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Online Algorithms for the Portfolio Selection Problem

Robert Dochow (Autor)

Buch | Softcover

XXVI, 185 Seiten

2016 | 1st ed. 2016
Springer Fachmedien Wiesbaden GmbH (Verlag)
978-3-658-13527-0 (ISBN)

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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.

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.

Performance Evaluation.- Selected Algorithms from the Literature.- Proposed Algorithms with Risk Management.- Empirical Testing of Algorithms.- A Software Tool for Testing.

Erscheinungsdatum	08.10.2016
Zusatzinfo	XXVI, 185 p. 16 illus.
Verlagsort	Wiesbaden
Sprache	englisch
Maße	148 x 210 mm
Themenwelt	Wirtschaft ► Volkswirtschaftslehre
Schlagworte	competitive analysis • Economics and finance • Economic Theory/Quantitative Economics/Mathematica • Investment • Investments and Securities • Operation Research/Decision Theory • Performance Evaluation • Software Tool • Trading
ISBN-10	3-658-13527-1 / 3658135271
ISBN-13	978-3-658-13527-0 / 9783658135270
Zustand	Neuware