Financial Portfolio Optimization using Monte Carlo and Operation Research

Noureen M. Noaman; Mohamed A. El-dosuky; Abdelrahman Karawia

doi:10.5120/ijca2020920896

Financial Portfolio Optimization using Monte Carlo and Operation Research

International Journal of Computer Applications ◽

10.5120/ijca2020920896 ◽

2020 ◽

Vol 175 (34) ◽

pp. 43-46

Author(s):

Noureen M. Noaman ◽

Mohamed A. El-dosuky ◽

Abdelrahman Karawia

Keyword(s):

Monte Carlo ◽

Portfolio Optimization ◽

Operation Research ◽

Financial Portfolio

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A Primer on Applying Monte Carlo Simulation, Real Options Analysis, Knowledge Value Added, Forecasting, and Portfolio Optimization

10.21236/ada518628 ◽

2010 ◽

Cited By ~ 1

Author(s):

Johnathan Mun ◽

Thomas Housal

Keyword(s):

Monte Carlo Simulation ◽

Monte Carlo ◽

Real Options ◽

Portfolio Optimization ◽

Value Added ◽

Real Options Analysis ◽

Knowledge Value

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Monte Carlo Portfolio Optimization for General Investor Risk-Return Objectives and Arbitrary Return Distributions: A Solution for Long-Only Portfolios

SSRN Electronic Journal ◽

10.2139/ssrn.1680224 ◽

2010 ◽

Cited By ~ 4

Author(s):

William Thornton Shaw

Keyword(s):

Monte Carlo ◽

Portfolio Optimization ◽

Risk Return ◽

Return Distributions

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Portfolio Optimization and Monte Carlo Simulation

SSRN Electronic Journal ◽

10.2139/ssrn.2438121 ◽

2014 ◽

Cited By ~ 1

Author(s):

Magnus Erik Hvass Pedersen

Keyword(s):

Monte Carlo Simulation ◽

Monte Carlo ◽

Portfolio Optimization

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Experimental Study on a Hybrid Nature-Inspired Algorithm for Financial Portfolio Optimization

Artificial Intelligence: Theories, Models and Applications - Lecture Notes in Computer Science ◽

10.1007/978-3-642-12842-4_14 ◽

2010 ◽

pp. 101-111 ◽

Cited By ~ 13

Author(s):

Giorgos Giannakouris ◽

Vassilios Vassiliadis ◽

George Dounias

Keyword(s):

Experimental Study ◽

Portfolio Optimization ◽

Hybrid Nature ◽

Nature Inspired Algorithm ◽

Financial Portfolio

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Financial Portfolio Optimization

Industry 4.0, AI, and Data Science ◽

10.1201/9781003097181-14 ◽

2021 ◽

pp. 231-240

Author(s):

Mansi Gupta ◽

Sonali Semwal ◽

Shivani Bali

Keyword(s):

Portfolio Optimization ◽

Financial Portfolio

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All-Weather Financial Portfolio Optimization with Islamic Constraints and Risk Minimization

Critical Issues and Challenges in Islamic Economics and Finance Development ◽

10.1007/978-3-319-45029-2_6 ◽

2017 ◽

pp. 115-136

Author(s):

Migdat I. Hodžić ◽

Zlatko Dž. Sijerčić ◽

Tarik Names

Keyword(s):

Portfolio Optimization ◽

Risk Minimization ◽

Financial Portfolio

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Portfolio Optimization for VAR, CVaR, Omega and Utility with General Return Distributions: A Monte Carlo Approach for Long-Only and Bounded Short Portfolios with Optional Robustness and a Simplified Approach to Covariance Matching

SSRN Electronic Journal ◽

10.2139/ssrn.1856476 ◽

2011 ◽

Cited By ~ 1

Author(s):

William Thornton Shaw

Keyword(s):

Monte Carlo ◽

Portfolio Optimization ◽

Monte Carlo Approach ◽

Simplified Approach ◽

Covariance Matching ◽

Return Distributions

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Investing for Cost-Effectiveness in the Face of Uncertainty: Applying Financial Portfolio Optimization to Prevention Programming

Preventing Harmful Substance Use ◽

10.1002/9780470713624.ch33 ◽

2010 ◽

pp. 401-413 ◽

Cited By ~ 3

Author(s):

Jonathan P. Caulkins

Keyword(s):

Cost Effectiveness ◽

Portfolio Optimization ◽

Prevention Programming ◽

The Face ◽

Financial Portfolio

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Multi-period mean–variance portfolio optimization based on Monte-Carlo simulation

Journal of Economic Dynamics and Control ◽

10.1016/j.jedc.2016.01.001 ◽

2016 ◽

Vol 64 ◽

pp. 23-38 ◽

Cited By ~ 29

Author(s):

F. Cong ◽

C.W. Oosterlee

Keyword(s):

Monte Carlo Simulation ◽

Monte Carlo ◽

Portfolio Optimization ◽

Mean Variance Portfolio ◽

Mean Variance

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Comment on “An algorithm for moment-matching scenario generation with application to financial portfolio optimization”

European Journal of Operational Research ◽

10.1016/j.ejor.2018.02.028 ◽

2018 ◽

Vol 269 (3) ◽

pp. 1180-1184

Author(s):

Juan Pablo Contreras ◽

Paul Bosch ◽

Mauricio Herrera

Keyword(s):

Portfolio Optimization ◽

Scenario Generation ◽

Moment Matching ◽

Financial Portfolio

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