IDEAS home Printed from https://ideas.repec.org/a/gam/jmathe/v12y2024i17p2729-d1468755.html
   My bibliography  Save this article

Optimizing Portfolio in the Evolutional Portfolio Optimization System (EPOS)

Author

Listed:
  • Nikolaos Loukeris

    (Department of Business Administration, University of West Attica, Petrou Ralli & Thivon Avenue, 12241 Athens, Greece)

  • Yiannis Boutalis

    (Department of Electrical and Computer Engineers, Democritus University of Thrace, 67100 Xanthi, Greece)

  • Iordanis Eleftheriadis

    (Department of Business Administration, University of Macedonia, Egnatias 156, 54636 Thessaloniki, Greece)

  • Gregorios Gikas

    (Department of Business Administration, University of West Attica, Petrou Ralli & Thivon Avenue, 12241 Athens, Greece)

Abstract

A novel method of portfolio selection is provided with further higher moments, filtering with fundamentals in intelligent computing resources. The Evolutional Portfolio Optimization System (EPOS) evaluates unobtrusive relations from a vast amount of accounting and financial data, excluding hoax and noise, to select the optimal portfolio. The fundamental question of Free Will, limited in investment selection, is answered through a new philosophical approach.

Suggested Citation

  • Nikolaos Loukeris & Yiannis Boutalis & Iordanis Eleftheriadis & Gregorios Gikas, 2024. "Optimizing Portfolio in the Evolutional Portfolio Optimization System (EPOS)," Mathematics, MDPI, vol. 12(17), pages 1-25, August.
    • Handle: RePEc:gam:jmathe:v:12:y:2024:i:17:p:2729-:d:1468755
    as

    Download full text from publisher

    File URL: https://www.mdpi.com/2227-7390/12/17/2729/pdf
    Download Restriction: no
    File URL: https://www.mdpi.com/2227-7390/12/17/2729/
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. J. Michael Harrison & Stanley R. Pliska, 1981. "Martingales and Stochastic Integrals in the Theory of Continous Trading," Discussion Papers 454, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Damir Filipovi'c & Martin Larsson, 2017. "Polynomial Jump-Diffusion Models," Papers 1711.08043, arXiv.org, revised Jul 2019.
    2. Badics, Tamás, 2011. "Az arbitrázs preferenciákkal történő karakterizációjáról [On the characterization of arbitrage in terms of preferences]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(9), pages 727-742.
    3. Clarence Simard & Bruno Rémillard, 2019. "Pricing European Options in a Discrete Time Model for the Limit Order Book," Methodology and Computing in Applied Probability, Springer, vol. 21(3), pages 985-1005, September.
    4. Jian Guo & Saizhuo Wang & Lionel M. Ni & Heung-Yeung Shum, 2022. "Quant 4.0: Engineering Quantitative Investment with Automated, Explainable and Knowledge-driven Artificial Intelligence," Papers 2301.04020, arXiv.org.
    5. Hardeep Singh Mundi, 2023. "Risk neutral variances to compute expected returns using data from S&P BSE 100 firms—a replication study," Management Review Quarterly, Springer, vol. 73(1), pages 215-230, February.
    6. repec:uts:finphd:40 is not listed on IDEAS
    7. Zhu, Ke & Ling, Shiqing, 2015. "Model-based pricing for financial derivatives," Journal of Econometrics, Elsevier, vol. 187(2), pages 447-457.
    8. Shin-Yun Wang & Ming-Che Chuang & Shih-Kuei Lin & So-De Shyu, 2021. "Option pricing under stock market cycles with jump risks: evidence from the S&P 500 index," Review of Quantitative Finance and Accounting, Springer, vol. 56(1), pages 25-51, January.
    9. Detlefsen, Kai & Härdle, Wolfgang Karl & Moro, Rouslan A., 2007. "Empirical pricing kernels and investor preferences," SFB 649 Discussion Papers 2007-017, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    10. Battulga Gankhuu, 2021. "Equity-Linked Life Insurances on Maximum of Several Assets," Papers 2111.04038, arXiv.org, revised Sep 2024.
    11. Chen, Zhiqiang & Pelsser, Antoon & Ponds, Eduard, 2014. "Evaluating the UK and Dutch defined-benefit pension policies using the holistic balance sheet framework," Insurance: Mathematics and Economics, Elsevier, vol. 58(C), pages 89-102.
    12. Claudio Fontana, 2015. "Weak And Strong No-Arbitrage Conditions For Continuous Financial Markets," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 18(01), pages 1-34.
    13. Michael C. Fu & Bingqing Li & Guozhen Li & Rongwen Wu, 2017. "Option Pricing for a Jump-Diffusion Model with General Discrete Jump-Size Distributions," Management Science, INFORMS, vol. 63(11), pages 3961-3977, November.
    14. Zhanyu Chen & Kai Zhang & Hongbiao Zhao, 2022. "A Skellam market model for loan prime rate options," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(3), pages 525-551, March.
    15. Abraham Lioui & Patrice Poncet, 2000. "The Minimum Variance Hedge Ratio Under Stochastic Interest Rates," Management Science, INFORMS, vol. 46(5), pages 658-668, May.
    16. Cinfrignini, Andrea & Petturiti, Davide & Vantaggi, Barbara, 2023. "Dynamic bid–ask pricing under Dempster-Shafer uncertainty," Journal of Mathematical Economics, Elsevier, vol. 107(C).
    17. Gerald Cheang & Carl Chiarella, 2011. "A Modern View on Merton's Jump-Diffusion Model," Research Paper Series 287, Quantitative Finance Research Centre, University of Technology, Sydney.
    18. Lian, Yu-Min & Chen, Jun-Home, 2022. "Foreign exchange option pricing under regime switching with asymmetrical jumps," Finance Research Letters, Elsevier, vol. 46(PA).
    19. Huhtala, Heli, 2008. "Along but beyond mean-variance: Utility maximization in a semimartingale model," Bank of Finland Research Discussion Papers 5/2008, Bank of Finland.
    20. Xiaowei Ding & Kay Giesecke & Pascal I. Tomecek, 2009. "Time-Changed Birth Processes and Multiname Credit Derivatives," Operations Research, INFORMS, vol. 57(4), pages 990-1005, August.
    21. Shao, Chengwu & Bhar, Ramaprasad & Colwell, David B., 2015. "A multi-factor model with time-varying and seasonal risk premiums for the natural gas market," Energy Economics, Elsevier, vol. 50(C), pages 207-214.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:gam:jmathe:v:12:y:2024:i:17:p:2729-:d:1468755. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: MDPI Indexing Manager (email available below). General contact details of provider: https://www.mdpi.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.