Master Thesis Axel Roth
Preface
List of Abbreviations
Abstract
1
Introduction
2
Information about the used Software
2.1
R Version and Packages
2.2
Reproducibility
2.3
R Functions
3
Open Data Sources
3.1
R Functions
4
Mathematical Foundations
4.1
Basic Operators
4.2
Formula Conventions
4.3
Return Calculation
4.4
Markowitz Modern Portfolio Theory
4.5
Portfolio Math
4.6
R Functions
5
Active vs. Passive Portfolio Management
5.1
Results of the Literature
5.2
Aggregation of the Literature
6
Challenges of Passive Portfolio Management
6.1
Mean-Variance Portfolio (MVP)
6.2
Index-Tracking Portfolio (ITP)
7
Deterministic Optimization Methods for Quadratic Programming Problems
7.1
Quadratic Programming (QP)
7.2
QP Solver from quadprog
7.3
Solving MVP Problem with
solve.QP
7.4
Solving ITP-MSTE with
solve.QP
8
Particle Swarm Optimization
8.1
The Algorithm
8.2
pso()
Function
8.3
Animation 2-Dimensional
8.4
Animation 2-Dimensional App
8.5
Simple Constraint Handling
8.6
Convergence Analysis of the Standard PSO
8.7
Example MVP
8.8
Example ITP-MSTE
8.9
Pros and Cons for Continuous Problems
8.10
Discrete Problems
8.11
Example Discrete ITP-MSTE
9
PSO Variations
9.1
Testproblem Discrete ITP-MSTE
9.2
Function Stretching
9.3
Local PSO
9.4
Preserving Feasibility
9.5
Self-Adaptive Velocity
9.6
PSO R Package
9.7
Comparison with other Metaheuristics
10
Real Life ITP Example
10.1
Transaction Costs
10.2
Rebalancing Constraint
10.3
Objective
10.4
Complete ITP Example
11
Future Research
12
Conclusion
References
GitHub Repository
Asset Allocation using Particle Swarm Optimization in R
List of Abbreviations