| Abstract |
|
Hung et al [1] recently proposed a portfolio selection method called Improved Portfolio Sharpe Ratio Maximization with Diversification (IPSRM-D). It is derived from the original Sharpe Ratio design by taking into consideration the upside volatility and investment diversification. It can obtain investment decision according to the investor's position in the return-risk trade off. However, the batch way method used in IPSRM-D lacks the ability to keep tracing the changes in market from the just available data. In this paper, we further the study on IPSRM-D by introducing various adaptive methods. We demonstrate with experimental results on stock market that adaptive methods outperform batchway method in profit gain.
|
 Additional Information
|
Citation:
Xiaohui Yu, Lei Xu,
"Adaptive Improved Portfolio Sharpe Ratio Maximization with Diversification,"
ijcnn,
p. 4472,
IEEE-INNS-ENNS International Joint Conference on Neural Networks (IJCNN'00)-Volume 4,
2000
|
