相关论文: Project portfolio selection: Multi-criteria analys…

Construction project management requires dynamic mitigation control ensuring the project's timely completion by a best fit for common purpose strategy for all stakeholders. Current mitigation approaches are usually performed by an iterative…

Project portfolio management is an essential process for organizations aiming to optimize the value of their R&D investments. In this article, we introduce a new tool designed to support the prioritization of projects within project…

A common way of doing algorithm selection is to train a machine learning model and predict the best algorithm from a portfolio to solve a particular problem. While this method has been highly successful, choosing only a single algorithm has…

A novel optimisation framework through quadratic nonlinear projection is introduced for credit portfolio when the portfolio risk is measured by Conditional Value-at-Risk (CVaR). The whole optimisation procedure to search toward the optimal…

Embedding value investment in portfolio optimization models has always been a challenge. In this paper, we attempt to incorporate it by employing principal component analysis to filter out dominant financial ratios from each sector and…

Adaptable computing is an increasingly important paradigm that specializes system resources to variable application requirements, environmental conditions, or user requirements. Adapting computing resources to variable application…

This paper presents an innovative online portfolio selection model, situated within a meta-learning framework, that leverages a mixture policies strategy. The core idea is to simulate a fund that employs multiple fund managers, each skilled…

In this modern technological era, categorization and ranking of research journals is gaining popularity among researchers and scientists. It plays a significant role for publication of their research findings in a quality journal. Although,…

When fitting statistical models, some predictors are often found to be correlated with each other, and functioning together. Many group variable selection methods are developed to select the groups of predictors that are closely related to…

Recent progress in portfolio choice has made a wide class of problems involving transaction costs tractable. We review the basic approach to these problems, and outline some directions for future research.

Advanced societies are crucially dependent on critical infrastructure networks for the reliable delivery of essential goods and services. Hence, well-founded analyses concerning disruptions are necessary to inform decisions that aim to…

We construct a deep portfolio theory. By building on Markowitz's classic risk-return trade-off, we develop a self-contained four-step routine of encode, calibrate, validate and verify to formulate an automated and general portfolio…

The aim of this paper is to introduce models and algorithms for the Participatory Budgeting problem when projects can interact with each other. In this problem, the objective is to select a set of projects that fits in a given budget.…

Managing investment portfolios is an old and well know problem in multiple fields including financial mathematics and financial engineering as well as econometrics and econophysics. Multiple different concepts and theories were used so far…

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…

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…

Given a set of assets and an investment capital, the classical portfolio selection problem consists in determining the amount of capital to be invested in each asset in order to build the most profitable portfolio. The portfolio…

Portfolio management problems are often divided into two types: active and passive, where the objective is to outperform and track a preselected benchmark, respectively. Here, we formulate and solve a dynamic asset allocation problem that…

Online feature selection with dynamic features has become an active research area in recent years. However, in some real-world applications such as image analysis and email spam filtering, features may arrive by groups. Existing online…

We propose a novel portfolio selection approach that manages to ease some of the problems that characterise standard expected utility maximisation. The optimal portfolio is no longer defined as the extremum of a suitably chosen utility…