Cover Image

Constructing an Investment Fund through Stock Clustering and Integer Programming

Fuente: arXiv

Saved in:

Bibliographic Details
Main Authors:	Gharanchaei, Maysam Khodayari, Panda, Prabhu Prasad
Format:	Preprint
Published:	2024
Subjects:	Portfolio Management Optimization and Control
Online Access:	Acceder al recurso
Tags:	Add Tag No Tags, Be the first to tag this record!

Similar Items

Quantitative Investment Diversification Strategies via Various Risk Models
by: Gharanchaei, Maysam Khodayari, et al.
Published: (2024)

Application of Deep Learning for Factor Timing in Asset Management
by: Panda, Prabhu Prasad, et al.
Published: (2024)

Crisis Alpha: A High-Performance Trading Algorithm Tested in Market Downturns
by: Gharanchaei, Maysam Khodayari, et al.
Published: (2024)

Optimal Investment with Costly Expert Opinions
by: Knochenhauer, Christoph, et al.
Published: (2024)

Portfolio Optimization of Indonesian Banking Stocks Using Robust Optimization
by: Winarty, Visca Tri, et al.
Published: (2025)

Markowitz Portfolio Construction at Seventy
by: Boyd, Stephen, et al.
Published: (2024)

Robust Bond Portfolio Construction via Convex-Concave Saddle Point Optimization
by: Luxenberg, Eric, et al.
Published: (2022)

Robust Optimal Investment and Reinsurance Problems with Learning
by: Bäuerle, Nicole, et al.
Published: (2020)

Risk management in multi-objective portfolio optimization under uncertainty
by: Becker, Yannick, et al.
Published: (2024)

Constrained Max Drawdown: a Fast and Robust Portfolio Optimization Approach
by: Dorador, Albert
Published: (2024)

Vector-valued robust stochastic control
by: Cialenco, Igor, et al.
Published: (2024)

Time consistent portfolio strategies for a general utility function
by: Mbodji, Oumar
Published: (2026)

On optimal tracking portfolio in incomplete markets: The reinforcement learning approach
by: Bo, Lijun, et al.
Published: (2023)

Numeraire-invariant quadratic hedging and mean--variance portfolio allocation
by: Černý, Aleš, et al.
Published: (2021)

An extended Merton problem with relaxed benchmark tracking
by: Bo, Lijun, et al.
Published: (2023)

Uses of Sub-sample Estimates to Reduce Errors in Stochastic Optimization Models
by: Birge, John R.
Published: (2023)

Mean-Covariance Robust Risk Measurement
by: Nguyen, Viet Anh, et al.
Published: (2021)

Equilibrium Portfolio Selection under Utility-Variance Analysis of Log Returns in Incomplete Markets
by: Cao, Yue, et al.
Published: (2025)

The law of one price in quadratic hedging and mean-variance portfolio selection
by: Černý, Aleš, et al.
Published: (2022)

Mean Field Game of Optimal Tracking Portfolio
by: Bo, Lijun, et al.
Published: (2025)

Portfolio Time Consistency and Utility Weighted Discount Rates
by: Mbodji, Oumar, et al.
Published: (2023)

Some general results on risk budgeting portfolios
by: Fassino, Claudia, et al.
Published: (2026)

Optimal Investment with Herd Behaviour Using Rational Decision Decomposition
by: Wang, Huisheng, et al.
Published: (2024)

Optimal Investment under Mutual Strategy Influence among Agents
by: Wang, Huisheng, et al.
Published: (2025)

The Boosted Difference of Convex Functions Algorithm for Value-at-Risk Constrained Portfolio Optimization
by: Thormann, Marah-Lisanne, et al.
Published: (2024)

Dynamic Factor Models with Forward-Looking Views
by: Abdelhakmi, Anas, et al.
Published: (2025)

Non-conservative optimal transport
by: Kováčová, Gabriela, et al.
Published: (2025)

Erratum to "On the market viability under proportional transaction costs"
by: Bayraktar, Erhan, et al.
Published: (2013)

Optimal portfolio under ratio-type periodic evaluation in stochastic factor models under convex trading constraints
by: Wang, Wenyuan, et al.
Published: (2024)

Constrained mean-variance investment-reinsurance under the Cramér-Lundberg model with random coefficients
by: Shi, Xiaomin, et al.
Published: (2024)

Mean-variance portfolio selection in jump-diffusion model under no-shorting constraint: A viscosity solution approach
by: Shi, Xiaomin, et al.
Published: (2024)

Autonomous Sparse Mean-CVaR Portfolio Optimization
by: Lin, Yizun, et al.
Published: (2024)

Optimal retirement in presence of stochastic labor income: a free boundary approach in an incomplete market
by: Marazzina, Daniele
Published: (2024)

Optimizing Sparse Mean-Reverting Portfolio
by: Yoon, Sung Min
Published: (2024)

Robustifying Conditional Portfolio Decisions via Optimal Transport
by: Nguyen, Viet Anh, et al.
Published: (2021)

A Penalty-Free Pipeline for Direct Quantum-Annealer Portfolio Optimization
by: Lozano, Luis
Published: (2026)

Competitive optimal portfolio selection under mean-variance criterion
by: Shao, Guojiang, et al.
Published: (2025)

Bayesian Optimization for CVaR-based portfolio optimization
by: Millar, Robert, et al.
Published: (2025)

Distributionally Robust Deep Q-Learning
by: Lu, Chung I, et al.
Published: (2025)

Deep Reinforcement Learning for Investor-Specific Portfolio Optimization: A Volatility-Guided Asset Selection Approach
by: Orra, Arishi, et al.
Published: (2025)