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Online Algorithms for the Portfolio Selection Problem

Authors: Dochow, Robert

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  • Publication in the field of economic sciences

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  • ISBN 978-3-658-13528-7
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Softcover $84.99
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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. 

About the authors

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. 

Table of contents (8 chapters)

Table of contents (8 chapters)

Buy this book

eBook $64.99
price for USA in USD (gross)
  • ISBN 978-3-658-13528-7
  • Digitally watermarked, DRM-free
  • Included format: PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Softcover $84.99
price for USA in USD
  • ISBN 978-3-658-13527-0
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
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Bibliographic Information

Bibliographic Information
Book Title
Online Algorithms for the Portfolio Selection Problem
Authors
Copyright
2016
Publisher
Gabler Verlag
Copyright Holder
Springer Fachmedien Wiesbaden
eBook ISBN
978-3-658-13528-7
DOI
10.1007/978-3-658-13528-7
Softcover ISBN
978-3-658-13527-0
Edition Number
1
Number of Pages
XXVI, 185
Number of Illustrations
16 b/w illustrations
Topics