Multicriteria Portfolio Construction With Python

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Multicriteria Portfolio Construction With Python

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Author : Elissaios Sarmas
language : en
Publisher: Springer Nature
Release Date : 2020-10-17

Multicriteria Portfolio Construction With Python written by Elissaios Sarmas and has been published by Springer Nature this book supported file pdf, txt, epub, kindle and other format this book has been release on 2020-10-17 with Business & Economics categories.

This book covers topics in portfolio management and multicriteria decision analysis (MCDA), presenting a transparent and unified methodology for the portfolio construction process. The most important feature of the book includes the proposed methodological framework that integrates two individual subsystems, the portfolio selection subsystem and the portfolio optimization subsystem. An additional highlight of the book includes the detailed, step-by-step implementation of the proposed multicriteria algorithms in Python. The implementation is presented in detail; each step is elaborately described, from the input of the data to the extraction of the results. Algorithms are organized into small cells of code, accompanied by targeted remarks and comments, in order to help the reader to fully understand their mechanics. Readers are provided with a link to access the source code through GitHub. This Work may also be considered as a reference which presents the state-of-art research on portfolio construction with multiple and complex investment objectives and constraints. The book consists of eight chapters. A brief introduction is provided in Chapter 1. The fundamental issues of modern portfolio theory are discussed in Chapter 2. In Chapter 3, the various multicriteria decision aid methods, either discrete or continuous, are concisely described. In Chapter 4, a comprehensive review of the published literature in the field of multicriteria portfolio management is considered. In Chapter 5, an integrated and original multicriteria portfolio construction methodology is developed. Chapter 6 presents the web-based information system, in which the suggested methodological framework has been implemented. In Chapter 7, the experimental application of the proposed methodology is discussed and in Chapter 8, the authors provide overall conclusions. The readership of the book aims to be a diverse group, including fund managers, risk managers, investment advisors, bankers, private investors, analytics scientists, operations researchers scientists, and computer engineers, to name just several. Portions of the book may be used as instructional for either advanced undergraduate or post-graduate courses in investment analysis, portfolio engineering, decision science, computer science, or financial engineering.

Business Analytics For Professionals

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Author : Alp Ustundag
language : en
Publisher: Springer Nature
Release Date : 2022-05-09

Business Analytics For Professionals written by Alp Ustundag and has been published by Springer Nature this book supported file pdf, txt, epub, kindle and other format this book has been release on 2022-05-09 with Business & Economics categories.

This book explains concepts and techniques for business analytics and demonstrate them on real life applications for managers and practitioners. It illustrates how machine learning and optimization techniques can be used to implement intelligent business automation systems. The book examines business problems concerning supply chain, marketing & CRM, financial, manufacturing and human resources functions and supplies solutions in Python.

Artificial Intelligence For Energy Systems

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Author : Elissaios Sarmas
language : en
Publisher: Springer Nature
Release Date : 2025-03-21

Artificial Intelligence For Energy Systems written by Elissaios Sarmas and has been published by Springer Nature this book supported file pdf, txt, epub, kindle and other format this book has been release on 2025-03-21 with Computers categories.

This book focuses on creating an integrated library of learning models and optimization techniques to assist decision-making on issues in the energy and building sector. It provides modern solutions to energy management and efficiency while addressing a scientific gap in the development of advanced algorithmic methods to solve these problems. More specifically, the focus is on the development of models and algorithms for problems falling into three broader categories, namely: (a) Distributed Energy Generation, (b) Microgrid Flexibility, and (c) Building Energy Efficiency. Artificial Intelligence models and mathematical optimization techniques are developed and presented for applications related to each of these categories, through a thorough analysis of the fundamental parameters of each application as well as the interactions among them. Professors, researchers, scientists, engineers, and students in energy sector-related disciplines are expected to be inspired and benefit from this book, along with readers from other disciplines wishing to learn more about this exciting new field of research.

Portfolio Decision Analysis

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Author : Ahti Salo
language : en
Publisher: Springer Science & Business Media
Release Date : 2011-08-12

Portfolio Decision Analysis written by Ahti Salo and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011-08-12 with Business & Economics categories.

Portfolio Decision Analysis: Improved Methods for Resource Allocation provides an extensive, up-to-date coverage of decision analytic methods which help firms and public organizations allocate resources to 'lumpy' investment opportunities while explicitly recognizing relevant financial and non-financial evaluation criteria and the presence of alternative investment opportunities. In particular, it discusses the evolution of these methods, presents new methodological advances and illustrates their use across several application domains. The book offers a many-faceted treatment of portfolio decision analysis (PDA). Among other things, it (i) synthesizes the state-of-play in PDA, (ii) describes novel methodologies, (iii) fosters the deployment of these methodologies, and (iv) contributes to the strengthening of research on PDA. Portfolio problems are widely regarded as the single most important application context of decision analysis, and, with its extensive and unique coverage of these problems, this book is a much-needed addition to the literature. The book also presents innovative treatments of new methodological approaches and their uses in applications. The intended audience consists of practitioners and researchers who wish to gain a good understanding of portfolio decision analysis and insights into how PDA methods can be leveraged in different application contexts. The book can also be employed in courses at the post-graduate level.

