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A Novel Portfolio Optimization Model Based on Trend Ratio and Evolutionary Computation
16 references·1 citing·46 second hop
A Novel Portfolio Optimization Model Based on Trend Ratio and Evolutionary Computation (2018)A Novel Portfolio Optimization Model Base…Fuzzy Forecasting Based on Two-Factors Second-Order Fuzzy-Trend Logical Relationship Groups and the Probabilities of Trends of Fuzzy Logical Relationships (2014)Fuzzy Forecasting Based on Tw…The use of artificial neural networks in the analysis and prediction of stock prices (2011)The use of artificial neural …Adaptive Time-Variant Models for Fuzzy-Time-Series Forecasting (2010)Adaptive Time-Variant Models …The Volatility Effect (2007)The Volatility EffectMean-semivariance models for fuzzy portfolio selection (2007)Mean-semivariance models for …Minimum-Variance Portfolios in the U.S. Equity Market (2006)Minimum-Variance Portfolios i…Investors and Markets: Portfolio Choices, Asset Prices, and Investment Advice (2006)Investors and Markets: Portfo…Conditional value at risk and related linear programming models for portfolio optimization (2006)Conditional value at risk and…Algorithms for portfolio management based on the Newton method (2006)Algorithms for portfolio mana…Value-at-risk in portfolio optimization: properties and computational approach (2005)Value-at-risk in portfolio op…Generating trading rules on the stock markets with genetic programming (2003)Generating trading rules on t…Portfolio optimization with conditional value-at-risk objective and constraints (2001)Portfolio optimization with c…Managing downside risk in financial markets (2001)Managing downside risk in fin…The Sharpe Ratio (1994)The Sharpe RatioStock market prediction system with modular neural networks (1990)Stock market prediction syste…Portfolio Selection (1952)Portfolio SelectionBuilding Intelligent Moving Average-Based Stock Trading System Using Metaheuristic Algorithms (2021)Building Intelligent Moving A…Risk, Return, and Equilibrium: Empirical Tests (1973)The Cross-Section of Expected Stock Returns (1992)The Cross‐Section of Volatility and Expected Returns (2006)Benchmarks as Limits to Arbitrage: Understanding the Low-Volatility Anomaly (2010)In Defense of Optimization: The Fallacy of 1/ N (2010)Speculative Betas (2016)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Efficient Capital Markets: II (1991)Strategic decisions using the fuzzy PROMETHEE for IS outsourcing (2011)Application of evolutionary computation for rule discovery in stock algorithmic trading: A literature review (2015)Artificial Intelligence Applied to Stock Market Trading: A Review (2021)Asymptotic Optimality and Asymptotic Equipartition Properties of Log-Optimum Investment (1988)On‐Line Portfolio Selection Using Multiplicative Updates (1998)Efficient algorithms for online decision problems (2004)CORN (2011)PAMR: Passive aggressive mean reversion strategy for portfolio selection (2012)Moving average reversion strategy for on-line portfolio selection (2015)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Common risk factors in the returns on stocks and bonds (1993)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Minimum-Variance Portfolio Composition (2011)Modern Portfolio Theory and Investment Analysis. (1982)The Statistics of Sharpe Ratios (2002)An econometric model of serial correlation and illiquidity in hedge fund returns (2004)Deep Direct Reinforcement Learning for Financial Signal Representation and Trading (2016)PORTFOLIO SELECTION* (1952)Fuzzy sets (1965)Fuzzy sets (1996)Mean-Entropy Models for Fuzzy Portfolio Selection (2008)Portfolio selection based on fuzzy cross-entropy (2008)Fuzzy mean–variance–skewness portfolio selection models by interval analysis (2010)Coherent Measures of Risk (1999)Optimization of conditional value-at-risk (2000)Conditional value-at-risk for general loss distributions (2002)Conditional value-at-risk: optimization algorithms and applications (2002)A Comparison of VaR and CVaR Constraints on Portfolio Selection with the Mean-Variance Model (2004)Monte Carlo sampling-based methods for stochastic optimization (2014)How effective are neural networks at forecasting and prediction? A review and evaluation (1998)An Adaptive Network-Based Fuzzy Inference System (ANFIS) for the prediction of stock market return: The case of the Istanbul Stock Exchange (2010)Literature review: Machine learning techniques applied to financial market prediction (2019)Constructing Risk Measures from Uncertainty Sets (2009)A Guide to Sample Average Approximation (2014)Simulation Optimization: A Review and Exploration in the New Era of Cloud Computing and Big Data (2015)An intertemporal asset pricing model with stochastic consumption and investment opportunities (1979)The Capital Asset Pricing Model: Theory and Evidence (2004)
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References

  • 1952Portfolio Selection4,609 cited
  • 1994The Sharpe Ratio2,542 cited
  • 2001Portfolio optimization with conditional value-at-risk objective and constraints781 cited
  • 1990Stock market prediction system with modular neural networks654 cited
  • 2006Minimum-Variance Portfolios in the U.S. Equity Market387 cited
  • 2007The Volatility Effect359 cited
  • 2005Value-at-risk in portfolio optimization: properties and computational approach325 cited
  • 2007Mean-semivariance models for fuzzy portfolio selection252 cited
  • 2006Algorithms for portfolio management based on the Newton method239 cited
  • 2003Generating trading rules on the stock markets with genetic programming233 cited
  • 2006Conditional value at risk and related linear programming models for portfolio optimization221 cited
  • 2014Fuzzy Forecasting Based on Two-Factors Second-Order Fuzzy-Trend Logical Relationship Groups and the Probabilities of Trends of Fuzzy Logical Relationships135 cited
  • 2006Investors and Markets: Portfolio Choices, Asset Prices, and Investment Advice92 cited
  • 2010Adaptive Time-Variant Models for Fuzzy-Time-Series Forecasting86 cited
  • 2011The use of artificial neural networks in the analysis and prediction of stock prices

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85 cited
  • 2001Managing downside risk in financial markets75 cited
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    • 2021Building Intelligent Moving Average-Based Stock Trading System Using Metaheuristic Algorithms43 cited