Online algorithms for the portfolio selection problem:
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Abschlussarbeit Buch |
| Sprache: | English |
| Veröffentlicht: |
Wiesbaden
Springer Gabler
[2016]
|
| Schriftenreihe: | Research
|
| Schlagworte: | |
| Online-Zugang: | http://www.springer.com/ Inhaltstext Inhaltsverzeichnis |
| Beschreibung: | XXVI, 185 Seiten Illustrationen 21 cm x 14.8 cm, 0 g |
| ISBN: | 3658135271 9783658135270 |
Internformat
MARC
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| 100 | 1 | |a Dochow, Robert |e Verfasser |0 (DE-588)1105416496 |4 aut | |
| 245 | 1 | 0 | |a Online algorithms for the portfolio selection problem |c Robert Dochow ; with a foreword by Prof. Dr.-Ing. Günter Schmidt |
| 264 | 1 | |a Wiesbaden |b Springer Gabler |c [2016] | |
| 264 | 4 | |c © 2016 | |
| 300 | |a XXVI, 185 Seiten |b Illustrationen |c 21 cm x 14.8 cm, 0 g | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
| 338 | |b nc |2 rdacarrier | ||
| 490 | 0 | |a Research | |
| 502 | |b Dissertation |c Saarland University |d 2015 | ||
| 650 | 0 | 7 | |a Portfoliomanagement |0 (DE-588)4115601-8 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Computerunterstütztes Verfahren |0 (DE-588)4139030-1 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Theorie |0 (DE-588)4059787-8 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Performance |g Kapitalanlage |0 (DE-588)4219415-5 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Portfolio Selection |0 (DE-588)4046834-3 |2 gnd |9 rswk-swf |
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| 650 | 0 | 7 | |a Algorithmus |0 (DE-588)4001183-5 |2 gnd |9 rswk-swf |
| 653 | |a Competitive Analysis | ||
| 653 | |a Investment | ||
| 653 | |a Performance Evaluation | ||
| 653 | |a Software Tool | ||
| 653 | |a Trading | ||
| 655 | 7 | |0 (DE-588)4113937-9 |a Hochschulschrift |2 gnd-content | |
| 655 | 7 | |0 (DE-588)4113937-9 |a Hochschulschrift |2 gnd-content | |
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Datensatz im Suchindex
| _version_ | 1807593176666472448 |
|---|---|
| adam_text |
CONTENTS
LIST OF ABBREVIATIONS XV
LIST OF VARIABLES XIX
LIST OF FIGURES XXIII
LIST OF TABLES XXV
1 INTRODUCTION 1
1.1
PRELIMINARIES.
1
1.2 MOTIVATION AND RESEARCH QUESTIONS
.
"4
1.3 STRUCTURE OF THE THESIS
.
6
2 PORTFOLIO SELECTION PROBLEMS 9
2.1
PRELIMINARIES.
9
2.1.1 ONLINE AND OFFLINE ALGORITHMS
.
13
2.1.2 MATHEMATICAL PROGRAMMING
.
14
2.1.3 ASSET PRICES, CONVERSION RATES AND RETURN FACTORS . . 17
2.2 SELECTED PORTFOLIO SELECTION PROBLEMS
.
19
2.2.1 GENERAL PORTFOLIO SELECTION PROBLEM
.
21
2.2.2 CONSTANT REBALANCING PROBLEM
.
25
2.2.3 SEMI-PORTFOLIO SELECTION PROBLEM
.
27
2.2.4 SEMI-CONSTANT REBALANCING PROBLEM
.
29
2.2.5 BUY-AND-HOLD PROBLEM
.32
2.2.6 CONVERSION
PROBLEM.34
2.3 STANDARD WORKING
MODELS.38
2.3.1 PORTFOLIO SELECTION PROBLEM
.
38
2.3.2 CONVERSION
PROBLEM.39
2.4 CONCLUSIONS
.
40
3 PERFORMANCE EVALUATION 45
3.1
PRELIMINARIES.45
3.1.1 PROBLEM STATEMENT
.
46
3.1.2 EFFICIENT MARKETS HYPOTHESIS
.
46
3.1.3 TIME
COMPLEXITY.47
3.2 SELECTED PERFORMANCE
MEASURES.48
3.2.1 MEASURES OF RETURN ON INVESTMENT
.
48
3.2.2 MEASURES OF R
ISK. 50
3.2.3 MEASURES OF RISK-ADJUSTED PERFORMANCE.52
3.3 SELECTED
BENCHMARKS.53
3.3.1 OFFLINE BENCHMARKS: BUY-AND-HOLD
.
54
3.3.2 OFFLINE BENCHMARKS: CONSTANT REBALANCING.55
3.3.3 ONLINE BENCHMARKS
.
56
3.4 STATISTICAL
ANALYSIS.58
3.4.1 SELECTED STATISTICAL MEASURES
.
