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searching for Portfolio optimization 93 found (177 total)

Frank J. Fabozzi (874 words) [view diff] case mismatch in snippet view article find links to article

Kolm; Dessislava Pachamanova; Sergio M. Focardi (2007). Robust Portfolio Optimization and Management. Hoboken, New Jersey: John Wiley & Sons. Fabozzi

Intertemporal portfolio choice (1,937 words) [view diff] no match in snippet view article find links to article

Intertemporal portfolio choice is the process of allocating one's investable wealth to various assets, especially financial assets, repeatedly over time

Project portfolio management (1,348 words) [view diff] case mismatch in snippet view article find links to article

to decide which projects to fund in an optimal manner. Project Portfolio Optimization (PPO) is the effort to make the best decisions possible under these

The Journal of Portfolio Management (438 words) [view diff] exact match in snippet view article find links to article

allocation, performance measurement, market trends, risk management, and portfolio optimization. The journal was established in 1974 by Peter L. Bernstein. The

Journal of Futures Markets (76 words) [view diff] exact match in snippet view article find links to article

trading systems, legal, accounting, and regulatory issues, and portfolio optimization. It is published by Wiley-Blackwell. According to the Journal Citation

Emilio Tomasini (572 words) [view diff] exact match in snippet view article find links to article

systems. He is famous for his book 'Trading Systems a new approach to portfolio optimization'. He has been publishing since 1997 the daily newsletter Rendimento

Marginal conditional stochastic dominance (507 words) [view diff] exact match in snippet view article find links to article

not the optimal portfolio for anyone. Note that this context of portfolio optimization is not limited to situations in which mean-variance analysis applies

Maslowian portfolio theory (852 words) [view diff] no match in snippet view article find links to article

Maslowian portfolio theory (MaPT) creates a normative portfolio theory based on human needs as described by Abraham Maslow. It is in general agreement

Isaak Russman (183 words) [view diff] exact match in snippet view article find links to article

models of control and management of organizational systems and portfolio optimization models. In memory of Isaak Russman (Russian language) Scientific

Kyndryl (977 words) [view diff] exact match in snippet view article find links to article

Industry Services to Broadridge Financial Solutions, as part of a portfolio optimization action. Focused on IT services for businesses, Kyndryl designs,

Tail risk parity (480 words) [view diff] exact match in snippet view article find links to article

Value Added?" propose an extension of the classical risk parity portfolio optimization approach from Maillard et al. (2010) to incorporate higher moments

Black–Litterman model (512 words) [view diff] exact match in snippet view article find links to article

solve the constrained optimization problem. Markowitz model for portfolio optimization Fischer Black; Robert B Litterman (30 September 1991). "Asset Allocation:

Margin at risk (193 words) [view diff] exact match in snippet view article find links to article

flow at risk Lang, Joachim; Madlener, Reinhard (September 2010). "Portfolio optimization for power pl ants: the impact of credit risk mitigation and margining"

Stochastic programming (6,069 words) [view diff] no match in snippet view article find links to article

In the field of mathematical optimization, stochastic programming is a framework for modeling optimization problems that involve uncertainty. A stochastic

EURO Advanced Tutorials in Operational Research (842 words) [view diff] case mismatch in snippet view article find links to article

M. Grazia Speranza - Linear and Mixed Integer Programming for Portfolio Optimization Alves, C., Clautiaux, F., de Carvalho, J.V., Rietz, J. - Dual-Feasible

Radial set (422 words) [view diff] case mismatch in snippet view article find links to article

Measures, Valuation Bounds, and ( μ , ρ {\displaystyle \mu ,\rho } )-Portfolio Optimization" (PDF). Humboldt University of Berlin. Aliprantis & Border 2006

Drawdown (economics) (1,275 words) [view diff] case mismatch in snippet view article

Chekhlov, Alexei; Uryasev, Stanislav; Zabarankin, Michael (2003). "Portfolio Optimization with Drawdown Constraints" (PDF). Chekhlov, Alexei; Uryasev, Stanislav;

Resampled efficient frontier (403 words) [view diff] exact match in snippet view article find links to article

constructing a portfolio with optimal risk/return characteristics. His portfolio optimization method finds the minimum risk portfolio with a given expected return

