Online Algorithms For The Portfolio Selection Problem
by Robert Dochow /
2016 / English / PDF
2.9 MB Download
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.
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.
