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SHAREX: A MULTIPERIOD PORTFOLIO MANAGEMENT MODEL. Key Features. Integrated system of: stock price forecasting portfolio optimization inventory management facilities for incorporating alternative techniques. Key Features:. t he necessary financial relations included

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Presentation Transcript
key features
Key Features

Integrated system of:

  • stock price forecasting
  • portfolio optimization
  • inventory management
  • facilities for incorporating alternative techniques
key features1
Key Features:
  • the necessary financial relations included
  • liquidity and debt, inventory, risk control
  • transactions in discrete batch sizes
  • fixed and variable transactions costs
  • free specification of planning horizon
  • forecasting and optimization combined
  • extensive simulations for strategy specification
  • real time management
  • guaranteed feasibility
immediate research topics
Immediate research Topics:
  • parametric search under different economic conditions
  • mixture density forecast models for skewed markets
  • multicomputer implementation of SHAREX
  • connections to efficient MINLP-solvers
  • Utilizing VMA and IMA (volume/price index moving averages) in turning point detection
background research

Östermark, R. (1990): Portfolio Efficiency of Capital Asset Pricing Models. Empirical Evidence on Thin Stock Markets. Åbo Akademi University, ISBN 951-649-703-9.

Östermark, R. (1991): Vector forecasting and dynamic portfolio selection. European Journal of Operational Research 55, 46-56.

Östermark, R & Aaltonen J (1992): Recursive Portfolio Management: Large-Scale Evidence from Two Scandinavian Stock Markets. Computer Science in Economics and Management 5, 81-103.

Östermark, R (2000a): A Hybrid Genetic Fuzzy Neural Network Algorithm Designed for Classification Problems Involving Several Groups. Fuzzy Sets and Systems114:2, pp. 311-324.

Östermark, R. (2000b) A Flexible Genetic Hybrid Algorithm for Nonlinear Mixed-integer Programming Problems. Accepted in EvolutionaryOptimization.

Background Research

research cont

Research (cont)

Östermark, R., Westerlund, T. & Skrifvars, H. (2000): A Nonlinear Mixed-Integer Multiperiod Firm Model. International Journal of Production Economics 67, p. 188-199.

Östermark, R. (2001): “Genetic modelling of multivariate EGARCHX-processes. Evidence on the international asset return signal response mechanism”. Forthcoming in Computational Statistics & Data Analysis38/1, 2001, pp. 1-124.

Östermark, R. (2002a): “Automatic detection of parsimony in heteroskedastic time series processes. Empirical tests on global asset returns with parallel geno-mathematical programming”. Soft Computing6/1, pp. 45-63.

Östermark, R. (2002b): “A Multipurpose Parallel Genetic Hybrid Algorithm for Nonlinear Non-convex Programming Problems”. Forthcoming in The European Journal of Operational Research.