ECOCITIES (software) (679 words) [view diff] exact match in snippet view article

building administration and monitoring, energy accounting and building portfolio optimization. Thereby, it supports the definition of low carbon action plans

Vine copula (3,037 words) [view diff] exact match in snippet view article find links to article

vine copulas have been shown to effectively model tail risk in portfolio optimization applications. The first regular vine, avant la lettre, was introduced

Robust optimization (3,410 words) [view diff] exact match in snippet view article find links to article

356–361. doi:10.1109/9.50357. Robust portfolio optimization Md. Asadujjaman and Kais Zaman, "Robust Portfolio Optimization under Data Uncertainty" 15th National

Rmetrics (437 words) [view diff] case mismatch in snippet view article find links to article

Diethelm; Chalabi, Yohan; Chen, William; Ellis, Andrew (2009). Portfolio Optimization with R/Rmetrics. Finance Online Publishing. ISBN 978-3-906041-01-8

Management science (1,409 words) [view diff] exact match in snippet view article find links to article

management science. In finance, management science is instrumental in portfolio optimization, risk management, and investment strategies. By employing mathematical

Skytap (659 words) [view diff] exact match in snippet view article find links to article

The Seattle Times. Retrieved March 14, 2012. "Kyndryl announces portfolio optimization actions" (Press release). Kyndryl. May 13, 2024. Retrieved August

F Sharp (programming language) (4,082 words) [view diff] exact match in snippet view article

is used for quantitative finance programming, energy trading and portfolio optimization, machine learning, business intelligence and social gaming on Facebook

Distortion risk measure (676 words) [view diff] case mismatch in snippet view article find links to article

; Sun, W.; Stoyanov, S. V. (2010). "Distortion Risk Measures in Portfolio Optimization". Handbook of Portfolio Construction. p. 649. CiteSeerX 10.1.1.316

Logistic distribution (1,789 words) [view diff] exact match in snippet view article find links to article

and bPOE for common probability distributions with application to portfolio optimization and density estimation" (PDF). Annals of Operations Research. 299

Algebraic interior (2,067 words) [view diff] case mismatch in snippet view article find links to article

Measures, Valuation Bounds, and ( μ , ρ {\displaystyle \mu ,\rho } )-Portfolio Optimization" (PDF). Zălinescu 2002, p. 2. Narici & Beckenstein 2011, p. 109

Six Flags America (4,376 words) [view diff] exact match in snippet view article find links to article

outlined plans in their first quarterly earnings meeting for a portfolio optimization in the company, which may include closing or selling off some of

Deep reinforcement learning (1,547 words) [view diff] exact match in snippet view article find links to article

rules. Other growing areas of application include finance (e.g., portfolio optimization), healthcare (e.g., treatment planning and medical decision-making)

Techkriti (589 words) [view diff] case mismatch in snippet view article find links to article

Pirates (Aqua-Robogames), Multirotor (Quadro copter), Richie Rich (Portfolio Optimization), Marketing Villa, Bridge Design Challenge and many others. Techkriti

Cytel (934 words) [view diff] case mismatch in snippet view article find links to article

and Implementation Collaborative Research Projects Program and Portfolio Optimization Regulatory Interactions Multiplicity Missing Data DMC Membership

Financial signal processing (823 words) [view diff] exact match in snippet view article find links to article

are also open source libraries available for index tracking and portfolio optimization. Vivienne Investissement: multifractality for asset price, covariance

Elastic net regularization (1,453 words) [view diff] exact match in snippet view article find links to article

method has been applied are: Support vector machine Metric learning Portfolio optimization Cancer prognosis It was proven in 2014 that the elastic net can

Entropic value at risk (2,016 words) [view diff] exact match in snippet view article find links to article

is that we can use softwares like CVXPY or MOSEK to model this portfolio optimization problems. EVaR and EDaR are implemented in the python package Riskfolio-Lib

Wilshire Associates (715 words) [view diff] exact match in snippet view article find links to article

performance measurement, performance attribution, risk management, portfolio optimization, trade order management, and other marketing and client servicing

Scenario optimization (1,258 words) [view diff] exact match in snippet view article find links to article

S2CID 1509645. Calafiore, Giuseppe Carlo (2013). "Direct data-driven portfolio optimization with guaranteed shortfall probability". Automatica. 49 (2): 370–380

