Statistical And Algorithm Aspects Of Optimal Portfolios
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Statistical And Algorithm Aspects Of Optimal Portfolios
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Author : Howard Howan Stephen Shek
language : en
Publisher: Stanford University
Release Date : 2011
Statistical And Algorithm Aspects Of Optimal Portfolios written by Howard Howan Stephen Shek and has been published by Stanford University this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011 with categories.
We address three key aspects of optimal portfolio construction: expected return, variance-covariance modeling and optimization in presence of cardinality constraints. On expected return modeling, we extend the self-excited point process framework to model conditional arrival intensities of bid and ask side market orders of listed stocks. The cross-excitation of market orders is modeled explicitly such that the ask side market order size and bid side probability weighted order book cumulative volume can affect the ask side order intensity, and vice versa. Different variations of the framework are estimated by using method of maximum likelihood estimation, based on a recursive application of the log-likelihood functions derived in this thesis. Results indicate that the self-excited point process framework is able to capture a significant amount of the underlying trading dynamics of market orders, both in-sample and out-of-sample. A new framework is introduced, Realized GARCH, for the joint modeling of returns and realized measures of volatility. A key feature is a measurement equation that relates the realized measure to the conditional variance of returns. The measurement equation facilitates a simple modeling of the dependence between returns and future volatility. Realized GARCH models with a linear or log-linear specification have many attractive features. They are parsimonious, simple to estimate, and imply an ARMA structure for the conditional variance and the realized measure. An empirical application with DJIA stocks and an exchange traded index fund shows that a simple Realized GARCH structure leads to substantial improvements in the empirical fit over standard GARCH models. Finally we describe a novel algorithm to obtain the solution of the optimal portfolio problem with NP-hard cardinality constraints. The algorithm is based on a local relaxation that exploits the inherent structure of the objective function. It solves a sequence of small, local, quadratic-programs by first projecting asset returns onto a reduced metric space, followed by clustering in this space to identify sub-groups of assets that best accentuate a suitable measure of similarity amongst different assets. The algorithm can either be cold started using the centroids of initial clusters or be warm started based on the output of a previous result. Empirical result, using baskets of up to 3,000 stocks and with different cardinality constraints, indicates that the algorithm is able to achieve significant performance gain over a sophisticated branch-and-cut method. One key application of this local relaxation algorithm is in dealing with large scale cardinality constrained portfolio optimization under tight time constraint, such as for the purpose of index tracking or index arbitrage at high frequency.
The Science Of Algorithmic Trading And Portfolio Management
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Author : Robert Kissell
language : en
Publisher: Academic Press
Release Date : 2013-10-01
The Science Of Algorithmic Trading And Portfolio Management written by Robert Kissell and has been published by Academic Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-10-01 with Business & Economics categories.
The Science of Algorithmic Trading and Portfolio Management, with its emphasis on algorithmic trading processes and current trading models, sits apart from others of its kind. Robert Kissell, the first author to discuss algorithmic trading across the various asset classes, provides key insights into ways to develop, test, and build trading algorithms. Readers learn how to evaluate market impact models and assess performance across algorithms, traders, and brokers, and acquire the knowledge to implement electronic trading systems. This valuable book summarizes market structure, the formation of prices, and how different participants interact with one another, including bluffing, speculating, and gambling. Readers learn the underlying details and mathematics of customized trading algorithms, as well as advanced modeling techniques to improve profitability through algorithmic trading and appropriate risk management techniques. Portfolio management topics, including quant factors and black box models, are discussed, and an accompanying website includes examples, data sets supplementing exercises in the book, and large projects. - Prepares readers to evaluate market impact models and assess performance across algorithms, traders, and brokers. - Helps readers design systems to manage algorithmic risk and dark pool uncertainty. - Summarizes an algorithmic decision making framework to ensure consistency between investment objectives and trading objectives.
Statistical And Algorithm Aspects Of Optimal Portfolios
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Author : Howard Howan Stephen Shek
language : en
Publisher:
Release Date : 2011
Statistical And Algorithm Aspects Of Optimal Portfolios written by Howard Howan Stephen Shek and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011 with categories.
