Automation and Remote Control · 2015 · 14 citations · 6 references
BusinessFinanceFinancial ManagementInvestment ManagementPortfolio ManagementProbability TheoryPortfolio OptimizationPortfolio Risk ManagementPortfolio SelectionPortfolio TheoryRisk SelectionRisk-return AnalysisOptimal Portfolio ChoicePortfolio Choice TheoryPortfolio Choice Under RiskPortfolio Selection Theory
The problem of interest in this paper is selection of investment portfolio with two risk assets having uniformly distributed return rates. To form the portfolio, the probability criterion is used. A closed form of the criterial function at the last step is found and its continuity is analyzed. An example is presented.
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Choice Reviews Online · 1989 · 1.8K citations
PAMR: Passive aggressive mean reversion strategy for portfolio selection
Bin Li, Peilin Zhao, Steven C. H. Hoi et al. · Machine Learning · 2012 · 230 citations · Full text
T. A. Dow · 1989 · 83 citations