Financial technology (3,764 words) [view diff] exact match in snippet view article find links to article

management Algorithmic trading platforms, market data analytics, and portfolio optimization tools for institutional trading and asset management. Insurtech

Post-modern portfolio theory (2,655 words) [view diff] exact match in snippet view article find links to article

1988. Mr. Rom coined the term PMPT and began using it to market portfolio optimization and performance measurement software developed by his company. These

Log-logistic distribution (2,053 words) [view diff] exact match in snippet view article find links to article

and bPOE for common probability distributions with application to portfolio optimization and density estimation" (PDF). Annals of Operations Research. 299

Laplace distribution (3,126 words) [view diff] exact match in snippet view article find links to article

and bPOE for common probability distributions with application to portfolio optimization and density estimation" (PDF). Annals of Operations Research. 299

Elastic map (1,587 words) [view diff] exact match in snippet view article find links to article

images, PLoS Computational Biology, 2013, 9(4):e1003029. M. Resta, Portfolio optimization through elastic maps: Some evidence from the Italian stock exchange

Anil Kamath (459 words) [view diff] exact match in snippet view article find links to article

later started Efficient Frontier (company) and applied the same portfolio optimization techniques to the area of online advertising. Kamath headed the

Goal-based investing (3,295 words) [view diff] exact match in snippet view article find links to article

mathematically converted into MPT's risk aversion parameter and portfolio optimization proceeds along mean-variance lines. The synthesis work, then, eliminated

Ludovic Phalippou (648 words) [view diff] exact match in snippet view article find links to article

where he developed a model to forecast private market returns for portfolio optimization programs. He is also a Member of the Investment Committee of Queen’s

Generalized Pareto distribution (2,790 words) [view diff] exact match in snippet view article find links to article

and bPOE for common probability distributions with application to portfolio optimization and density estimation" (PDF). Annals of Operations Research. 299

Generalized Pareto distribution (2,790 words) [view diff] exact match in snippet view article find links to article

and bPOE for common probability distributions with application to portfolio optimization and density estimation" (PDF). Annals of Operations Research. 299

Two-moment decision model (1,244 words) [view diff] exact match in snippet view article find links to article

distributions that are location-scale-related to each other. Thus portfolio optimization can be implemented using a two-moment decision model. Example 3:

Good–deal bounds (333 words) [view diff] case mismatch in snippet view article find links to article

Measures, Valuation Bounds, and ( μ , ρ {\displaystyle \mu ,\rho } )-Portfolio Optimization". {{cite journal}}: Cite journal requires |journal= (help) John

Multiplier uncertainty (1,050 words) [view diff] exact match in snippet view article find links to article

policy tools having multiplier uncertainty, and on the other hand, portfolio optimization involving multiple investment choices having rate-of-return uncertainty

Fischer Black (1,914 words) [view diff] case mismatch in snippet view article find links to article

Financial Analyst Journal (1990). F. Black & R. Litterman, "Global Portfolio Optimization", Financial Analysts Journal vol. 48, no. 5, pp. 28–43 (1992). F

Enrique R. Arzac (748 words) [view diff] exact match in snippet view article find links to article

1016/S0261-5606(01)00014-6. Haque, Mahfuzul; Varela, Oscar (2010). "Safety-first portfolio optimization after September 11, 2001". The Journal of Risk Finance. 11 (1):

In-database processing (1,159 words) [view diff] exact match in snippet view article find links to article

as financial models for equity, fixed income, interest rate, and portfolio optimization. In-DataBase Pioneers collaborates with marketing and IT teams to

Mutual fund separation theorem (1,874 words) [view diff] exact match in snippet view article find links to article

same exponent as each other.: ch.4 More recently, in the dynamic portfolio optimization model of Çanakoğlu and Özekici, the investor's level of initial

Hyperbolic absolute risk aversion (1,213 words) [view diff] exact match in snippet view article find links to article

beginning-of-period and end-of-period consumption. In a discrete time dynamic portfolio optimization context, under HARA utility optimal portfolio choice involves partial

Abu Dhabi MAR (653 words) [view diff] exact match in snippet view article find links to article

Nov 22, 2011. "Thyssenkrupp Annual Report 2009/2010, p. 108-109 - Portfolio optimization continued". thyssenkrupp.com. 2010. Archived from the original on