Quantitative Portfolio Management

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Author : Pierre Brugière
language : en
Publisher: Springer Nature
Release Date : 2020-03-28

Quantitative Portfolio Management written by Pierre Brugière and has been published by Springer Nature this book supported file pdf, txt, epub, kindle and other format this book has been release on 2020-03-28 with Mathematics categories.

This self-contained book presents the main techniques of quantitative portfolio management and associated statistical methods in a very didactic and structured way, in a minimum number of pages. The concepts of investment portfolios, self-financing portfolios and absence of arbitrage opportunities are extensively used and enable the translation of all the mathematical concepts in an easily interpretable way. All the results, tested with Python programs, are demonstrated rigorously, often using geometric approaches for optimization problems and intrinsic approaches for statistical methods, leading to unusually short and elegant proofs. The statistical methods concern both parametric and non-parametric estimators and, to estimate the factors of a model, principal component analysis is explained. The presented Python code and web scraping techniques also make it possible to test the presented concepts on market data. This book will be useful for teaching Masters students and for professionals in asset management, and will be of interest to academics who want to explore a field in which they are not specialists. The ideal pre-requisites consist of undergraduate probability and statistics and a familiarity with linear algebra and matrix manipulation. Those who want to run the code will have to install Python on their pc, or alternatively can use Google Colab on the cloud. Professionals will need to have a quantitative background, being either portfolio managers or risk managers, or potentially quants wanting to double check their understanding of the subject.

Portfolio Diversification

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Author : Francois-Serge Lhabitant
language : en
Publisher: Elsevier
Release Date : 2017-09-26

Portfolio Diversification written by Francois-Serge Lhabitant and has been published by Elsevier this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017-09-26 with Mathematics categories.

Portfolio Diversification provides an update on the practice of combining several risky investments in a portfolio with the goal of reducing the portfolio's overall risk. In this book, readers will find a comprehensive introduction and analysis of various dimensions of portfolio diversification (assets, maturities, industries, countries, etc.), along with time diversification strategies (long term vs. short term diversification) and diversification using other risk measures than variance. Several tools to quantify and implement optimal diversification are discussed and illustrated. - Focuses on portfolio diversification across all its dimensions - Includes recent empirical material that was created and developed specifically for this book - Provides several tools to quantify and implement optimal diversification

Handbook Of Financial Engineering

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Author : Constantin Zopounidis
language : en
Publisher: Springer Science & Business Media
Release Date : 2010-07-25

Handbook Of Financial Engineering written by Constantin Zopounidis and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010-07-25 with Business & Economics categories.

This comprehensive handbook discusses the most recent advances within the field of financial engineering, focusing not only on the description of the existing areas in financial engineering research, but also on the new methodologies that have been developed for modeling and addressing financial engineering problems. The book is intended for financial engineers, researchers, applied mathematicians, and graduate students interested in real-world applications to financial engineering.

Evolutionary Multiobjective Optimization

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Author : Ajith Abraham
language : en
Publisher: Springer Science & Business Media
Release Date : 2005-04-22

Evolutionary Multiobjective Optimization written by Ajith Abraham and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005-04-22 with Computers categories.

Evolutionary Multiobjective Optimization is a rare collection of the latest state-of-the-art theoretical research, design challenges and applications in the field of multiobjective optimization paradigms using evolutionary algorithms. It includes two introductory chapters giving all the fundamental definitions, several complex test functions and a practical problem involving the multiobjective optimization of space structures under static and seismic loading conditions used to illustrate the various multiobjective optimization concepts. Important features include: Detailed overview of all the multiobjective optimization paradigms using evolutionary algorithms Excellent coverage of timely, advanced multiobjective optimization topics State-of-the-art theoretical research and application developments Chapters authored by pioneers in the field Academics and industrial scientists as well as engineers engaged in research, development and application of evolutionary algorithm based Multiobjective Optimization will find the comprehensive coverage of this book invaluable.

Smart Cities Green Technologies And Intelligent Transport Systems

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Author : Cornel Klein
language : en
Publisher: Springer Nature
Release Date : 2022-09-27

Smart Cities Green Technologies And Intelligent Transport Systems written by Cornel Klein and has been published by Springer Nature this book supported file pdf, txt, epub, kindle and other format this book has been release on 2022-09-27 with Computers categories.

​This book includes extended and revised selected papers from the 10th International Conference on Smart Cities and Green ICT Systems, SMARTGREENS 2021, and 7th International Conference on Vehicle Technology and Intelligent Transport Systems, VEHITS 2021, held as virtual event, in April 28–30, 2021. The conference was held virtually due to the COVID-19 crisis. The 22 full papers included in this book were carefully reviewed and selected from 140 submissions. The papers present research on advances and applications in the fields of smart cities, electric vehicles, sustainable computing and communications, energy aware systems and technologies, intelligent vehicle technologies, intelligent transport systems and infrastructure, connected vehicles.

Applications Of Multi Objective Evolutionary Algorithms

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Author : Carlos A. Coello Coello
language : en
Publisher: World Scientific
Release Date : 2004

Applications Of Multi Objective Evolutionary Algorithms written by Carlos A. Coello Coello and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 2004 with Computers categories.

- Detailed MOEA applications discussed by international experts - State-of-the-art practical insights in tackling statistical optimization with MOEAs - A unique monograph covering a wide spectrum of real-world applications - Step-by-step discussion of MOEA applications in a variety of domains