Fifty years of portfolio optimization–A European perspective
The allocation of resources to alternative investment opportunities is one of the most
important decisions organisations and individuals face. These decisions can be guided by …
important decisions organisations and individuals face. These decisions can be guided by …
Hyperscaling in the coherent hyperspin machine
M Calvanese Strinati, C Conti - Physical Review Letters, 2024 - APS
Classical and quantum systems are used to simulate the Ising Hamiltonian, an essential
component in large-scale optimization and machine learning. However, as the system size …
component in large-scale optimization and machine learning. However, as the system size …
[HTML][HTML] Multidimensional hyperspin machine
M Calvanese Strinati, C Conti - Nature Communications, 2022 - nature.com
From condensed matter to quantum chromodynamics, multidimensional spins are a
fundamental paradigm, with a pivotal role in combinatorial optimization and machine …
fundamental paradigm, with a pivotal role in combinatorial optimization and machine …
A systematic literature review on solution approaches for the index tracking problem
JCS Silva, AT de Almeida Filho - IMA Journal of Management …, 2024 - academic.oup.com
Abstract Accepted by: Giorgio Consigli The passive management approach offers
conservative investors a way to reduce risk concerning the market. This investment strategy …
conservative investors a way to reduce risk concerning the market. This investment strategy …
Using GAN-generated market simulations to guide genetic algorithms in index tracking optimization
JCS Silva, AT de Almeida Filho - Applied Soft Computing, 2023 - Elsevier
Index tracking is the problem of building a portfolio that replicates the performance of a
market index. The recent applications involving deep learning in index tracking are more …
market index. The recent applications involving deep learning in index tracking are more …
Financial index tracking via quantum computing with cardinality constraints
S Palmer, K Karagiannis, A Florence… - arXiv preprint arXiv …, 2022 - arxiv.org
In this work, we demonstrate how to apply non-linear cardinality constraints, important for
real-world asset management, to quantum portfolio optimization. This enables us to tackle …
real-world asset management, to quantum portfolio optimization. This enables us to tackle …
Assessing the interactions amongst index tracking model formulations and genetic algorithm approaches with different rebalancing strategies
TW De Amorim, JCS Silva, AT de Almeida Filho - Soft Computing, 2024 - Springer
The index tracking problem consists of constructing a portfolio that has the closest
performance of a given index as possible, with fewer assets in its composition. When …
performance of a given index as possible, with fewer assets in its composition. When …
[HTML][HTML] The worst case GARCH-copula CVaR approach for portfolio optimisation: Evidence from financial markets
Portfolio optimisation aims to efficiently find optimal proportions of portfolio assets, given
certain constraints, and has been well-studied. While portfolio optimisation ascertains asset …
certain constraints, and has been well-studied. While portfolio optimisation ascertains asset …
Investment portfolio tracking using model predictive control
MK de Melo, RT Nogueira Cardoso… - Optimal Control …, 2023 - Wiley Online Library
The composition of an investment portfolio aiming to increase the financial returns while
reducing the exposure to risk is a topic of growing interest in the world. In this direction, we …
reducing the exposure to risk is a topic of growing interest in the world. In this direction, we …
An enhanced grasp approach for the index tracking problem
Index tracking models build portfolios of limited size that replicate the performance of a
market index. As the size of the index grows, it becomes impractical to find an optimal …
market index. As the size of the index grows, it becomes impractical to find an optimal …