Online Algorithms For The Portfolio Selection Problem by Robert DochowOnline Algorithms For The Portfolio Selection Problem by Robert Dochow

Online Algorithms For The Portfolio Selection Problem

byRobert Dochow

Paperback | June 2, 2016

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Robert Dochow mathematically derives a simplified classification structure of selected types of the portfolio selection problem. He proposes two new competitive online algorithms with risk management, which he evaluates analytically. The author empirically evaluates online algorithms by a comprehensive statistical analysis. Concrete results are that follow-the-loser algorithms show the most promising performance when the objective is the maximization of return on investment and risk-adjusted performance. In addition, when the objective is the minimization of risk, the two new algorithms with risk management show excellent performance. A prototype of a software tool for automated evaluation of algorithms for portfolio selection is given.
Dr. Robert Dochow completed his dissertation under the supervision of Prof. Dr. Günter Schmidt at the Chair of Operations Research and Business Informatics of Saarland University, Saarbrücken, Germany. 
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Title:Online Algorithms For The Portfolio Selection ProblemFormat:PaperbackDimensions:185 pages, 21 × 14.8 × 0.17 inPublished:June 2, 2016Publisher:Springer-Verlag/Sci-Tech/TradeLanguage:English

The following ISBNs are associated with this title:

ISBN - 10:3658135271

ISBN - 13:9783658135270

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Table of Contents

Performance Evaluation.- Selected Algorithms from the Literature.- Proposed Algorithms with Risk Management.- Empirical Testing of Algorithms.- A Software Tool for Testing.