problem of portfolio optimization in the presence of market impact, and derive optimal liquidation strategies. We discuss in detail the problem of finding the optimal portfolio under E...
Risk Aversion and Portfolio Selection in a Continuous-Time Model
Risk Aversion Portfolio Selection Continuous-Time Model
2010/12/17
The comparative statics of the optimal portfolios across individuals is carried out for a continuous-time complete market model, where the risky assets price process follows a joint geometric Brownia...
Discrete time portfolio selection with proportional transaction cost
PortfoIio selection Transaction costs Bellman equation
2009/9/22
In the paper discrete time portblio selection with
maximization of a discounted satisfaction functional is studied. In Section
2 the case without transaction costs is considered and explint
solutio...
期刊信息
篇名
A model for portfolio selection with order of expected returens,(EI)
语种
英文
撰写或编译
作者
Xia,y.,刘定碇，Wang S.,and Lai K.K.
第一作者单位
刊物名称
Computers and Operations
页面
2000,Vol.27,409-422
出版日期
2000年
月
日
文...