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Academic Journal

Multi-agent deep reinforcement learning algorithm with trend consistency regularization for portfolio management.

Authors : Ma, Cong (AUTHOR); Zhang, Jiangshe (AUTHOR); Li, Zongxin (AUTHOR)

Subjects: MACHINE learning; PORTFOLIO management (Investments); REINFORCEMENT learning

Source: Neural Computing & Applications. Mar2023, Vol. 35 Issue 9, p6589-6601. 13p.

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Academic Journal

EvoFolio: a portfolio optimization method based on multi-objective evolutionary algorithms.

Authors : Guarino, Alfonso (AUTHOR); Santoro, Domenico (AUTHOR); Grilli, Luca (AUTHOR)

Subjects: EVOLUTIONARY algorithms; PORTFOLIO management (Investments); INVESTORS

Source: Neural Computing & Applications. May2024, Vol. 36 Issue 13, p7221-7243. 23p.

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Academic Journal

Portfolio Optimization Based on Artificial Neural Network and GARCH-EVT-Copula Models.

Authors : Ta, Bao Quoc (AUTHOR); Khai, Nguyen H. Q. (AUTHOR)

Subjects: PORTFOLIO management (Investments); EXTREME value theory; SHARPE ratioASIA

Source: International Journal of Uncertainty, Fuzziness & Knowledge-Based Systems. 2023 Supplement, Vol. 31, p289-306. 18p.

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Academic Journal

Graph neural networks for deep portfolio optimization.

Authors : Ekmekcioğlu, Ömer (AUTHOR); Pınar, Mustafa Ç. (AUTHOR)

Subjects: PORTFOLIO management (Investments); RISK-return relationships

Source: Neural Computing & Applications. Oct2023, Vol. 35 Issue 28, p20663-20674. 12p.

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Academic Journal

Dynamic portfolio rebalancing through reinforcement learning.

Authors : Lim, Qing Yang Eddy (AUTHOR); Cao, Qi (AUTHOR); Quek, Chai (AUTHOR)

Subjects: REINFORCEMENT learning; PORTFOLIO management (Investments); FINANCIAL management

Source: Neural Computing & Applications. May2022, Vol. 34 Issue 9, p7125-7139. 15p.

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Academic Journal

Portfolio optimization: not necessarily concave utility and constraints on wealth and allocation.

Authors : Escobar-Anel, Marcos (AUTHOR); Kschonnek, Michel (AUTHOR); Zagst, Rudi (AUTHOR)

Subjects: PORTFOLIO management (Investments)

Source: Mathematical Methods of Operations Research. Feb2022, Vol. 95 Issue 1, p101-140. 40p.

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Academic Journal

Aumann–Serrano index of risk in portfolio optimization.

Authors : Li, Tiantian (AUTHOR); Kim, Young Shin (AUTHOR); Fan, Qi (AUTHOR)

Subjects: PORTFOLIO management (Investments); STOCK exchanges; FINANCIAL crises

Source: Mathematical Methods of Operations Research. Oct2021, Vol. 94 Issue 2, p197-217. 21p.

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Academic Journal

Risk parity: An alternative formulation for risk-averse stochastic optimization in presence of heavy-tailed distribution of losses.

Authors : Mohabbati-Kalejahi, Nasrin (AUTHOR); Vinel, Alexander (AUTHOR)

Subjects: HAZARDOUS substances; PORTFOLIO management (Investments); OPERATIONS research

Source: Journal of the Operational Research Society. Mar2023, Vol. 74 Issue 3, p797-810. 14p.

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Academic Journal

Counterdiagonal/nonpositive tail dependence in Vine copula constructions: application to portfolio management.

Authors : Salazar Flores, Yuri (AUTHOR); Díaz-Hernández, Adán (AUTHOR)

Subjects: PORTFOLIO management (Investments); CLIMBING plants; PARAMETRIC modeling

Source: Statistical Methods & Applications. Jun2021, Vol. 30 Issue 2, p375-407. 33p.

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Academic Journal

Relative utility bounds for empirically optimal portfolios.

