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The Resource Online Algorithms for the Portfolio Selection Problem

Online Algorithms for the Portfolio Selection Problem

Label
Online Algorithms for the Portfolio Selection Problem
Title
Online Algorithms for the Portfolio Selection Problem
Creator
Subject
Language
eng
Cataloging source
MiAaPQ
Literary form
non fiction
Nature of contents
dictionaries
Online Algorithms for the Portfolio Selection Problem
Label
Online Algorithms for the Portfolio Selection Problem
Link
http://libproxy.rpi.edu/login?url=https://ebookcentral.proquest.com/lib/rpi/detail.action?docID=4532453
Publication
Copyright
Related Contributor
Related Location
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Carrier category
online resource
Carrier category code
cr
Carrier MARC source
rdacarrier
Color
multicolored
Content category
text
Content type code
txt
Content type MARC source
rdacontent
Contents
  • Contents -- List of Abbreviations -- List of Variables -- List of Figures -- List of Tables -- 1 Introduction -- 1.1 Preliminaries -- 1.2 Motivation and Research Questions -- 1.3 Structure of the Thesis -- 2 Portfolio Selection Problems -- 2.1 Preliminaries -- 2.1.1 Online and Offline Algorithms -- 2.1.2 Mathematical Programming -- 2.1.3 Asset Prices, Conversion Rates and Return Factors -- 2.2 Selected Portfolio Selection Problems -- 2.2.1 General Portfolio Selection Problem -- 2.2.2 Constant Rebalancing Problem -- 2.2.3 Semi-Portfolio Selection Problem -- 2.2.4 Semi-Constant Rebalancing Problem -- 2.2.5 Buy-and-Hold Problem -- 2.2.6 Conversion Problem -- 2.3 Standard Working Models -- 2.3.1 Portfolio Selection Problem -- 2.3.2 Conversion Problem -- 2.4 Conclusions -- 3 Performance Evaluation -- 3.1 Preliminaries -- 3.1.1 Problem Statement -- 3.1.2 Efficient Markets Hypothesis -- 3.1.3 Time Complexity -- 3.2 Selected Performance Measures -- 3.2.1 Measures of Return on Investment -- 3.2.2 Measures of Risk -- 3.2.3 Measures of Risk-adjusted Performance -- 3.3 Selected Benchmarks -- 3.3.1 Offline Benchmarks: Buy-and-Hold -- 3.3.2 Offline Benchmarks: Constant Rebalancing -- 3.3.3 Online Benchmarks -- 3.4 Statistical Analysis -- 3.4.1 Selected Statistical Measures -- 3.4.2 Hypothesis Testing -- 3.4.3 Selected Sampling Techniques -- 3.5 Competitive Analysis -- 3.5.1 Competitive Ratio -- 3.5.2 Performance Ratio -- 3.5.3 Comparative Ratio -- 3.5.4 Average-Case Competitive Ratio -- 3.5.5 Concept of Universality -- 3.5.6 Competitive Ratio as Performance Measure -- 3.6 Conclusions -- 4 Selected Algorithms from the Literature -- 4.1 Preliminaries -- 4.1.1 Virtual Market -- 4.1.2 Projection onto a Simplex -- 4.1.3 Information and Algorithms -- 4.2 Follow-the-Winner Algorithms -- 4.2.1 Successive Constant Rebalanced Algorithm
  • 4.2.2 Universal Portfolio Algorithm -- 4.2.3 Exponential Gradient Algorithm -- 4.2.4 Online Newton Step Algorithm -- 4.3 Follow-the-Loser Algorithms -- 4.3.1 Anti Correlation Algorithm -- 4.3.2 Passive Aggressive Mean Reversion Algorithm -- 4.3.3 Confidence Weighted Mean Reversion Algorithm -- 4.3.4 Online Moving Average Mean Reversion Algorithm -- 4.3.5 Robust Median Reversion Algorithm -- 4.4 Conclusions -- 5 Proposed Algorithms with Risk Management -- 5.1 Preliminaries -- 5.1.1 Worst-Case Logarithmic Wealth Ratio -- 5.1.2 Universal Portfolio Algorithm -- 5.1.3 Risk-adjusted Portfolio Selection Algorithm -- 5.1.4 Combined Risk-adjusted Portfolio Selection Algorithm -- 5.2 Comparison of Competitiveness -- 5.3 Numerical Results -- 5.4 Conclusions -- 6 Empirical Testing of Algorithms -- 6.1 Preliminaries -- 6.1.1 Algorithms and Parameters -- 6.1.2 Related Work -- 6.1.3 Dataset and Description -- 6.2 Test Design -- 6.3 Numerical Results: Expected Performance -- 6.4 Numerical Results: Beating the Benchmark -- 6.5 Conclusions -- 7 A Software Tool for Testing Algorithms -- 7.1 Preliminaries -- 7.2 Primary Functions -- 7.2.1 Executing Sampling -- 7.2.2 Running Algorithms -- 7.2.3 Measuring Performance -- 7.3 Conclusions -- 8 Conclusions and Future Work -- 8.1 Portfolio Selection Problems -- 8.2 Online Algorithms with Risk Management -- 8.3 Empirical Testing -- 8.4 Concluding Remarks -- A Proofs -- A.1 Bounds on the Number of Allocations -- A.2 Asymptotic Behavior of the Number of Allocations -- B Numerical Results -- B.1 Numerical Results: Expected Performance -- B.2 Numerical Results: Beating the Benchmark -- Bibliography
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Dimensions
unknown
http://library.link/vocab/discovery_link
{'f': 'http://opac.lib.rpi.edu/record=b4385386'}
Extent
1 online resource (207 pages)
Form of item
online
Isbn
9783658135287
Media category
computer
Media MARC source
rdamedia
Media type code
c
Sound
unknown sound
Specific material designation
remote

Library Locations

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