Portfolio optimization and the random magnet problem
نویسندگان
چکیده
منابع مشابه
Portfolio optimization and the random magnet problem
– Diversification of an investment into independently fluctuating assets reduces its risk. In reality, movements of assets are mutually correlated and therefore knowledge of cross-correlations among asset price movements are of great importance. Our results support the possibility that the problem of finding an investment in stocks which exposes invested funds to a minimum level of risk is anal...
متن کاملMean-variance model for portfolio optimization problem in the simultaneous presence of random and uncertain returns
The determination of security returns will be associated with the validity of the corresponding portfolio selection models. The complexity of real financial market inevitably leads to diversity of types of security returns. For example, they are considered as random variables when available data are enough, or they are considered as uncertain variables when lack of data. This paper is devoted t...
متن کاملA global optimization problem in portfolio selection
This paper deals with the issue of buy-in thresholds in portfolio optimization using the Markowitz approach. Optimal values of invested fractions calculated using, for instance, the classical minimum-risk problem can be unsatisfactory in practice because they imply that very small amounts of certain assets are purchased. Realistically, we want to impose a discrete restriction on each invested f...
متن کاملMixed Tabu machine for portfolio optimization problem
In this paper, we introduce a novel artificial neural network to solve the portfolio optimization problem. The proposed neural network is called the Mixed Tabu Machine since its structure is similar to the Tabu Machine, but includes both discrete and continues variables. Similar to the Hopfield network, the state of the Mixed Tabu Machine is updated to find the global minimum energy state. To e...
متن کاملAn Algorithm for Portfolio Optimization Problem
Portfolio optimization is to find the stock portfolio minimizing the risk for a required return or maximizing the return for a given risk level. The seminal work in this field is the meanvariance model formulated as a quadratic programming problem. Since it is not computationally practical to solve the original model directly, a number of alternative models have been proposed. In this paper, am...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Europhysics Letters (EPL)
سال: 2002
ISSN: 0295-5075,1286-4854
DOI: 10.1209/epl/i2002-00135-4