Authors : Rokhlin, Dmitry B. (AUTHOR)

Subjects: PORTFOLIO management (Investments); HOLDER spaces; STOCK prices

Source: Mathematical Methods of Operations Research. Jun2021, Vol. 93 Issue 3, p437-462. 26p.

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Academic Journal

A deep Q-learning portfolio management framework for the cryptocurrency market.

Authors : Lucarelli, Giorgio (AUTHOR); Borrotti, Matteo (AUTHOR)

Subjects: PORTFOLIO management (Investments); REWARD (Psychology); REINFORCEMENT learning

Source: Neural Computing & Applications. Dec2020, Vol. 32 Issue 23, p17229-17244. 16p.

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Periodical

Minimax and Biobjective Portfolio Selection Based on Collaborative Neurodynamic Optimization.

Authors : Leung, Man-Fai (AUTHOR); Wang, Jun (AUTHOR)

Subjects: PORTFOLIO management (Investments); PROBLEM solving; PARTICLE swarm optimization

Source: IEEE Transactions on Neural Networks & Learning Systems. Jul2021, Vol. 32 Issue 7, p2825-2836. 12p.

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Academic Journal

Review of fuzzy investment research considering modelling environment and element fusion.

Authors : Zhou, Wei (AUTHOR); Luo, Danxue (AUTHOR); Xu, Zeshui (AUTHOR)

Subjects: PORTFOLIO management (Investments); NUMERICAL analysis; INVESTMENT policy

Source: International Journal of Systems Science. Jul2022, Vol. 53 Issue 9, p1958-1982. 25p.

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Academic Journal

Inductive Representation Learning on Dynamic Stock Co-Movement Graphs for Stock Predictions.

Authors : Tian, Hu (AUTHOR); Zheng, Xiaolong (AUTHOR); Zhao, Kang (AUTHOR)

Subjects: PORTFOLIO management (Investments); REPRESENTATIONS of graphs; STOCK prices

Source: INFORMS Journal on Computing. Jul/Aug2022, Vol. 34 Issue 4, p1940-1957. 18p.

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Academic Journal

A Scalable Algorithm for Sparse Portfolio Selection.

Authors : Bertsimas, Dimitris (AUTHOR); Cory-Wright, Ryan (AUTHOR)

Subjects: PORTFOLIO management (Investments); FINANCIAL economics; EXPECTED returns

Source: INFORMS Journal on Computing. May/Jun2022, Vol. 34 Issue 3, p1489-1511. 23p.

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Academic Journal

Decision Support for Portfolio Management by Information System with Black–Litterman Model.

Authors : Stoilov, Todor; Stoilova, Krasimira; Vladimirov, Miroslav

Subjects: PORTFOLIO management (Investments); MANAGEMENT information systems; INFORMATION resources management

Source: International Journal of Information Technology & Decision Making. Mar2022, Vol. 21 Issue 2, p643-664. 22p.

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Academic Journal

Mean-Variance Portfolio Selection with Dynamic Targets for Expected Terminal Wealth.

Authors : He, Xue Dong (AUTHOR); Jiang, Zhaoli (AUTHOR)

Subjects: PORTFOLIO management (Investments); LEVEL of aspiration; NASH equilibrium

Source: Mathematics of Operations Research. Feb2022, Vol. 47 Issue 1, p587-615. 29p.

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Academic Journal

LR Mixed Fuzzy Random Portfolio Choice Based on the Risk Curve.

Authors : Mehralizade, Rouhollah (AUTHOR); Mehralizade, Akbar (AUTHOR)

Subjects: PORTFOLIO management (Investments); STOCK exchanges; INFORMATION measurementTEHRAN (Iran)

Source: International Journal of Uncertainty, Fuzziness & Knowledge-Based Systems. Apr2022, Vol. 30 Issue 2, p231-261. 31p.

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Academic Journal

A Study on Portfolio Selection Based on Fuzzy Linear Programming.

Authors : Akbaş, Serkan (AUTHOR); Erbay Dalkiliç, Türkan (AUTHOR); Gül Aksoy, Tuğba (AUTHOR)

Subjects: STANDARD & Poor's 500 Index; PORTFOLIO management (Investments); STOCK exchanges

Source: International Journal of Uncertainty, Fuzziness & Knowledge-Based Systems. Apr2022, Vol. 30 Issue 2, p211-230. 20p.

