Portfolio optimization ≈ Portfolio optimization
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Solving the Optimal Trading Trajectory Problem Using a Quantum Annealer Open
We solve a multi-period portfolio optimization problem using D-Wave Systems' quantum annealer. We derive a formulation of the problem, discuss several possible integer encoding schemes, and present numerical examples that show high success…
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Portfolio Optimization-Based Stock Prediction Using Long-Short Term Memory Network in Quantitative Trading Open
In quantitative trading, stock prediction plays an important role in developing an effective trading strategy to achieve a substantial return. Prediction outcomes also are the prerequisites for active portfolio construction and optimizatio…
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Social responsibility portfolio optimization incorporating ESG criteria Open
Social responsibility investment (SRI) has attracted worldwide attention for its potential in promoting investment sustainability and stability. We developed a three-step framework by incorporating environmental, social, and governance (ES…
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A Deep Reinforcement Learning Framework for the Financial Portfolio Management Problem Open
Financial portfolio management is the process of constant redistribution of a fund into different financial products. This paper presents a financial-model-free Reinforcement Learning framework to provide a deep machine learning solution t…
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Deep Learning for Portfolio Optimization Open
We adopt deep learning models to directly optimise the portfolio Sharpe ratio. The framework we present circumvents the requirements for forecasting expected returns and allows us to directly optimise portfolio weights by updating model pa…
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Dynamic portfolio optimization with real datasets using quantum processors and quantum-inspired tensor networks Open
In this paper we tackle the problem of dynamic portfolio optimization, i.e., determining the optimal trading trajectory for an investment portfolio of assets over a period of time, taking into account transaction costs and other possible c…
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Factor Models for Portfolio Selection in Large Dimensions: The Good, the Better and the Ugly Open
This paper injects factor structure into the estimation of time-varying, large-dimensional covariance matrices of stock returns. Existing factor models struggle to model the covariance matrix of residuals in the presence of time-varying co…
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Prediction-Based Portfolio Optimization Models Using Deep Neural Networks Open
Portfolio optimization is a hot research topic, which has attracted many researchers in recent decades. Better portfolio optimization model can help investors earn more stable profits. This paper uses three deep neural networks (DNNs), i.e…
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Macro Asset Allocation with Social Impact Investments Open
Using a unique dataset of 50 listed companies that meet the majority of the OECD requirements for social impact investments, we construct a social impact finance stock index and investigate how investing in social impact firms can contribu…
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On the increasing importance of multiple criteria decision aid methods for portfolio selection Open
In 1952, Markowitz published his famous paper on portfolio selection that transformed the field of finance. Although over 65years have passed since then, the mean-variance model remains today the predominant model in portfolio selection. H…
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Project Portfolio Risk Identification and Analysis, Considering Project Risk Interactions and Using Bayesian Networks Open
An organization’s strategic objectives are accomplished through portfolios. However, the materialization of portfolio risks may affect a portfolio’s sustainable success and the achievement of those objectives. Moreover, project interdepend…
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Quantum beetle antennae search: a novel technique for the constrained portfolio optimization problem Open
In this paper, we have formulated quantum beetle antennae search (QBAS), a meta-heuristic optimization algorithm, and a variant of beetle antennae search (BAS). We apply it to portfolio selection, a well-known finance problem. Quantum comp…
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Benchmarking the performance of portfolio optimization with QAOA Open
We present a detailed study of portfolio optimization using different versions of the quantum approximate optimization algorithm (QAOA). For a given list of assets, the portfolio optimization problem is formulated as quadratic binary optim…
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A Survey on Financial Applications of Metaheuristics Open
Modern heuristics or metaheuristics are optimization algorithms that have been increasingly used during the last decades to support complex decision-making in a number of fields, such as logistics and transportation, telecommunication netw…
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Robust Markowitz mean‐variance portfolio selection under ambiguous covariance matrix Open
This paper studies a robust continuous‐time Markowitz portfolio selection problem where the model uncertainty affects the covariance matrix of multiple risky assets. This problem is formulated into a min–max mean‐variance problem over a se…
