Pub Date : 2018-03-02DOI: 10.5772/INTECHOPEN.74455
Saejoon Kim, Soong Kim
Risk-based portfolio strategies such as the equal-weighted, the minimum variance, and the risk parity portfolios vie to find portfolios that are well diversified according to their respective measures. In this chapter, we propose asset-selected risk-based portfolio strat- egies that aim to reduce the two known weaknesses of these strategies, namely the large portfolio size and poor diversification with respect to other measures. We formulate this task as a minimum k-cut problem through which we establish asset selection from all assets in the investable universe before the risk-based strategy is applied. Empirical results on the data sets of the S&P 500 and the KOSPI 200 indicate that our asset-selected risk-based portfolio strategies possess superior properties across extensive performance mea- sures compared to the baseline risk-based strategies. strategies show, sometimes significant, advantages across various performance measures compared to the baseline risk-based strategies.
{"title":"Min k-Cut for Asset Selection in Risk-Based Portfolio Strategies","authors":"Saejoon Kim, Soong Kim","doi":"10.5772/INTECHOPEN.74455","DOIUrl":"https://doi.org/10.5772/INTECHOPEN.74455","url":null,"abstract":"Risk-based portfolio strategies such as the equal-weighted, the minimum variance, and the risk parity portfolios vie to find portfolios that are well diversified according to their respective measures. In this chapter, we propose asset-selected risk-based portfolio strat- egies that aim to reduce the two known weaknesses of these strategies, namely the large portfolio size and poor diversification with respect to other measures. We formulate this task as a minimum k-cut problem through which we establish asset selection from all assets in the investable universe before the risk-based strategy is applied. Empirical results on the data sets of the S&P 500 and the KOSPI 200 indicate that our asset-selected risk-based portfolio strategies possess superior properties across extensive performance mea- sures compared to the baseline risk-based strategies. strategies show, sometimes significant, advantages across various performance measures compared to the baseline risk-based strategies.","PeriodicalId":442318,"journal":{"name":"Artificial Intelligence - Emerging Trends and Applications","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-03-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129631894","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2017-03-22DOI: 10.19080/RAEJ.2018.02.555592
Spyros Makridakis, Antonis Polemitis, G. Giaglis, SoulaLouca
Blockchain technologies, once used exclusively for buying and selling bitcoins, have entered the mainstream of computer applications, fundamentally changing the way Internet transactions can be implemented by ascertaining trust between unknown parties. In addition, they ensure immutability (once information is entered it cannot be modified) and enable disintermediation (as trust is assured, no third party is required to verify transactions). These advantages can produce disruptive changes when properly exploited, inspiring a large number of applications. These applications are forming the backbone of what can be called the Internet of Value, bound to bring as significant changes as those brought over the last 20 years by the traditional Internet. This chapter investigates blockchain and the technologies behind it and explains their technological might and outstanding potential, not only for transactions but also as distributed databases. It also discusses its future prospects and the disruptive changes it promises to bring, while also considering the challenges that would need to be overcome for its widespread adoption. Finally, the chapter considers combining blockchain with Artificial Intelligence (AI) and discusses the revolutionary changes that would result by rapidly advancing the AI field.
{"title":"Blockchain: The Next Breakthrough in the Rapid Progress of AI","authors":"Spyros Makridakis, Antonis Polemitis, G. Giaglis, SoulaLouca","doi":"10.19080/RAEJ.2018.02.555592","DOIUrl":"https://doi.org/10.19080/RAEJ.2018.02.555592","url":null,"abstract":"Blockchain technologies, once used exclusively for buying and selling bitcoins, have entered the mainstream of computer applications, fundamentally changing the way Internet transactions can be implemented by ascertaining trust between unknown parties. In addition, they ensure immutability (once information is entered it cannot be modified) and enable disintermediation (as trust is assured, no third party is required to verify transactions). These advantages can produce disruptive changes when properly exploited, inspiring a large number of applications. These applications are forming the backbone of what can be called the Internet of Value, bound to bring as significant changes as those brought over the last 20 years by the traditional Internet. This chapter investigates blockchain and the technologies behind it and explains their technological might and outstanding potential, not only for transactions but also as distributed databases. It also discusses its future prospects and the disruptive changes it promises to bring, while also considering the challenges that would need to be overcome for its widespread adoption. Finally, the chapter considers combining blockchain with Artificial Intelligence (AI) and discusses the revolutionary changes that would result by rapidly advancing the AI field.","PeriodicalId":442318,"journal":{"name":"Artificial Intelligence - Emerging Trends and Applications","volume":"48 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-03-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122664033","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
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