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Academic Journal

iQUANT: Interactive Quantitative Investment Using Sparse Regression Factors.

Authors : Yue, Xuanwu (AUTHOR); Gu, Qiao (AUTHOR); Wang, Deyun (AUTHOR)

Subjects: PORTFOLIO management (Investments); STOCK exchanges; ABNORMAL returns

Source: Computer Graphics Forum. Jun2021, Vol. 40 Issue 3, p189-200. 12p. 2 Diagrams, 4 Graphs.

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Periodical

Two-stage international portfolio models with higher moment risk measures.

Authors : He, Xiaolei (AUTHOR); Zhang, Weiguo (AUTHOR)

Subjects: PORTFOLIO management (Investments); DECOMPOSITION method; RISK aversion

Source: Computers & Operations Research. Jun2023, Vol. 154, pN.PAG-N.PAG. 1p.

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Academic Journal

Fuzzy multi-period portfolio selection model with time-varying loss aversion.

Authors : Liu, Yong-Jun (AUTHOR); Zhang, Wei-Guo (AUTHOR)

Subjects: PORTFOLIO management (Investments); LOSS aversion; PARTICLE swarm optimization

Source: Journal of the Operational Research Society. Apr2021, Vol. 72 Issue 4, p935-949. 15p.

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Academic Journal

A New Interactive Algorithm for Continuous Multiple Criteria Problems: A Portfolio Optimization Example.

Authors : Karakaya, Gülşah; Şakar, Ceren Tuncer

Subjects: STANDARD & Poor's Financial Services LLC; PORTFOLIO management (Investments); MULTIPLE criteria decision making

Source: International Journal of Information Technology & Decision Making. Jan2021, Vol. 20 Issue 1, p371-398. 28p.

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Academic Journal

Predictive multi-period multi-objective portfolio optimization based on higher order moments: Deep learning approach.

Authors : Abolmakarem, Shaghayegh (AUTHOR); Abdi, Farshid (AUTHOR); Khalili-Damghani, Kaveh (AUTHOR)

Subjects: DEEP learning; PORTFOLIO management (Investments); RATE of return on stocks

Source: Computers & Industrial Engineering. Sep2023, Vol. 183, pN.PAG-N.PAG. 1p.

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Periodical

A PORTFOLIO PLANNING APPROACH FOR IT INVESTMENT.

Authors : Murphy, Thomas

Subjects: INFORMATION technology; PORTFOLIO management (Investments); INVESTMENTS

Source: Enterprise Operations Management. Aug/Sep2003, Vol. 27 Issue 4, p1. 9p. 3 Charts, 1 Graph.

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Periodical

BUSTING [APPLICATION] BLOAT.

Authors : GITTLEN, SANDRA

Subjects: PORTFOLIO management (Investments); CHICAGO Public Schools; INFORMATION technology industry

Source: Computerworld Digital Magazine. May2016, Vol. 2 Issue 10, p23-28. 6p.

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Academic Journal

Sparse and robust portfolio selection via semi-definite relaxation.

Authors : Lee, Yongjae (AUTHOR); Kim, Min Jeong (AUTHOR); Kim, Jang Ho (AUTHOR)

Subjects: PORTFOLIO management (Investments); INVESTMENT management; RELAXATION methods (Mathematics)

Source: Journal of the Operational Research Society. May2020, Vol. 71 Issue 5, p687-699. 13p.

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Academic Journal

Integration of blockchain-enabled closed-loop supply chain and robust product portfolio design.

Authors : Goli, Alireza (AUTHOR)

Subjects: PORTFOLIO management (Investments); SUPPLY chains; PRODUCT design

Source: Computers & Industrial Engineering. May2023, Vol. 179, pN.PAG-N.PAG. 1p.

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Academic Journal

Short-term Sparse Portfolio Optimization Based on Alternating Direction Method of Multipliers.

Authors : Zhao-Rong Lai; Pei-Yi Yang; Liangda Fang

Subjects: PORTFOLIO management (Investments); MULTIPLIERS (Mathematical analysis); MATHEMATICAL optimization

Source: Journal of Machine Learning Research. 2018, Vol. 19 Issue 56-84, p1-28. 28p.

