Combining RMT-based filtering with time-stamped resampling for robust portfolio optimization
Finding the optimal weights for a set of ï¬nancial assets is a difï¬cult task. The mix of real world constrains and the uncertainty derived from the fact that process is based on estimates for parameters that likely to be inaccurate, often result in poor results. This paper suggests that a combinati...
| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
| Published: |
Springer
2015-09-01
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| Series: | International Journal of Computational Intelligence Systems |
| Subjects: | |
| Online Access: | https://www.atlantis-press.com/article/25868636.pdf |
| _version_ | 1828802230906519552 |
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| author | David Quintana Sandra García-Rodríguez Silvano Cincotti Pedro Isasi |
| author_facet | David Quintana Sandra García-Rodríguez Silvano Cincotti Pedro Isasi |
| author_sort | David Quintana |
| collection | DOAJ |
| description | Finding the optimal weights for a set of ï¬nancial assets is a difï¬cult task. The mix of real world constrains and the uncertainty derived from the fact that process is based on estimates for parameters that likely to be inaccurate, often result in poor results. This paper suggests that a combination of a ï¬ltering mechanism based on random matrix theory with time-stamped resampled evolutionary multiobjective optimization algorithms enhances the robustness of forecasted efï¬cient frontiers. |
| first_indexed | 2024-12-12T07:00:24Z |
| format | Article |
| id | doaj.art-48a7474dd5c94caa89f828b115eca6fa |
| institution | Directory Open Access Journal |
| issn | 1875-6883 |
| language | English |
| last_indexed | 2024-12-12T07:00:24Z |
| publishDate | 2015-09-01 |
| publisher | Springer |
| record_format | Article |
| series | International Journal of Computational Intelligence Systems |
| spelling | doaj.art-48a7474dd5c94caa89f828b115eca6fa2022-12-22T00:33:51ZengSpringerInternational Journal of Computational Intelligence Systems1875-68832015-09-018510.1080/18756891.2015.1084707Combining RMT-based filtering with time-stamped resampling for robust portfolio optimizationDavid QuintanaSandra García-RodríguezSilvano CincottiPedro IsasiFinding the optimal weights for a set of ï¬nancial assets is a difï¬cult task. The mix of real world constrains and the uncertainty derived from the fact that process is based on estimates for parameters that likely to be inaccurate, often result in poor results. This paper suggests that a combination of a ï¬ltering mechanism based on random matrix theory with time-stamped resampled evolutionary multiobjective optimization algorithms enhances the robustness of forecasted efï¬cient frontiers.https://www.atlantis-press.com/article/25868636.pdfPortfolio optimizationFilteringRobustnessMulti-objective optimization |
| spellingShingle | David Quintana Sandra García-Rodríguez Silvano Cincotti Pedro Isasi Combining RMT-based filtering with time-stamped resampling for robust portfolio optimization International Journal of Computational Intelligence Systems Portfolio optimization Filtering Robustness Multi-objective optimization |
| title | Combining RMT-based filtering with time-stamped resampling for robust portfolio optimization |
| title_full | Combining RMT-based filtering with time-stamped resampling for robust portfolio optimization |
| title_fullStr | Combining RMT-based filtering with time-stamped resampling for robust portfolio optimization |
| title_full_unstemmed | Combining RMT-based filtering with time-stamped resampling for robust portfolio optimization |
| title_short | Combining RMT-based filtering with time-stamped resampling for robust portfolio optimization |
| title_sort | combining rmt based filtering with time stamped resampling for robust portfolio optimization |
| topic | Portfolio optimization Filtering Robustness Multi-objective optimization |
| url | https://www.atlantis-press.com/article/25868636.pdf |
| work_keys_str_mv | AT davidquintana combiningrmtbasedfilteringwithtimestampedresamplingforrobustportfoliooptimization AT sandragarciarodriguez combiningrmtbasedfilteringwithtimestampedresamplingforrobustportfoliooptimization AT silvanocincotti combiningrmtbasedfilteringwithtimestampedresamplingforrobustportfoliooptimization AT pedroisasi combiningrmtbasedfilteringwithtimestampedresamplingforrobustportfoliooptimization |