Online Algorithms for the Portfolio Selection Problem
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 empiricall
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Online Algorithms for the Portfolio Selection Problem
Online Algorithms for the Portfolio Selection Problem
Robert Dochow
Online Algorithms for the Portfolio Selection Problem With a foreword by Prof. Dr.-Ing. Günter Schmidt
Robert Dochow Saarbrücken, Germany Dissertation Saarland University, Saarbrücken, 2015
ISBN 978-3-658-13528-7 (eBook) ISBN 978-3-658-13527-0 DOI 10.1007/978-3-658-13528-7 Library of Congress Control Number: 2016939257 Springer Gabler © Springer Fachmedien Wiesbaden 2016 This work is subject to copyright. All rights are reserved by the Publisher, whether the whole or part of the material is concerned, specifically the rights of translation, reprinting, reuse of illustrations, recitation, broadcasting, reproduction on microfilms or in any other physical way, and transmission or information storage and retrieval, electronic adaptation, computer software, or by similar or dissimilar methodology now known or hereafter developed. The use of general descriptive names, registered names, trademarks, service marks, etc. in this publication does not imply, even in the absence of a specific statement, that such names are exempt from the relevant protective laws and regulations and therefore free for general use. The publisher, the authors and the editors are safe to assume that the advice and information in this book are believed to be true and accurate at the date of publication. Neither the publisher nor the authors or the editors give a warranty, express or implied, with respect to the material contained herein or for any errors or omissions that may have been made. Printed on acid-free paper This Springer Gabler imprint is published by Springer Nature The registered company is Springer Fachmedien Wiesbaden GmbH
To Lucie Elena
Foreword When Robert Dochow came to the Saarland University in the year 2010 he had solid financial knowledge and a typical business administration perspective. At the chair of Operations Research and Business Informatics he acquired, through his ambitious desire for learning and understanding, a great expertise in management science and combinatorial online problems. His perspective enlarged naturally to computer science. With this he concentrated on the study of the financial portfolio selection problem. This book is one result of his efforts. It is good to see that our numerous discussions, his large experiences in teaching and supervision of students are incorporated in the development of this book. Automated trading with algorithms is more and more evolving in financial markets, this book focusses on this subject. It contains a clearly written survey and introduction to the issues of portfolio selection, online algorithms and performance evaluation. It is competitive with the book Online Portfolio Selection: Principles and Algorithms of Li and Hoi. It is impressing that Robert Dochow designs two new algorithms for portfolio selection with mathematically provable properties. The extent and nature of the empirical investigation of algorithms for the portfolio select
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