Since Markowitz’s seminal work on the meanvariance model in modern portfolio theory, many studies have been conducted on computational techniques and recently meta-heuristics for portfolio selection problems. In this work, we propose and investigate a new hybrid algorithm integrating the population based incremental learning and differential evolution algorithms for the portfolio selection prob...

where t runs from 0 onwards, the supremum is taken over stopping times τ of X , and c > 0 is a given and fixed constant. Using direct martingale arguments we first show that when μ ≤ 0 it is optimal to stop at once and when μ ≥ σ/2 it is optimal not to stop at all. By employing the method of Lagrange multipliers we then show that the nonlinear problem for 0 < μ < σ/2 can be reduced to a family ...

We consider the Generalised Normal Variance-Mean (GNVM) model in which the mixing random variable is Gamma distributed for financial return data. This model generalises the popular Variance-Gamma (VG) distribution. This GNVM model can be interpreted as the addition of noise to a (skew) VG base. In this presentation, we will not only discuss the parameter estimation of the general model, but als...

Electronic trading of equities and other securities makes heavy use of “arrival price” algorithms, that balance the market impact cost of rapid execution against the volatility risk of slow execution. In the standard formulation, mean-variance optimal trading strategies are static: they do not modify the execution speed in response to price motions observed during trading. We show that substant...

The Mean-Variance Portfolio Theory continues to be the cardinal tool for much of portfolio management. Traditional concerted literature on the Mean-Variance theory can be segmented almost exclusively into (i) chapters in books that provide simply a write up on the theory and (ii) books that contain a purely mathematical analysis without emphasizing the financial implications and interpretations...

In this paper, a novel prediction based mean-variance (PBMV) model has been proposed, as an alternative to the conventional Markowitz mean-variance model, to solve the constrained portfolio optimization problem. In the Markowitz mean-variance model, the expected future return is taken as the mean of the past returns, which is incorrect. In the proposed model, first the expected future returns a...

We study a notion of potential isomorphism, where two structures are said to be potentially isomorphic if they are isomorphic in some generic extension that preserves stationary sets and does not add new sets of cardinality less than the cardinality of the models. We introduce the notion of weakly semiproper trees, and note that there is a strong connection between the existence of potentially ...

We propose a theoretical framework to capture incremental solutions to cardinality constrained maximization problems. The defining characteristic of our framework is that the cardinality/support of the solution is bounded by a value k ∈ N that grows over time, and we allow the solution to be extended one element at a time. We investigate the best-possible competitive ratio of such an incrementa...