Online Algorithms for the Portfolio Selection Problem

1. Front Matter

   Pages I-XXVI

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2. Introduction

   • Robert Dochow

   Pages 1-7

3. Portfolio Selection Problems

   • Robert Dochow

   Pages 9-43

4. Performance Evaluation

   • Robert Dochow

   Pages 45-77

5. Selected Algorithms from the Literature

   • Robert Dochow

   Pages 79-108

6. Proposed Algorithms with Risk Management

   • Robert Dochow

   Pages 109-126

7. Empirical Testing of Algorithms

   • Robert Dochow

   Pages 127-152

8. A Software Tool for Testing Algorithms

   • Robert Dochow

   Pages 153-161

9. Conclusions and Future Work

   • Robert Dochow

   Pages 163-167

10. Back Matter

    Pages 169-185

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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. 

• Investment
• Trading
• Performance Evaluation
• Competitive Analysis
• Software Tool
• investments and securities

• Operations Research and Business Informa, Saarland University, Saarbrücken, Germany

  Robert Dochow

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. 

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