Online Algorithms for the Portfolio Selection Problem

  • Robert Dochow

Table of contents

  1. Front Matter
    Pages I-XXVI
  2. Robert Dochow
    Pages 1-7
  3. Robert Dochow
    Pages 9-43
  4. Robert Dochow
    Pages 45-77
  5. Robert Dochow
    Pages 79-108
  6. Robert Dochow
    Pages 109-126
  7. Robert Dochow
    Pages 127-152
  8. Robert Dochow
    Pages 153-161
  9. Robert Dochow
    Pages 163-167
  10. Back Matter
    Pages 169-185

About this book


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 empirically evaluates online algorithms by a comprehensive statistical analysis. Concrete results are that follow-the-loser algorithms show the most promising performance when the objective is the maximization of return on investment and risk-adjusted performance. In addition, when the objective is the minimization of risk, the two new algorithms with risk management show excellent performance. A prototype of a software tool for automated evaluation of algorithms for portfolio selection is given.

• Performance Evaluation
• Selected Algorithms from the Literature
• Proposed Algorithms with Risk Management
• Empirical Testing of Algorithms• A Software Tool for Testing

Target Groups
• Scientists and students from the fields of finance, operations research, and machine learning
• Practitioners in banks and insurance companies, traders and brokers

The Author
Dr. Robert Dochow completed his dissertation under the supervision of Prof. Dr. Günter Schmidt at the Chair of Operations Research and Business Informatics of Saarland University, Saarbrücken, Germany.


Investment Trading Performance Evaluation Competitive Analysis Software Tool

Authors and affiliations

  • Robert Dochow
    • 1
  1. 1.Operations Research and Business InformaSaarland UniversitySaarbrückenGermany

Bibliographic information

  • DOI
  • Copyright Information Springer Fachmedien Wiesbaden 2016
  • Publisher Name Springer Gabler, Wiesbaden
  • eBook Packages Economics and Finance
  • Print ISBN 978-3-658-13527-0
  • Online ISBN 978-3-658-13528-7
  • Buy this book on publisher's site