Exponential distribution (6,647 words) [view diff] exact match in snippet view article find links to article

and bPOE for common probability distributions with application to portfolio optimization and density estimation" (PDF). Annals of Operations Research. 299

RiskMetrics (1,551 words) [view diff] exact match in snippet view article find links to article

Deviation (ISD). Incremental statistics also have applications to portfolio optimization. A portfolio with minimum risk will have incremental risk equal

Econophysics (3,239 words) [view diff] exact match in snippet view article find links to article

can improve the performance of portfolios, e.g., in applied in portfolio optimization. The ideology of econophysics is embodied in the probabilistic economic

Graduate Studies in Mathematics (4,546 words) [view diff] case mismatch in snippet view article find links to article

ISBN 978-0-8218-2169-5); 2001 pbk reprint with corrections 31 Option Pricing and Portfolio Optimization: Modern Methods of Financial Mathematics, Ralf Korn, Elke Korn (2001

Evolutionary algorithm (4,553 words) [view diff] case mismatch in snippet view article find links to article

Zhang, Mengjie (eds.), "Application of a Memetic Algorithm to the Portfolio Optimization Problem", AI 2008: Advances in Artificial Intelligence, Lecture

Morgan Bazilian (1,105 words) [view diff] case mismatch in snippet view article find links to article

A Roques) Analytical Methods for Energy Diversity and Security: Portfolio Optimization in the Energy Sector: A Tribute to the work of Dr. Shimon Awerbuch

Low-volatility anomaly (1,744 words) [view diff] case mismatch in snippet view article find links to article

the World”. Chan, L., J. Karceski, and J. Lakonishok (1999), “On Portfolio Optimization: Forecasting Covariances and Choosing the Risk Model”, Review of

Application portfolio management (2,497 words) [view diff] exact match in snippet view article find links to article

attempting to judge a project with respect to their objectives for portfolio optimization and simplification. It must clearly define the boundaries of an

Generalized extreme value distribution (3,823 words) [view diff] exact match in snippet view article find links to article

and bPOE for common probability distributions with application to portfolio optimization and density estimation" (PDF). Annals of Operations Research. 299

Nitin Pradhan (1,209 words) [view diff] exact match in snippet view article find links to article

was on using technology to drive mission and business value, IT portfolio optimization, streamlining technology services, creating an IT business catalogue

HanseYachts (1,286 words) [view diff] exact match in snippet view article find links to article

HanseYachts AG sold its equity interest in Privilege Marine as a portfolio optimization step. The French catamaran manufacturer based in Port Olona, Les

Automated trading system (2,914 words) [view diff] exact match in snippet view article find links to article

employed a Donchian channel-based trend-following trading method for portfolio optimization in his South African futures market analysis. The early form of

FactSet (2,601 words) [view diff] exact match in snippet view article find links to article

multi-company comparisons, industry analysis, company screening, portfolio optimization and simulation, predictive risk measurements, alpha testing and

Risk parity (4,006 words) [view diff] exact match in snippet view article find links to article

of Investment Management (Fourth Quarter). Lindberg, C. (2009). "Portfolio optimization when expected stock returns are determined by exposure to risk"

Pareto distribution (6,027 words) [view diff] exact match in snippet view article find links to article

and bPOE for common probability distributions with application to portfolio optimization and density estimation" (PDF). Annals of Operations Research. 299

Klöckner & Co (3,549 words) [view diff] exact match in snippet view article find links to article

business, in Europe and North America. Additionally, as part of the portfolio optimization and the implementation of the corporate strategy, the company announced

Student's t-distribution (6,423 words) [view diff] exact match in snippet view article find links to article

and bPOE for common probability distributions with application to portfolio optimization and density estimation" (PDF). Annals of Operations Research. 299

Buffered probability of exceedance (483 words) [view diff] exact match in snippet view article find links to article

and bPOE for common probability distributions with application to portfolio optimization and density estimation" (PDF). Annals of Operations Research. 299

Rachev ratio (1,119 words) [view diff] case mismatch in snippet view article find links to article

Frank J. (2008). Advanced Stochastic Models, Risk Assessment, and Portfolio Optimization (1st ed.). Wiley. ISBN 978-0-470-05316-4. Satchell, Stephen (2009-10-22)

