Related papers: Optimization of Fuzzy Random Portfolio selection b…
This paper presents an implementation of the Imperialist Competitive Algorithm (ICA) for solving the fuzzy random portfolio selection problem where the asset returns are represented by fuzzy random variables. Portfolio Optimization is an…
Portfolio selection involves optimizing simultaneously financial goals such as risk, return and Sharpe ratio. This problem holds considerable importance in economics. However, little has been studied related to the nonconvexity of the…
This paper presents how the most recent improvements made on covariance matrix estimation and model order selection can be applied to the portfolio optimisation problem. The particular case of the Maximum Variety Portfolio is treated but…
In this paper we present an evolutionary optimization approach to solve the risk parity portfolio selection problem. While there exist convex optimization approaches to solve this problem when long-only portfolios are considered, the…
This paper is concerned with portfolio optimization models for creating high-quality lists of recommended items to balance the accuracy and diversity of recommendations. However, the statistics (i.e., expectation and covariance of ratings)…
Several adaptation techniques have been investigated to optimize fuzzy inference systems. Neural network learning algorithms have been used to determine the parameters of fuzzy inference system. Such models are often called as integrated…
The purpose of this paper is to point to the usefulness of applying a linear mathematical formulation of fuzzy multiple criteria objective decision methods in organising business activities. In this respect fuzzy parameters of linear…
The field of portfolio selection is an active research topic, which combines elements and methodologies from various fields, such as optimization, decision analysis, risk management, data science, forecasting, etc. The modeling and…
We consider the problem of the statistical uncertainty of the correlation matrix in the optimization of a financial portfolio. We show that the use of clustering algorithms can improve the reliability of the portfolio in terms of the ratio…
Stochastic algorithms are among the best for solving computationally hard search and reasoning problems. The runtime of such procedures is characterized by a random variable. Different algorithms give rise to different probability…
This paper investigates fuzzy nonlinear system equations using an optimization approach. Here, the inner-outer direct search technique is used with fuzzy coefficients and vectors to quantify the uncertain solution. The fuzzy nonlinear…
Financial portfolio optimization is a widely studied problem in mathematics, statistics, financial and computational literature. It adheres to determining an optimal combination of weights associated with financial assets held in a…
Once there is a decision of rebalancing or updating a portfolio of funds, the process of changing the current portfolio to the target one, involves a set of transactions that are susceptible of being optimized. This is particularly relevant…
Noisy optimization is the optimization of objective functions corrupted by noise. A portfolio of solvers is a set of solvers equipped with an algorithm selection tool for distributing the computational power among them. Portfolios are…
Recent studies stressed the fact that covariance matrices computed from empirical financial time series appear to contain a high amount of noise. This makes the classical Markowitz Mean-Variance Optimization model unable to correctly…
We consider the problem of selecting a portfolio of assets that provides the investor a suitable balance of expected return and risk. With respect to the seminal mean-variance model of Markowitz, we consider additional constraints on the…
In this paper we develop a concrete and fully implementable approach to the optimization of functionally generated portfolios in stochastic portfolio theory. The main idea is to optimize over a family of rank-based portfolios parameterized…
Portfolio optimization is a task that investors use to determine the best allocations for their investments, and fund managers implement computational models to help guide their decisions. While one of the most common portfolio optimization…
In this paper, we revisit the portfolio optimization problems of the minimization/maximization of investment risk under constraints of budget and investment concentration (primal problem) and the maximization/minimization of investment…
It is well known over the recent years that measuring the success of projects under the umbrella of project management is inextricably linked with the associated cost, time, and quality. Most of the previous researches in the field assigned…