We address three key aspects of optimal portfolio construction: expected return, variance-covariance modeling and optimization in presence of cardinality constraints. On expected return modeling, we extend the self-excited point process framework to model conditional arrival intensities of bid and ask side market orders of listed stocks. The cross-excitation of market orders is modeled explicitly such that the ask side market order size and bid side probability weighted order book cumulative volume can affect the ask side order intensity, and vice versa. Different variations of the framework are estimated by using method of maximum likelihood estimation, based on a recursive application of the log-likelihood functions derived in this thesis. Results indicate that the self-excited point process framework is able to capture a significant amount of the underlying trading dynamics of market orders, both in-sample and out-of-sample. A new framework is introduced, Realized GARCH, for the joint modeling of returns and realized measures of volatility. A key feature is a measurement equation that relates the realized measure to the conditional variance of returns. The measurement equation facilitates a simple modeling of the dependence between returns and future volatility. Realized GARCH models with a linear or log-linear specification have many attractive features. They are parsimonious, simple to estimate, and imply an ARMA structure for the conditional variance and the realized measure. An empirical application with DJIA stocks and an exchange traded index fund shows that a simple Realized GARCH structure leads to substantial improvements in the empirical fit over standard GARCH models. Finally we describe a novel algorithm to obtain the solution of the optimal portfolio problem with NP-hard cardinality constraints. The algorithm is based on a local relaxation that exploits the inherent structure of the objective function. It solves a sequence of small, local, quadratic-programs by first projecting asset returns onto a reduced metric space, followed by clustering in this space to identify sub-groups of assets that best accentuate a suitable measure of similarity amongst different assets. The algorithm can either be cold started using the centroids of initial clusters or be warm started based on the output of a previous result. Empirical result, using baskets of up to 3,000 stocks and with different cardinality constraints, indicates that the algorithm is able to achieve significant performance gain over a sophisticated branch-and-cut method. One key application of this local relaxation algorithm is in dealing with large scale cardinality constrained portfolio optimization under tight time constraint, such as for the purpose of index tracking or index arbitrage at high frequency.
Optimal Portfolios
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Author : Ralf Korn
language : en
Publisher: World Scientific
Release Date : 1997
Optimal Portfolios written by Ralf Korn and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 1997 with Business & Economics categories.
The focus of the book is the construction of optimal investment strategies in a security market model where the prices follow diffusion processes. It begins by presenting the complete Black-Scholes type model and then moves on to incomplete models and models including constraints and transaction costs. The models and methods presented will include the stochastic control method of Merton, the martingale method of Cox-Huang and Karatzas et al., the log optimal method of Cover and Jamshidian, the value-preserving model of Hellwig etc.
Quantitative Trading
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Author : Xin Guo
language : en
Publisher: CRC Press
Release Date : 2017-01-06
Quantitative Trading written by Xin Guo and has been published by CRC Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017-01-06 with Business & Economics categories.
The first part of this book discusses institutions and mechanisms of algorithmic trading, market microstructure, high-frequency data and stylized facts, time and event aggregation, order book dynamics, trading strategies and algorithms, transaction costs, market impact and execution strategies, risk analysis, and management. The second part covers market impact models, network models, multi-asset trading, machine learning techniques, and nonlinear filtering. The third part discusses electronic market making, liquidity, systemic risk, recent developments and debates on the subject.
Online Portfolio Selection
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Author : Bin Li
language : en
Publisher:
Release Date : 2023-12-31
Online Portfolio Selection written by Bin Li and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2023-12-31 with Business & Economics categories.
This book investigates the OLPS problem. The authors unveil four innovative algorithms based on the cutting edge machine learning techniques and also detail a powerful trading simulation tools. The book includes MATLAB(R) code for simulation trading systems that use historical data to evaluate the performance of trading strategies.
Proceedings Of The First International Conference On Applied Mathematics Statistics And Computing Icamsac 2023
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Author : Komang Dharmawan
language : en
Publisher: Springer Nature
Release Date : 2024-05-11
Proceedings Of The First International Conference On Applied Mathematics Statistics And Computing Icamsac 2023 written by Komang Dharmawan and has been published by Springer Nature this book supported file pdf, txt, epub, kindle and other format this book has been release on 2024-05-11 with Computers categories.