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Academic Journal

An Improved Quick Artificial Bee Colony Algorithm for Portfolio Selection.

Authors : Suthiwong, Dit; Sodanil, Maleerat; Quirchmayr, Gerald

Subjects: BEES algorithm; PORTFOLIO management (Investments); STOCKS (Finance)

Source: International Journal of Computational Intelligence & Applications. Mar2019, Vol. 18 Issue 1, pN.PAG-N.PAG. 14p.

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Academic Journal

EFFICIENCY OR INNOVATION: HOW DO INDUSTRY ENVIRONMENTS MODERATE THE EFFECTS OF FIRMS' IT ASSET PORTFOLIOS?

Authors : Xue, Ling (AUTHOR); Ray, Gautam (AUTHOR); Sambamurthy, Vallabh (AUTHOR)

Subjects: INFORMATION technology; PORTFOLIO management (Investments); INVESTMENTS -- Social aspects

Source: MIS Quarterly. Jun2012, Vol. 36 Issue 2, p509-528. 20p. 1 Diagram, 5 Charts, 4 Graphs.

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Academic Journal

Portfolio construction based on stochastic dominance and target return distributions.

Authors : Roman, Diana; Darby-Dowman, Ken; Mitra, Gautam

Subjects: PORTFOLIO management (Investments); INVESTMENTS; INVESTORS

Source: Mathematical Programming. Sep2006, Vol. 108 Issue 2/3, p541-569. 29p. 9 Charts, 7 Graphs.

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Academic Journal

Linking strategic information systems concepts to practice: systems integration at the portfolio level.

Authors : Hamilton, Doug

Subjects: INFORMATION resources management; PORTFOLIO management (Investments)

Source: Journal of Information Technology (Routledge, Ltd.). Mar1999, Vol. 14 Issue 1, p69-82. 14p. 1 Chart.

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Academic Journal

DELEGATED DYNAMIC PORTFOLIO MANAGEMENT UNDER MEAN-VARIANCE PREFERENCES.

Authors : Cetin, Coskun

Subjects: PORTFOLIO management (Investments); INVESTORS; INVESTMENT advisors

Source: Journal of Applied Mathematics & Decision Sciences. 2006, Vol. 2006 Issue 3, p1-22. 22p.

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Academic Journal

Measuring risk and returns in the customer portfolio.

Authors : Ryals, Lynette

Subjects: CUSTOMER relations; PORTFOLIO management (Investments); INVESTMENTS

Source: Journal of Database Marketing. Mar2002, Vol. 9 Issue 3, p219. 9p.

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Academic Journal

Markowitz Revisited: Mean-Variance Models in Financial Portfolio Analysis.

Authors : Steinbach, Marc C.

Subjects: ANALYSIS of variance; PORTFOLIO management (Investments)

Source: SIAM Review. 2001, Vol. 43 Issue 1, p31. 56p. 12 Graphs.

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Academic Journal

Quadratic Hedging and Mean-Variance Portfolio Selection with Random Parameters in an Incomplete Market.

Authors : Lim, Andrew E. B.

Subjects: PORTFOLIO management (Investments); HEDGING (Finance); DIFFERENTIAL equations

Source: Mathematics of Operations Research. Feb2004, Vol. 29 Issue 1, p132-161. 30p.

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Academic Journal

MEAN-VARIANCE PORTFOLIO SELECTION WITH RANDOM PARAMETERS IN A COMPLETE MARKET.

Authors : Lim, Andrew E. B.; Zhou, Xun Yu

Subjects: ANALYSIS of variance; PORTFOLIO management (Investments); STOCHASTIC difference equations

Source: Mathematics of Operations Research. Feb2002, Vol. 27 Issue 1, p101. 20p.

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Academic Journal

Prioritizing a Portfolio of Information Technology Investment Projects.

Authors : BARDHAN, INDRANIL; BAGCHI, SUGATO; SOUGSTAD, RYAN

Subjects: INFORMATION technology research; PORTFOLIO management (Investments); REAL options (Finance)

Source: Journal of Management Information Systems. Fall2004, Vol. 21 Issue 2, p33-60. 28p. 1 Diagram, 9 Charts.

