کاربرد پیش‌بینی احتمالاتی و بهینه‌سازی استوار به‌منظور درنظر گرفتن عدم قطعیت پارامترها دربهینه‌سازی پرتفوی بتای هوشمند

References

Abassi, M., Mousavi, S. & Jafari Nodoushan, A. (2024). Identification and Evaluation of Profitable Technical Trading Rules in the Cryptocurrency Market: A Mixed Method Approach. Financial Engineering and security Management. 3(26), 525-546. (in Persian)

Agrawal, M., Shukla, P., Nair, R., Nayyar, A. & Masud, M. (2021). Stock prediction based on technical indicators using deep learning model. Computers, Materials & Continua, 70(1), 287.

Ameen Suhail, K. M., Sankar, S., Kumar, A. S., Nestor, T., Soliman, N. F., Algarni, A. D., ... & Abd El-Samie, F. E. (2022). Stock Market Trading Based on Market Sentiments and Reinforcement Learning. Computers, Materials & Continua, 70(1).

Beasley, J., Meade, N. & Chang, T. (2003). An evolutionary heuristic for the index tracking problem. European Journal of Operational Research, 148(3), 621–643.

Bertsimas, D. & Sim, M. (2004). The price of robustness. Operations Research, 52(1), 35-53.

Chen, W., Zhang, H., Mehlawat, M. K. & Jia, L. (2021). Mean–variance portfolio optimization using machine learning-based stock price prediction. Applied Soft Computing, 100, 106943.

Duan, T., Anand, A., Ding, D. Y., Thai, K. K., Basu, S., Ng, A. & Schuler, A. (2020, November). Ngboost: Natural gradient boosting for probabilistic prediction. In International conference on machine learning (pp. 2690-2700). PMLR.

Fallahpor, S., Golarzi, G. & Fatourechian, N. (2013). Predicting Stock Price Movement Using Support Vector Machine Based on Genetic Algorithm in Tehran Stock Exchange Market. Financial Engineering and security Management, 2(15), 269-288. (in Persian)

Fallahpor, S., Tondnevis, F. & Hashemi,. M.A. (2016). Index tracking portfolio optimization by robust single factor model based on 50 more active company index of TSE. Financial Engineering and security Management, 6(24), 115-134. (in Persian)

Fallahpour, S. & Tondnevis, F. (2014). Robust Model for optimal Portfolio Selection, Investment knowledge Journal 3(10) 67-84. (in Persian)

Gneiting, T. & Katzfuss, M. (2014). Probabilistic forecasting. Annual Review of Statistics and Its Application, 1(1), 125-151.

Huang, C. F. (2012) A hybrid stock selection model using genetic algorithms and support vector regression. Applied Soft Computing, 12(2), 807–818.

Kocuk, B. & Cornuéjols, G. (2020). Incorporating Black-Litterman views in portfolio construction when stock returns are a mixture of normal's. Omega, 91, 102008.

Malkiel, B.G. (2014) Is Smart Beta Really Smart? Journal of Portfolio Management, 40(5) 127-134.

Markowitz, H. (1952). Portfolio selection. The Journal of Finance, 7(1), 77–91.

Mohammdi, Sh., Tondnevis, F. & Mahmoudi, E. (2020). Application of Copula Based Correlations and Mutual Information in Time Series Clustering and Enhanced Indexing by Adopting the Robust Optimization Approach. Financial Research Journal 23(4) 479-523.

Mohammdi, Sh., Tondnevis, F. & Mehmoudi, E. (2023). Application of Copula-based Correlation Coefficients and Dynamic Programming-based Approaches to determining Similarity between Time Series for Clustering and Index Tracking, Tehran Exchange journal, 60(15) 47-72. (in Persian)

Seyfi, A., Hanafizadeh, P. & Navayi, H. (2004). Robust Model for Single Period portfolio optimization. Financial Research Journal, 17, 71-95 (in Persian)

Sharpe, W. F. (1966). Mutual fund performance. The Journal of Business, 39(1).

Stigler, S.M. (1975). The transition from point to distribution estimation. Bull. Int. Stat. Inst. 46, 332–340.

Wang, W., Li, W., Zhang, N. & Liu, K. (2020). Portfolio formation with preselection using deep learning from long-term financial data. Expert Systems with Applications, 143, 113042.

Zhao, C., Yang, S., Qin, C., Zhou, J. & Chen, L. (2023). A novel smart beta optimization based on probabilistic forecast. Computers, Materials & Continua, 75(1), 478–491.