This is an open access book.ICAMSAC 2023 Theme: Application of Mathematics and Computing in Multidisciplinary Research With ScopeApplication of Mathematics and Computing in Multidisciplinary Research The Subject Scope of The ConferenceMathematical modeling, optimization, numerical analysis, differential equations, mathematical physics, and mathematical biology. probability theory, statistical modeling, experimental design, data visualization, multivariate analysis, machine learning, and applications of statistics in various domains such as finance, healthcare, social sciences, and engineering, cloud computing, programming languages, algorithms, artificial intelligence, data mining, high-performance computing, scientific computing, numerical simulations, and computational modeling. ICAMSAC 2023 aims to bring together leading academic scientists, researchers, andresearch scholars to exchance and share their experiences and research results on all aspects of Mathematics, Statistics, and Computing. It also provides a platform researchers, practitioners, and educators to present and discuss recent innovations, current issues, trends, and challenges faced.
Constructing Insurable Risk Portfolios
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Author : Edward W. Frees
language : en
Publisher: CRC Press
Release Date : 2025-04-09
Constructing Insurable Risk Portfolios written by Edward W. Frees and has been published by CRC Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2025-04-09 with Business & Economics categories.
Constructing Insurable Risk Portfolios offers a data-driven approach to devising risk retention programs that safeguard firms from a multitude of risks. Because firms face many risks, including fire damage to their buildings, liability from management misconduct, and external threats like cyberattacks, this book treats these potential liabilities as a "portfolio." Drawing inspiration from Markowitz portfolio theory, the text leverages techniques from probability, statistics, and optimization to build algorithms that construct optimal risk insurable portfolios under budget constraints. Features Through engaging case studies and supporting statistical (R) code, readers will learn how to build optimal insurable risk portfolios. This book illustrates a frontier that depicts the trade-off between the uncertainty of a portfolio and the cost of risk transfer. This visual representation, mirroring familiar Markowitz investment tools, enables informed decision-making and easy adoption by risk advisors. This book lays the mathematical groundwork for constructing optimal insurable risk portfolios in an effective and aesthetically pleasing manner. For those interested in the detailed mathematical aspects of insurable risk portfolio optimization, comprehensive proofs and derivations are available in an online supplement. This book equips students, academics, and practitioners with quantitative tools to analyze real-world risk portfolios. Additionally, it empowers financial analysts to provide data-driven insights that enhance their advisory roles for risk managers.
Algorithm Portfolios
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Author : Dimitris Souravlias
language : en
Publisher: Springer Nature
Release Date : 2021-03-24
Algorithm Portfolios written by Dimitris Souravlias and has been published by Springer Nature this book supported file pdf, txt, epub, kindle and other format this book has been release on 2021-03-24 with Business & Economics categories.
This book covers algorithm portfolios, multi-method schemes that harness optimization algorithms into a joint framework to solve optimization problems. It is expected to be a primary reference point for researchers and doctoral students in relevant domains that seek a quick exposure to the field. The presentation focuses primarily on the applicability of the methods and the non-expert reader will find this book useful for starting designing and implementing algorithm portfolios. The book familiarizes the reader with algorithm portfolios through current advances, applications, and open problems. Fundamental issues in building effective and efficient algorithm portfolios such as selection of constituent algorithms, allocation of computational resources, interaction between algorithms and parallelism vs. sequential implementations are discussed. Several new applications are analyzed and insights on the underlying algorithmic designs are provided. Future directions, new challenges, and open problems in the design of algorithm portfolios and applications are explored to further motivate research in this field.
Frontiers Of Business Management And Economics
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Author : Mehran Nejati
language : en
Publisher: Universal-Publishers
Release Date : 2013-06-05
Frontiers Of Business Management And Economics written by Mehran Nejati and has been published by Universal-Publishers this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-06-05 with Business & Economics categories.
This edited book is a compilation of research studies conducted in the areas of business, management and economics. These cutting-edge articles will be of interest to researchers, academics, and business managers.