In this paper, we consider the problem of a decision maker who is concerned with the management of a portfolio over a finite horizon. The portfolio optimization problem involves portfolio rebalancing decisions in response to new information on market future prices of the risky assets. Rebalancing decisions are manifested in the revision of holdings through sales and purchases of assets. We assu...

In this paper we present a framework, i.e. a concept and design as well as results with a prototypical implementation of a metaheuristic-based decision support system PM-DSS c © for portfolio optimization and managing investment guidelines. PM-DSS c © can be used for active as well as passive fund management. 1 The general problem In this paper we present a framework, i.e. a concept and design ...

Ever since the inception of Markowitz’s modern portfolio theory, static portfolio optimization techniques were gradually phased out by dynamic portfolio management due to the growth of popularity in automated trading. In view of the intensive computational needs, it is common to use machine learning approaches on Sharpe ratio maximization for implementing dynamic portfolio optimization. In the ...