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The idiosyncratic (microscopic) and systemic (macroscopic) components of market structure have been shown to be responsible for the departure of the optimal mean-variance allocation from the heuristic `equally-weighted' portfolio. In this…
We consider the multi-period portfolio optimization problem with a single asset that can be held long or short. Due to the presence of transaction costs, maximizing the immediate reward at each period may prove detrimental, as frequent…
The portfolio optimisation problem, first raised by Harry Markowitz in 1952, has been a fundamental and central topic to understanding the stock market and making decisions. There has been plenty of works contributing to development of the…
Quantum computing is poised to transform the financial industry, yet its advantages over traditional methods have not been evidenced. As this technology rapidly evolves, benchmarking is essential to fairly evaluate and compare different…
Motivated by recent advances in the spectral theory of auto-covariance matrices, we are led to revisit a reformulation of Markowitz' mean-variance portfolio optimization approach in the time domain. In its simplest incarnation it applies to…
A cryptocurrency is a digital asset maintained by a decentralised system using cryptography. Investors in this emerging digital market are exploring the profitability potential of portfolios in place of single coins. Portfolios are…
An enhanced framework of quantum approximate optimization algorithm (QAOA) is introduced and the parameter setting strategies are analyzed. The enhanced QAOA is as effective as the QAOA but exhibits greater computing power and flexibility,…
Surrogate-assisted evolutionary algorithms (SAEAs) are powerful optimisation tools for computationally expensive problems (CEPs). However, a randomly selected algorithm may fail in solving unknown problems due to no free lunch theorems, and…
Optimizing portfolio performance is a fundamental challenge in financial modeling, requiring the integration of advanced clustering techniques and data-driven optimization strategies. This paper introduces a comparative backtesting approach…
Selection of proper stocks, before allocating investment ratios, is always a crucial task for the investors. Presence of many influencing factors in stock performance have motivated researchers to adopt various Artificial Intelligence (AI)…
We investigate an optimal investment problem with a general performance criterion which, in particular, includes discontinuous functions. Prices are modeled as diffusions and the market is incomplete. We find an explicit solution for the…
Portfolio traders strive to identify dynamic portfolio allocation schemes so that their total budgets are efficiently allocated through the investment horizon. This study proposes a novel portfolio trading strategy in which an intelligent…
We consider digitized-counterdiabatic quantum computing as an advanced paradigm to approach quantum advantage for industrial applications in the NISQ era. We apply this concept to investigate a discrete mean-variance portfolio optimization…
Evolutionary multi-objective algorithms have been widely shown to be successful when utilized for a variety of stochastic combinatorial optimization problems. Chance constrained optimization plays an important role in complex real-world…
In this paper, we study the global optimality of polynomial portfolio optimization (PPO). The PPO is a kind of portfolio selection model with high-order moments and flexible risk preference parameters. We introduce a perturbation sample…
Online portfolio selection is a fundamental problem in computational finance, which has been extensively studied across several research communities, including finance, statistics, artificial intelligence, machine learning, and data mining,…
We investigate the application of two heuristic methods, genetic algorithms and tabu/scatter search, to the optimisation of realistic portfolios. The model is based on the classical mean-variance approach, but enhanced with floor and…
Currently, many e-commerce websites issue online/electronic coupons as an effective tool for promoting sales of various products and services. We focus on the problem of optimally allocating coupons to customers subject to a budget…
The Bayesian Optimisation Algorithm (BOA) is an Estimation of Distribution Algorithm (EDA) that uses a Bayesian network as probabilistic graphical model (PGM). Determining the optimal Bayesian network structure given a solution sample is an…
Quantum approximate optimization algorithm (QAOA) aims to solve discrete optimization problems by sampling bitstrings using a parameterized quantum circuit. The circuit parameters (angles) are optimized in the way that minimizes the cost…