Keyword: portfolio optimization

Found 29 papers in total
Robustness to Dependency in Portfolio Optimization Using Overlapping Marginals
Robustness to Dependency in Portfolio Optimization Using Overlapping Marginals
2015,
In this paper, we develop a distributionally robust portfolio optimization model where...
Post-optimal Analysis for Markowitz's Multicriteria Portfolio Optimization Problem
Post-optimal Analysis for Markowitz's Multicriteria Portfolio Optimization Problem
2014,
We formulate a multicriteria discrete variant of well‐known Markowitz's...
Portfolio‐optimization models for small investors
Portfolio‐optimization models for small investors
2013,
Since 2010, the client base of online‐trading service providers has grown...
Selection of optimal countermeasure portfolio in IT security planning
Selection of optimal countermeasure portfolio in IT security planning
2013,
This paper deals with the optimal selection of countermeasures in IT security planning...
On the equivalence of quadratic optimization problems commonly used in portfolio theory
On the equivalence of quadratic optimization problems commonly used in portfolio theory
2013,
In the paper, we consider three quadratic optimization problems which are frequently...
Robust optimization and portfolio selection: The cost of robustness
Robust optimization and portfolio selection: The cost of robustness
2011,
Robust optimization is a tractable alternative to stochastic programming particularly...
On Maximum Speedup Ratio of Restart Algorithm Portfolios
On Maximum Speedup Ratio of Restart Algorithm Portfolios
2013,
We discuss two possible parallel strategies for randomized restart algorithms. Given a...
A Goal Programming Model with Satisfaction Function for Risk Management and Optimal Portfolio Diversification
A Goal Programming Model with Satisfaction Function for Risk Management and Optimal Portfolio Diversification
2013,
We extend the classical risk minimization model with scalar risk measures to the...
A new method for mean‐variance portfolio optimization with cardinality constraints
A new method for mean‐variance portfolio optimization with cardinality constraints
2013,
Several portfolio selection models take into account practical limitations on the...
Portfolio optimization based on downside risk: a mean‐semivariance efficient frontier from Dow Jones blue chips
Portfolio optimization based on downside risk: a mean‐semivariance efficient frontier from Dow Jones blue chips
2013,
To create efficient funds appealing to a sector of bank clients, the objective of...
Robust portfolio asset allocation and risk measures
Robust portfolio asset allocation and risk measures
2013,
Many financial optimization problems involve future values of security prices,...
Worst‐Case Value at Risk of Nonlinear Portfolios
Worst‐Case Value at Risk of Nonlinear Portfolios
2013,
Portfolio optimization problems involving value at risk (VaR) are often...
Portfolio optimization under tracking error and weights constraints
Portfolio optimization under tracking error and weights constraints
2011,
The performance of active portfolio managers who must comply with a weights constraint...
Maximum‐loss, minimum‐win and the Esscher pricing principle
Maximum‐loss, minimum‐win and the Esscher pricing principle
2012,
Maximum‐loss (Max‐loss) was recently introduced as a valuation...
Iterative estimation maximization for stochastic linear programs with conditional value‐at‐risk constraints
Iterative estimation maximization for stochastic linear programs with conditional value‐at‐risk constraints
2012,
We present a new algorithm, iterative estimation maximization (IEM), for stochastic...
Primal‐dual methods for the computation of trading regions under proportional transaction costs
Primal‐dual methods for the computation of trading regions under proportional transaction costs
2013,
Portfolio optimization problems on a finite time horizon under proportional...
The terminal real wealth optimization problem with index bonds: equivalence of real and nominal portfolio choices for the constant relative risk aversion utility
The terminal real wealth optimization problem with index bonds: equivalence of real and nominal portfolio choices for the constant relative risk aversion utility
2011,
In this paper, we consider an investment problem where the objective is to maximize...
An expected regret minimization portfolio selection model
An expected regret minimization portfolio selection model
2012,
Fuzzy portfolio selection has been widely studied within the framework of the...
Construction of a portfolio with shorter downside tail and longer upside tail
Construction of a portfolio with shorter downside tail and longer upside tail
2011,
The purpose of this paper is to propose an algorithm for solving Rachev ratio...
Conditional value‐at‐risk in portfolio optimization: Coherent but fragile
Conditional value‐at‐risk in portfolio optimization: Coherent but fragile
2011,
We evaluate conditional value‐at‐risk (CVaR) as a risk measure in...
Portfolio selection through the goal programming model: An overview
Portfolio selection through the goal programming model: An overview
2010,
The main objective of the mutli-attribute portfolio selection methodology is to...
A two-asset stochastic model for long-term portfolio selection
A two-asset stochastic model for long-term portfolio selection
2009,
In mean–variance (M–V) analysis, an investor with a holding period [0, T ]...
DC (difference of convex) programming approach for portfolio optimization under step increasing transaction costs
DC (difference of convex) programming approach for portfolio optimization under step increasing transaction costs
2009,
We address a class of particularly hard-to-solve portfolio optimization problems,...
On the choice of baselines in multiattribute portfolio analysis: A cautionary note
On the choice of baselines in multiattribute portfolio analysis: A cautionary note
2009,
In multiattribute portfolio optimization, a decision maker must evaluate a number of...
Papers per page: