Designing of Portfolio Management Application Using Spreadsheet Modelling

2015 ◽  
Author(s):  
Debadyuti Roy ◽  
A. H. Sequeira
Keyword(s):  
Portfolio Management ◽  
Management Application ◽  
Spreadsheet Modelling

scholarly journals Cryptocurrency Trading Using Machine Learning

2020 ◽  
Vol 13 (8) ◽  
pp. 178
Author(s):  
Thomas E. Koker ◽  
Dimitrios Koutmos
Keyword(s):  
Machine Learning ◽  
Transaction Costs ◽  
Portfolio Management ◽  
Real World ◽  
Downside Risk ◽  
Management Application

We present a model for active trading based on reinforcement machine learning and apply this to five major cryptocurrencies in circulation. In relation to a buy-and-hold approach, we demonstrate how this model yields enhanced risk-adjusted returns and serves to reduce downside risk. These findings hold when accounting for actual transaction costs. We conclude that real-world portfolio management application of the model is viable, yet, performance can vary based on how it is calibrated in test samples.

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