Related papers: Cluster analysis for portfolio optimization
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…
Numerous algorithms have been produced for the fundamental problem of clustering under many different notions of fairness. Perhaps the most common family of notions currently studied is group fairness, in which proportional group…
We adopt deep learning models to directly optimise the portfolio Sharpe ratio. The framework we present circumvents the requirements for forecasting expected returns and allows us to directly optimise portfolio weights by updating model…
This study investigates the optimal selection of parameters for collaborative clustering while ensuring data privacy. We focus on key clustering algorithms within a collaborative framework, where multiple data owners combine their data. A…
Today's cloud infrastructure landscape offers a broad range of services to build and operate software applications. The myriad of options, however, has also brought along a new layer of complexity. When it comes to procuring cloud computing…
One basic requirement of many studies is the necessity of classifying data. Clustering is a proposed method for summarizing networks. Clustering methods can be divided into two categories named model-based approaches and algorithmic…
We introduce a neural network approach for assessing the risk of a portfolio of assets and liabilities over a given time period. This requires a conditional valuation of the portfolio given the state of the world at a later time, a problem…
Recently, sparse subspace clustering has been a valid tool to deal with high-dimensional data. There are two essential steps in the framework of sparse subspace clustering. One is solving the coefficient matrix of data, and the other is…
A major challenge in cluster analysis is that the number of data clusters is mostly unknown and it must be estimated prior to clustering the observed data. In real-world applications, the observed data is often subject to heavy tailed noise…
The paper studies problem of continuous time optimal portfolio selection for a incom- plete market diffusion model. It is shown that, under some mild conditions, near optimal strategies for investors with different performance criteria can…
In this paper, we explore the portfolio allocation problem involving an uncertain covariance matrix. We calculate the expected value of the Constant Absolute Risk Aversion (CARA) utility function, marginalized over a distribution of…
Increased deployment of residential smart meters has made it possible to record energy consumption data on short intervals. These data, if used efficiently, carry valuable information for managing power demand and increasing energy…
Clustering uncertain data has emerged as a challenging task in uncertain data management and mining. Thanks to a computational complexity advantage over other clustering paradigms, partitional clustering has been particularly studied and a…
We present a global optimization algorithm for clustering data given the ratio of likelihoods that each pair of data points is in the same cluster or in different clusters. To define a clustering solution in terms of pairwise relationships,…
The question of optimal portfolio is addressed. The conventional Markowitz portfolio optimisation is discussed and the shortcomings due to non-Gaussian security returns are outlined. A method is proposed to minimise the likelihood of…
Financial stock returns correlations have been studied in the prism of random matrix theory, to distinguish the signal from the "noise". Eigenvalues of the matrix that are above the rescaled Marchenko Pastur distribution can be interpreted…
In this paper, we use replica analysis to investigate the influence of correlation among the return rates of assets on the solution of the portfolio optimization problem. We consider the behavior of the optimal solution for the case where…
There is a great number of factors to take into account when building and managing an investment portfolio. It is widely believed that a proper set-up of the portfolio combined with a good, robust management strategy is the key to…
The paper solves the problem of optimal portfolio choice when the parameters of the asset returns distribution, like the mean vector and the covariance matrix are unknown and have to be estimated by using historical data of the asset…
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…