Online Algorithms for the Portfolio Selection Problem

Language: English

Published by Springer VS, 2016

3658135271 / 9783658135270

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Druck auf Anfrage Neuware - Printed after ordering - 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.

Seller Inventory # 9783658135270

Title
Online Algorithms for the Portfolio Selection Problem
Author
Robert Dochow
Publisher
Springer VS
Publication year
2016
Condition
Neu
Binding
Taschenbuch
Language
English
ISBN 10
3658135271
ISBN 13
9783658135270
Item weight
281 grams
Dimensions
210x148x12 mm

AHA-BUCH GmbH

Einbeck, Germany

5-star seller

AbeBooks seller since August 14, 2006

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