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Academic Journal

An algorithm portfolio approach to reconfigurable set-up planning.

Authors : Prasoon, Ruchir (AUTHOR); Das, Devashish (AUTHOR); Tiwari, ManojKumar (AUTHOR)

Subjects: PORTFOLIO management (Investments); ALGORITHMS; NUMERICAL control of machine tools

Source: International Journal of Computer Integrated Manufacturing. Aug2011, Vol. 24 Issue 8, p756-768. 13p.

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Academic Journal

Optimal portfolio strategies benchmarking the stock market.

Authors : Gabih, A.; Grecksch, W.; Richter, M.

Subjects: PORTFOLIO management (Investments); FINANCIAL management; BENCHMARKING (Management)

Source: Mathematical Methods of Operations Research. 2006, Vol. 64 Issue 2, p211-225. 15p. 2 Charts, 2 Graphs.

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Academic Journal

Realism and practicality of transaction cost approaches in continuous-time portfolio optimisation: the scope of the Morton-Pliska approach.

Authors : Korn, Ralf

Subjects: PORTFOLIO management (Investments); COST; TIME series analysis

Source: Mathematical Methods of Operations Research. 2004, Vol. 60 Issue 2, p165-174. 10p. 1 Chart.

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Academic Journal

Elasticity approach to portfolio optimization.

Authors : Kraft, Holger

Subjects: PORTFOLIO management (Investments); INTEREST rates; STOCHASTIC processes

Source: Mathematical Methods of Operations Research. 2003, Vol. 58 Issue 1, p159-182. 24p.

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Academic Journal

New light on the portfolio allocation problem.

Authors : Maller, R. A.; Turkington, D. A.

Subjects: ASSET allocation; PORTFOLIO management (Investments); MATHEMATICAL optimization

Source: Mathematical Methods of Operations Research. 2003, Vol. 56 Issue 3, p501. 11p.

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Academic Journal

On-line portfolio selection strategy with prediction in the presence of transaction costs.

Authors : Albeverio, Sergio; Lao, LanJun; Zhao, XueLei

Subjects: PORTFOLIO management (Investments); TRANSACTION costs; STRATEGIC planningENGLAND; LONDON (England)

Source: Mathematical Methods of Operations Research. 2001, Vol. 54 Issue 1, p133. 29p.

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Academic Journal

Portfolio management with stable distributions.

Authors : Rachev, Svetlozar; Han, Seonkoo

Subjects: PORTFOLIO management (Investments); MATHEMATICAL optimization

Source: Mathematical Methods of Operations Research. 2000, Vol. 51 Issue 2, p341. 12p.

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Academic Journal

Portfolio optimization via stochastic programming: Methods of output analysis.

Authors : Dupacová, Jitka

Subjects: PORTFOLIO management (Investments); STOCHASTIC programming; ROBUST statistics

Source: Mathematical Methods of Operations Research. 1999, Vol. 50 Issue 2, p245. 26p.

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Academic Journal

A utility maximization approach to hedging in incomplete markets.

Authors : Kallsen, Jan

Subjects: HEDGING (Finance); PORTFOLIO management (Investments); INVESTMENTS

Source: Mathematical Methods of Operations Research. 1999, Vol. 50 Issue 2, p321. 18p.

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Academic Journal

A novel prediction based portfolio optimization model using deep learning.

Authors : Ma, Yilin (AUTHOR); Wang, Weizhong (AUTHOR); Ma, Qianting (AUTHOR)

Subjects: DEEP learning; PORTFOLIO management (Investments); SHORT-term memory

Source: Computers & Industrial Engineering. Mar2023, Vol. 177, pN.PAG-N.PAG. 1p.

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Academic Journal

A portfolio approach to evaluating information systems investments and setting priorities.

Authors : Ward, John M.

Subjects: PORTFOLIO management (Investments); INVESTMENTS; INFORMATION technology

Source: Journal of Information Technology (Routledge, Ltd.). Dec90, Vol. 5 Issue 4, p222. 10p. 5 Diagrams, 1 Chart.

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