Recent studies in financial economics suggest that technical analysis may have merit to predictability of stock. When attempting to create an efficient portfolio of stocks, there are numerous factors to consider. The problem is that the evaluation involves many qualitative factors, which causes most approximations to go off track. This paper presents a genetic programming approach to portfolio ...

We propose a robust portfolio optimization approach based on quantile statistics. The proposed method is robust to extreme events in asset returns, and accommodates large portfolios under limited historical data. Specifically, we show that the risk of the estimated portfolio converges to the oracle optimal risk with parametric rate under weakly dependent asset returns. The theory does not rely ...

this paper presents dynamic portfolio model based on the merton's optimal investment-consumption model, which combines dynamic synthetic put option using risk-free and risky assets. this paper is extended version of methodological paper published by yuan yao (2012) cite{26}. because of the long history of the development of foreign financial market, with a variety of financial derivatives, the ...

We present an expected utility maximisation framework for optimally controlling a portfolio of options. By combining the replication approach to option pricing with ideas of the martingale approach to (stock) portfolio optimisation we arrive at an explicit solution of the option portfolio problem. Its characteristics are illustrated by some speciic examples. As an application, we calculate an o...

Let the random (stock market) vector X 2 0 be drawn according to a known distribution function F(x), x E R ". A log-optimal portfolio b* is any portfolio b achieving maximal expected log return W* = sup,, E In b'X, where the supremum is over the simplex b 2 0, Cr, b, = 1. An algorithm is presented for finding b*. The algorithm consists of replacing the portfolio b by the expected portfolio b', ...

In this study, we built a network for the US stock market based on the correlation of different stock returns. Community detection techniques were then applied to the constructed correlation network. The resulting communities were consistent with the identified market sections using Standard Industrial Classification code, which demonstrates that performances of public stocks within the same se...

Evaluating FINESSE: a case study in group-based CAL The FINESSE project (Finance Education in a Scalable Software Environment) addresses problems associated with the teaching of finance courses in the U.K. Higher Education sector by constructing a networked, computer-based portfolio management game. The FINESSE consortium consists of finance lecturers at the Universities of Dundee, Strathclyde,...

Multiobjective portfolio optimization problem is the portfolio process of the highest expected return among the various financial commodities of the capital market to meet the expected return objectives. And one of the most important and common management issues lies in determining the best portfolio out of a given set of investment proposals. As we know, modern portfolio theory provides a well...

These years increasing interest is put on IT project portfolio management (IT PPM). Considering IT PPM an interdisciplinary practice, this paper conducts a concept-based literature review of relevant articles across various research disciplines. It finds and classifies a stock of 107 relevant articles into four scientific discourses: the normative, the interpretive, the critical, and the dialog...