In this paper, we have formulated quantum beetle antennae search (QBAS), a meta-heuristic
optimization algorithm, and a variant of beetle antennae search (BAS). We apply it to …

Short selling is one of the important financial vehicles for real investment activities. Most of
the traditional fuzzy portfolio models are established without short selling, which cannot …

Online portfolio selection is one of the fundamental problems in the field of computational
finance. Although existing online portfolio strategies have been shown to achieve good …

In our paper, we apply deep reinforcement learning approach to optimize investment
decisions in portfolio management. We make several innovations, such as adding short …

We propose a robust formulation of the traditional risk parity problem by introducing an
uncertainty structure specifically tailored to capture the intricacies of risk parity. Typical …

Discussion about the effect of constraints in portfolio selection is a popular topic in finance.
In this paper, we test the portfolio performance under the existence of regulatory constraints …

Purpose The weighted evaluation function method with normalized objective functions is
used to transform the proposed multi-objective model into a single objective one, which …

An investment in a portfolio can not only guarantee returns but can also effectively control
risk factors. Portfolio optimization is a multi-objective optimization problem. In order to better …

This paper derives a mixed-integer non-linear optimization (MINLP) problem from the
cointegration methodology and checks its convexity. We apply this approach to solve the …

We investigate the one-to-one mapping between the global minimum variance portfolio and
regression hedge coefficients. The analysis demonstrates that assets with a superior …