Optimization Methods in Finance
نویسندگان
چکیده
منابع مشابه
A New Efficient Metaheuristic Model for Stock Portfolio Management and its Performance Evaluation by Risk-adjusted Methods
In this research, we proposed a new metaheuristic technique for stock portfolio multi-objective optimization employing the combination of Strength Pareto Evolutionary Algorithm (SPEA), Adaptive Neuro-Fuzzy Inference System (ANFIS) and Arbitrage Pricing Theory (APT). To generate the more precise model, ANFIS has implemented to envisage long-term movement values of the Tehran Stock Exchange (TSE)...
متن کاملComparison of the Accuracy of Black Hole Algorithms and Gravitational Research and the Hybrid Method in Portfolio Optimization
The main purpose of this research is portfolio optimization in Tehran securities exchange using the black hole algorithm and the Gravitational Research algorithm. We also propose an algorithm named Hybrid Algorithm which combines the two algorithms above to cover the weaknesses of these two algorithms. Finally we compare the results with the Markowitz model and choose the optimal algorithm.<br ...
متن کاملOverview of Portfolio Optimization Models
Finding the best way to optimize the portfolio after Markowitz's 1952 article has always been and will continue to be one of the concerns of activists in the investment management industry. Researchers have come up with different solutions to overcome this problem. The introduction of mathematical models and meta-heuristic models is one of the activities that has influenced portfolio optimizati...
متن کاملApplication of Clayton Copula in Portfolio Optimization and its Comparison with Markowitz Mean-Variance Analysis
With the aim of portfolio optimization and management, this article utilizes the Clayton-copula along with copula theory measures. Portfolio-Optimization is one of the activities in investment funds. Thus, it is essential to select an appropriate optimization method. In modern financial analyses, there is growing evidence indicating the distribution of proceeds of financial properties is not cu...
متن کاملCentre for Computational Finance and Economic
Empirical studies show that investors prefer to hold only a very small number of different assets. This implies that their portfolios are inferior as including more assets would reduce their (unsystematic) risk and would their increase their return / risk premium. At the same time, however, it is common knowledge in the finance industry and in the literature that “small portfolio” with just a f...
متن کاملEconometrics and Metaheuristic Optimization Approaches to International Portfolio Diversification
Using advanced techniques of econometrics and a metaheuristic optimization approach, this study attempts to evaluate the potential advantages of international portfolio diversification for East Asian international investors when investing in the Middle Eastern emerging markets. Overall, the results of both econometric and the metaheuristic optimization methods are supporting each other. Finding...
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تاریخ انتشار 2005