相关论文: Data-Driven Portfolio Management for Motion Pictur…

In this paper, we introduce a large system of interacting financial agents in which each agent is faced with the decision of how to allocate his capital between a risky stock or a risk-less bond. The investment decision of investors,…

The performance of collective operations has been a critical issue since the advent of MPI. Many algorithms have been proposed for each MPI collective operation but none of them proved optimal in all situations. Different algorithms…

Multi-period portfolio optimization is important for real portfolio management, as it accounts for transaction costs, path-dependent risks, and the intertemporal structure of trading decisions that single-period models cannot capture.…

In the practical business of asset management by investment trusts and the like, the general practice is to manage over the medium to long term owing to the burden of operations and increase in transaction costs with the increase in…

Optimal selection of interdependent IT Projects for implementation in multi periods has been challenging in the framework of real option valuation. This paper presents a mathematical optimization model for multi-stage portfolio of IT…

Upon film premiere, a major form of speculation concerns the relative success of the film. This relativity is in particular regards to the film's original budget, as many a time have big-budget blockbusters been met with exceptional success…

The expanding number of assets offers more opportunities for investors but poses new challenges for modern portfolio management (PM). As a central plank of PM, portfolio selection by expected utility maximization (EUM) faces uncontrollable…

Robust estimation for modern portfolio selection on a large set of assets becomes more important due to large deviation of empirical inference on big data. We propose a distributionally robust methodology for high-dimensional mean-variance…

The fusion of public sentiment data in the form of text with stock price prediction is a topic of increasing interest within the financial community. However, the research literature seldom explores the application of investor sentiment in…

Portfolio sorting is ubiquitous in the empirical finance literature, where it has been widely used to identify pricing anomalies. Despite its popularity, little attention has been paid to the statistical properties of the procedure. We…

In the portfolio multiobjective optimization framework, we propose to compare and choose, among all feasible asset portfolios of a given market, the one that maximizes the product of the distances between its values of risk and gain and…

The efficacy of large language models (LLMs) is heavily dependent on the quality of the underlying data, particularly within specialized domains. A common challenge when fine-tuning LLMs for domain-specific applications is the potential…

The main feature of large-scale multi-objective optimization problems (LSMOP) is to optimize multiple conflicting objectives while considering thousands of decision variables at the same time. An efficient LSMOP algorithm should have the…

This paper considers the mean-reverting portfolio design problem arising from statistical arbitrage in the financial markets. The problem is formulated by optimizing a criterion characterizing the mean-reversion strength of the portfolio…

In this paper, we consider the problem of optimization of a portfolio consisting of securities. An investor with an initial capital, is interested in constructing a portfolio of securities. If the prices of securities change, the investor…

Product diversity is one of the prominent factors for customers' satisfaction, while from the firms' perspective, the additional engineering costs required for product diversity should not exceed the acquired profits from the increase in…

Many pharmaceutical companies face concerns with the maintenance of desired revenue levels. Sales forecasts for the current portfolio of products and projects may indicate a decline in revenue as the marketed products approach patent…

This work presents a data-driven method for approximation of the maximum positively invariant (MPI) set and the maximum controlled invariant (MCI) set for nonlinear dynamical systems. The method only requires the knowledge of a finite…

Portfolio optimization has been a major topic of research in finance, as it has a significant impact on investment profit. In this paper, we investigate the problem of data uncertainty in convex multi-objective portfolio optimization. We…

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…