58
3.4.2 HYPOTHESIS
TESTING.61
3.4.3 SELECTED SAMPLING TECHNIQUES
.
68
3.5 COMPETITIVE
ANALYSIS.71
3.5.1 COMPETITIVE R
ATIO
.
72
3.5.2 PERFORMANCE R
ATIO.72
3.5.3 COMPARATIVE
RATIO.73
3.5.4 AVERAGE-CASE COMPETITIVE R
ATIO
.
73
3.5.5 CONCEPT OF UNIVERSALITY
.
74
3.5.6 COMPETITIVE RATIO AS PERFORMANCE MEASURE.76
3.6
CONCLUSIONS.77
4 SELECTED ALGORITHMS FROM THE LITERATURE 79
4.1
PRELIMINARIES.79
4.1.1 VIRTUAL M
ARKET.80
4.1.2 PROJECTION ONTO A SIMPLEX
.
87
4T.S INFORMATION AND ALGORITHMS
.
87
4.2 FOLLOW-THE-WINNER ALGORITHMS
.
90
4.2.1 SUCCESSIVE CONSTANT REBALANCED ALGORITHM
.
90
4.2.2 UNIVERSAL PORTFOLIO ALGORITHM
.
91
4.2.3 EXPONENTIAL GRADIENT ALGORITHM
.
92
4.2.4 ONLINE NEWTON STEP ALGORITHM
.
93
4.3 FOLLOW-THE-LOSER ALGORITHMS
.
95
4.3.1 ANTI CORRELATION
ALGORITHM.95
4.3.2 PASSIVE AGGRESSIVE MEAN REVERSION ALGORITHM
. 97
4.3.3 CONFIDENCE WEIGHTED MEAN REVERSION ALGORITHM .
.
. 98
4.3.4 ONLINE MOVING AVERAGE MEAN REVERSION ALGORITHM . . 101
4.3.5 ROBUST MEDIAN REVERSION ALGORITHM
.
102
4.4
CONCLUSIONS.105
5 PROPOSED ALGORITHMS WITH RISK MANAGEMENT 109
5.1
PRELIMINARIES.109
5.1.1 WORST-CASE LOGARITHMIC WEALTH RATIO
.
ILL
5.1.2 UNIVERSAL PORTFOLIO ALGORITHM
.
113
5.1.3 RISK-ADJUSTED PORTFOLIO SELECTION ALGORITHM
.
116
5.1.4 COMBINED RISK-ADJUSTED PORTFOLIO SELECTION ALGORITHM 118
5.2 COMPARISON OF COMPETITIVENESS
.
119
5.3 NUMERICAL R
ESULTS.121
5.4
CONCLUSIONS.126
6 EMPIRICAL TESTING OF ALGORITHMS 127
6.1
PRELIMINARIES.127
6.1.1 ALGORITHMS AND PARAMETERS
.
128
6.1.2 RELATED
WORK.129
6.1.3 DATASET AND
DESCRIPTION.134
6.2 TEST
DESIGN.136
6.3 NUMERICAL RESULTS: EXPECTED
PERFORMANCE.140
6.4 NUMERICAL RESULTS: BEATING THE
BENCHMARK.146
6.5
CONCLUSIONS.150
7 A SOFTWARE TOOL FOR TESTING ALGORITHMS 153
7.1
PRELIMINARIES.153
7.2 PRIMARY
FUNCTIONS.155
7.2.1 EXECUTING
SAMPLING.155
7.2.2 RUNNING
ALGORITHMS.157
7.2.3 MEASURING PERFORMANCE
.
159
7.3
CONCLUSIONS.160
8 CONCLUSIONS AND FUTURE WORK 163
8.1 PORTFOLIO SELECTION PROBLEMS
.
163
8.2 ONLINE ALGORITHMS WITH RISK
MANAGEMENT.165
8.3 EMPIRICAL TESTING
.
165
8.4 CONCLUDING REMARKS
.
166
A PROOFS 169
A.L BOUNDS ON THE NUMBER OF
ALLOCATIONS.169
A. 2 ASYMPTOTIC BEHAVIOR OF THE NUMBER OF ALLOCATIONS
.
170
B NUMERICAL RESULTS 171
B. L NUMERICAL RESULTS: EXPECTED
PERFORMANCE.171
B.2 NUMERICAL RESULTS: BEATING THE BENCHMARK
.
