In this research we study the relative performance of investment strategies scrutinizing their behaviour in an ecological competition where populations of artificial investors co-evolve. We test different variations around the canonical modern portfolio theory of Markowitz, strategies based on the naive diversification principles and the combination of several strategies. We show, among others,...

Since the 1960s, lots of scholars had begun to research in the portfolio selections based on the theory of mean-variance of Markowitz portfolio and relevant methods. All of these studies are under certainly of the assumption term, and then the researchers can get efficient set of portfolio selection. However, alone with the finance environment increasing of complexity, it is becoming more compl...

markowitz, in his portfolio selection theory, stated that investors select their portfolios according to two criteria of risk and return. accordingly, he presented his mathematical model. one of the criticisms of this model is that while investors, practically, consider different criteria in forming their portfolios, it only considers the return mean and return standard deviation. liquidity is ...

Cities are engines of the knowledge-based economy, because they are the primary sites of knowledge production activities that subsequently shape the rate and direction of technological change and economic growth. Patents provide a wealth of information to analyse the knowledge specialization at specific places, such as technological details and information on inventors and entities involved, in...

Combinatorial optimization has been a workhorse of financial and risk management, and it has spawned a large number of real-life applications. Prominent in this body of research is the mean-variance efficient frontier (MVEF) that emanates from the portfolio optimization problem (POP), pioneered by Harry Markowitz. A textbook version of POP minimizes risk for a given expected return on a portfol...

Portfolio allocation theory has been heavily influenced by a major contribution of Harry Markowitz in the early fifties: the mean-variance approach. While there has been a continuous line of works in on-line learning portfolios over the past decades, very few works have really tried to cope with Markowitz model. A major drawback of the mean-variance approach is that it is approximation-free onl...

Dealing with uncertainty on financial markets is very difficult task. The investor’s decision is highly dependent on the selected criteria which should help him to select the best among available investment opportunities. Harry Markowitz, [12], introduced his mean-risk model more than 50 years ago where variance was used as the risk measure. Many other risk measures has been proposed since then...

This paper contains a comparison of in-sample and out-of-sample performances between the resampled efficiency technique, patented by Richard Michaud and Robert Michaud (1999), and traditional Mean-Variance portfolio selection, presented by Harry Markowitz (1952). Based on the Monte Carlo simulation, data (samples) generation process determines the algorithms by using both, parametric and nonpar...

It is a matter of common knowledge that traditional Markowitz optimization based on sample means and covariances performs poorly in practice. For this reason, diverse attempts were made to improve performance of portfolio optimization. In this paper, we investigate three popular portfolio selection models built upon classical meanvariance theory. The first model is an extension of the tradition...