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New Algorithms For Optimal Portfolio Selection, Tanja Magoc

Open Access Theses & Dissertations

Over the past four thousand years, numerous techniques have been developed and used to address problems in Finance. These techniques include simple arithmetic calculations and probabilistic methods as well as intelligent systems techniques such as neural networks, genetic algorithms, multi-agent systems, and support vector machines. The techniques have been developed to accurately and quickly collect, validate, analyze, and integrate data that change dynamically.

The particular problem that we address in this Dissertation is the construction of efficient algorithms for the problem of an optimal portfolio selection, that is, algorithms that would accurately and in real time determine the best distribution …