Almost exact risk budgeting with return forecasts for portfolio allocation

Using investment portfolio return to combine forecasts: A multiobjective approach

This study investigates the usefulness and ef®cacy of a multiobjective decision method for ®nancial trading guided by a set of seemingly diverse analysts' forecasts. The paper proposes a goal programming (GP) approach which combines various forecasts based on the performance of their previous investment returns. In our experiment, several series of ®nancial analysts' forecasts are generated by ...

Bond Portfolio Optimization: A Risk-Return Approach

In this paper, we apply Markowitz’s approach of portfolio selection to government bond portfolios. As a main feature of our analysis, we use term structure models to estimate expected returns, return variances, and covariances of different bonds. Our empirical study for the German market shows that a small number of risky bonds is sufficient to reach very promising predicted risk-return profile...

Risk-Return Optimization of the Bank Portfolio

In an intensifying competition banks are forced to develop and implement enterprise wide integrated risk-return management systems. Financial risks have to be limited and managed from a bank wide portfolio perspective. Risk management rules must be accomplished from internal and regulatory points of view. Expected returns need to be maximized subject to these constraints, leading to a generaliz...

Cost Allocation For Capital Budgeting

Robust portfolio asset allocation and risk measures

Many financial optimization problems involve future values of security prices, interest rates and exchange rates which are not known in advance, but can only be forecast or estimated. Several methodologies have therefore been proposed to handle the uncertainty in financial optimization problems. One such methodology is Robust Statistics, which addresses the problem of making estimates of the un...