Online Algorithms for the Portfolio Selection Problem

Language: English

Published by Springer Fachmedien Wiesbaden Jun 2016, 2016

3658135271 / 9783658135270

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Seller: BuchWeltWeit Ludwig Meier e.K., Bergisch Gladbach, GermanyBuchWeltWeit Ludwig Meier e.K.

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This item is printed on demand - it takes 3-4 days longer - Neuware -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. 212 pp. Englisch.

Seller Inventory # 9783658135270

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

BuchWeltWeit Ludwig Meier e.K.

Bergisch Gladbach, Germany

5-star seller

AbeBooks seller since January 11, 2012

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BuchWeltWeit Ludwig Meier e.K.

Germany