173
BIBLIOGRAPHY 175 |
| any_adam_object | 1 |
| author | Dochow, Robert |
| author_GND | (DE-588)1105416496 |
| author_facet | Dochow, Robert |
| author_role | aut |
| author_sort | Dochow, Robert |
| author_variant | r d rd |
| building | Verbundindex |
| bvnumber | BV043870416 |
| classification_rvk | QK 810 |
| ctrlnum | (OCoLC)965939797 (DE-599)DNB1091584877 |
| dewey-full | 330 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 330 - Economics |
| dewey-raw | 330 |
| dewey-search | 330 |
| dewey-sort | 3330 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| format | Thesis Book |
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| indexdate | 2024-08-17T00:39:45Z |
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| series2 | Research |
| spelling | Dochow, Robert Verfasser (DE-588)1105416496 aut Online algorithms for the portfolio selection problem Robert Dochow ; with a foreword by Prof. Dr.-Ing. Günter Schmidt Wiesbaden Springer Gabler [2016] © 2016 XXVI, 185 Seiten Illustrationen 21 cm x 14.8 cm, 0 g txt rdacontent n rdamedia nc rdacarrier Research Dissertation Saarland University 2015 Portfoliomanagement (DE-588)4115601-8 gnd rswk-swf Computerunterstütztes Verfahren (DE-588)4139030-1 gnd rswk-swf Theorie (DE-588)4059787-8 gnd rswk-swf Performance Kapitalanlage (DE-588)4219415-5 gnd rswk-swf Portfolio Selection (DE-588)4046834-3 gnd rswk-swf Risikomanagement (DE-588)4121590-4 gnd rswk-swf Algorithmus (DE-588)4001183-5 gnd rswk-swf Competitive Analysis Investment Performance Evaluation Software Tool Trading (DE-588)4113937-9 Hochschulschrift gnd-content Portfolio Selection (DE-588)4046834-3 s Performance Kapitalanlage (DE-588)4219415-5 s Computerunterstütztes Verfahren (DE-588)4139030-1 s Algorithmus (DE-588)4001183-5 s DE-604 Portfoliomanagement (DE-588)4115601-8 s Risikomanagement (DE-588)4121590-4 s Theorie (DE-588)4059787-8 s 1\p DE-604 Springer Fachmedien Wiesbaden (DE-588)1043386068 pbl Erscheint auch als Online-Ausgabe 978-3-658-13528-7 http://www.springer.com/ Verlag X:MVB text/html http://deposit.dnb.de/cgi-bin/dokserv?id=7cf5fd15a6124c6499ca9d79d4f776d4&prov=M&dok_var=1&dok_ext=htm Inhaltstext DNB Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=029280301&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis 1\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk |
| spellingShingle | Dochow, Robert Online algorithms for the portfolio selection problem Portfoliomanagement (DE-588)4115601-8 gnd Computerunterstütztes Verfahren (DE-588)4139030-1 gnd Theorie (DE-588)4059787-8 gnd Performance Kapitalanlage (DE-588)4219415-5 gnd Portfolio Selection (DE-588)4046834-3 gnd Risikomanagement (DE-588)4121590-4 gnd Algorithmus (DE-588)4001183-5 gnd |
| subject_GND | (DE-588)4115601-8 (DE-588)4139030-1 (DE-588)4059787-8 (DE-588)4219415-5 (DE-588)4046834-3 (DE-588)4121590-4 (DE-588)4001183-5 (DE-588)4113937-9 |
| title | Online algorithms for the portfolio selection problem |
| title_auth | Online algorithms for the portfolio selection problem |
| title_exact_search | Online algorithms for the portfolio selection problem |
| title_full | Online algorithms for the portfolio selection problem Robert Dochow ; with a foreword by Prof. Dr.-Ing. Günter Schmidt |
| title_fullStr | Online algorithms for the portfolio selection problem Robert Dochow ; with a foreword by Prof. Dr.-Ing. Günter Schmidt |
| title_full_unstemmed | Online algorithms for the portfolio selection problem Robert Dochow ; with a foreword by Prof. Dr.-Ing. Günter Schmidt |
| title_short | Online algorithms for the portfolio selection problem |
| title_sort | online algorithms for the portfolio selection problem |
| topic | Portfoliomanagement (DE-588)4115601-8 gnd Computerunterstütztes Verfahren (DE-588)4139030-1 gnd Theorie (DE-588)4059787-8 gnd Performance Kapitalanlage (DE-588)4219415-5 gnd Portfolio Selection (DE-588)4046834-3 gnd Risikomanagement (DE-588)4121590-4 gnd Algorithmus (DE-588)4001183-5 gnd |
| topic_facet | Portfoliomanagement Computerunterstütztes Verfahren Theorie Performance Kapitalanlage Portfolio Selection Risikomanagement Algorithmus Hochschulschrift |
| url | http://www.springer.com/ http://deposit.dnb.de/cgi-bin/dokserv?id=7cf5fd15a6124c6499ca9d79d4f776d4&prov=M&dok_var=1&dok_ext=htm http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=029280301&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| work_keys_str_mv | AT dochowrobert onlinealgorithmsfortheportfolioselectionproblem AT springerfachmedienwiesbaden onlinealgorithmsfortheportfolioselectionproblem |