Online Algorithms for the Portfolio Selection Problem - Paperback

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by Robert Dochow (Author)Robert Dochow mathematically derives a simplified classification structure of selected types of the portfolio selection problem. He proposes two new compet itive 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.Back JacketRobert 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 TestingTarget Groups- Scientists and students from the fields of finance, operations research, and machine learning- Practitioners in banks and insurance companies, traders and brokersThe AuthorDr. 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.Author BiographyDr. 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. Number of Pages: 185 Dimensions: 0.45 x 8.27 x 5.83 IN Illustrated: Yes Publication Date: June 02, 2016 Show more