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Stock portfolio selection using a new decision-making approach based on the integration of fuzzy CoCoSo with Heronian mean operator Open
The main objective of stock portfolio selection is to distribute capital to selected stocks to get the most profitable returns at a lower risk. The performance of a stock depends on a number of criteria based on the risk-return measures. T…
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Portfolio management system in equity market neutral using reinforcement learning Open
Portfolio management involves position sizing and resource allocation. Traditional and generic portfolio strategies require forecasting of future stock prices as model inputs, which is not a trivial task since those values are difficult to…
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Dynamic Portfolio Strategy Using Clustering Approach Open
The problem of portfolio optimization is one of the most important issues in asset management. We here propose a new dynamic portfolio strategy based on the time-varying structures of MST networks in Chinese stock markets, where the market…
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Can Bitcoin Replace Gold in an Investment Portfolio? Open
Bitcoin is an exciting new financial product that may be useful for inclusion in investment portfolios. This paper investigates the implications of replacing gold in an investment portfolio with bitcoin (“digital gold”). Our approach is to…
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Portfolios for Long-Term Investors Open
How should long-term investors form portfolios in our time-varying, multi-factor and friction-filled world? Two conceptual frameworks may help: first, look directly at the stream of payments that a portfolio and payout policy can produce. …
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Market sentiment-aware deep reinforcement learning approach for stock portfolio allocation Open
The stock market currently remains one of the most difficult systems to model in finance. Hence, it is a challenge to solve stock portfolio allocation wherein an optimal investment strategy must be found for a curated collection of stocks …
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Sustainability-Oriented Financial Resource Allocation in a Project Portfolio through Multi-Criteria Decision-Making Open
Modern portfolio theory attempts to maximize the expected return of a portfolio for a given level of portfolio risk, or equivalently minimize risk for a given level of expected return. The reality, however, shows that, when selecting proje…
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Risk-aware multi-armed bandit problem with application to portfolio selection Open
Sequential portfolio selection has attracted increasing interest in the machine learning and quantitative finance communities in recent years. As a mathematical framework for reinforcement learning policies, the stochastic multi-armed band…
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Model-based Deep Reinforcement Learning for Dynamic Portfolio Optimization Open
Dynamic portfolio optimization is the process of sequentially allocating wealth to a collection of assets in some consecutive trading periods, based on investors' return-risk profile. Automating this process with machine learning remains a…
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Markowitz Mean-Variance Portfolio Optimization with Predictive Stock Selection Using Machine Learning Open
With the advances in time-series prediction, several recent developments in machine learning have shown that integrating prediction methods into portfolio selection is a great opportunity. In this paper, we propose a novel approach to port…
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Optimal Portfolio Management for Engineering Problems Using Nonconvex Cardinality Constraint: A Computing Perspective Open
The problem of portfolio management relates to the selection of optimal stocks, which results in a maximum return to the investor while minimizing the loss. Traditional approaches usually model the portfolio selection as a convex optimizat…
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Does ESG Impact Really Enhance Portfolio Profitability? Open
Over the last few decades, growing attention to the topic of social responsibility has affected financial markets and institutional authorities. Indeed, recent environmental, social, and financial crises have inevitably led regulators and …
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A multi-objective approach based on Markowitz and DEA cross-efficiency models for the intuitionistic fuzzy portfolio selection problem Open
Nowadays, the main concerns of investors are choosing the best portfolio in a way that the highest possible return of investment can be achieved by accepting the least risk. In this regard, the classical Markowitz model is one of the most …
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Application of robust optimization for a product portfolio problem using an invasive weed optimization algorithm Open
Product portfolio optimization (PPO) is a strategic decision for many organizations. There are several technical methods for facilitating this decision. According to the reviewed studies, the implementation of the robust optimization appro…
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Clustering algorithms for Risk-Adjusted Portfolio Construction Open
This paper presents the performance of seven portfolios created using clustering analysis techniques to sort out assets into categories and then applying classical optimization inside every cluster to select best assets inside each asset c…