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Online Algorithms for the Portfolio Selection Problem

  • Book
  • © 2016

Overview

Authors:
  1. Robert Dochow

    1. Operations Research and Business Informa, Saarland University, Saarbrücken, Germany

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  • Publication in the field of economic sciences

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Table of contents (8 chapters)

  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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Keywords

About this book

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. 

Authors and Affiliations

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

    Robert Dochow

About the author

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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