Online Algorithms for the Portfolio Selection Problem

• Main Author: Dochow, Robert (Author)
• Corporate Author: SpringerLink (Online service)
• Format: Electronic eBook
• Language: English
• Published: Wiesbaden : Springer Fachmedien Wiesbaden : Imprint: Springer Gabler, 2016.
• Subjects: Operations research.; Decision making.; Investment banking.; Securities.; Economic theory.; Economics.; Economic Theory/Quantitative Economics/Mathematical Methods.; Operation Research/Decision Theory.; Investments and Securities.

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 comprehens...