Energy Exchange Austria (1,751 words) [view diff] exact match in snippet view article find links to article

between the EXAA 10:15 auction and the 12:00 MC auction as a part of portfolio optimization. 12:00 Uhr Market Coupling Auction Since July 2, 2019, EXAA trading

Mexican peso (7,800 words) [view diff] case mismatch in snippet view article find links to article

Hassan, “Safety-First and Extreme Value Bilateral U.S.–Mexican Portfolio Optimization around the Peso Crisis and NAFTA in 1994", The Quarterly Review

Kathy Ensor (1,124 words) [view diff] exact match in snippet view article find links to article

Ensor, Katherine (22 March 2009). Covariance estimation in dynamic portfolio optimization: a realized single factor model. American Finance Association Annual

Knapsack problem (7,770 words) [view diff] case mismatch in snippet view article find links to article

ISSN 2296-424X. Chang, T. J., et al. Heuristics for Cardinality Constrained Portfolio Optimization. Technical Report, London SW7 2AZ, England: The Management School

Normal distribution (22,625 words) [view diff] exact match in snippet view article find links to article

and bPOE for common probability distributions with application to portfolio optimization and density estimation" (PDF). Annals of Operations Research. 299

Stochastic simulation (3,715 words) [view diff] case mismatch in snippet view article find links to article

Probability" in Advanced Stochastic Models, Risk Assessment, and Portfolio Optimization : The Ideal Risk, Uncertainty, and Performance Measures, Hoboken

Log-normal distribution (12,551 words) [view diff] exact match in snippet view article find links to article

and bPOE for common probability distributions with application to portfolio optimization and density estimation" (PDF). Annals of Operations Research. 299

Brownian model of financial markets (4,070 words) [view diff] exact match in snippet view article find links to article

ISBN 0-387-94839-2. Korn, Ralf; Korn, Elke (2001). Option pricing and portfolio optimization: modern methods of financial mathematics. Providence, R.I.: American

Tax loss harvesting (988 words) [view diff] exact match in snippet view article find links to article

that the two ETFs have nearly identical returns. Mean-variance portfolio optimization One method is to use an initial set of portfolio weights w 0 {\displaystyle

Ant colony optimization algorithms (9,487 words) [view diff] case mismatch in snippet view article find links to article

pp. 422–427. ISBN 978-1-4673-4523-1 Abolmaali S, Roodposhti FR. Portfolio Optimization Using Ant Colony Method a Case Study on Tehran Stock Exchange. Journal

Tail value at risk (4,680 words) [view diff] case mismatch in snippet view article find links to article

and bPOE for Common Probability Distributions With Application to Portfolio Optimization and Density Estimation". arXiv:1811.11301 [q-fin.RM]. Khokhlov,

Multiverse Computing (1,119 words) [view diff] case mismatch in snippet view article find links to article

"Multiverse Computing Introduces a New Version of Their Singularity Portfolio Optimization Software - Quantum Computing Report". The Quantum Computing Report

Dedicated portfolio theory (3,266 words) [view diff] case mismatch in snippet view article find links to article

and Fletcher, Jeremy “Equity Yield Curves, Time Segmentation, and Portfolio Optimization Strategies,” Journal of Financial Planning, November, 2016, P. 54-61

Hudson Bay Capital Management (1,266 words) [view diff] case mismatch in snippet view article find links to article

2022). "The Gerber Statistic: A Robust Co-Movement Measure for Portfolio Optimization". Portfolio Management Research. 48 (3): 87–102. "Firms to pay $14M

Financial correlation (4,165 words) [view diff] exact match in snippet view article find links to article

much as 70% of the true values). In a practical application in portfolio optimization, accurate estimation of the variance-covariance matrix is paramount

DTEK (7,936 words) [view diff] exact match in snippet view article find links to article

mitigation, comprehensive energy management solutions, and physical portfolio optimization. Academy DTEK is an open educational business platform. The project

Local flexibility markets (3,039 words) [view diff] exact match in snippet view article find links to article

Objective Alleviate Local Congestions Enable Peer-2-Peer trading and portfolio optimization Technology Blockchain Without Blockchain (centralized, traditional

Six Flags (2,500 words) [view diff] exact match in snippet view article find links to article

with the company in late 2024, where they outlined plans for a portfolio optimization in the company, which may include closing or selling off some of