MEAN–VARIANCE PORTFOLIO MANAGEMENT WITH FUNCTIONAL OPTIMIZATION
نویسندگان
چکیده
منابع مشابه
Optimization strategies in credit portfolio management
This paper focuses on the application of an original global optimization algorithm, based on the hybridization between a genetic algorithm and a semi-deterministic algorithm, for the resolution of various constrained optimization problems for realistic credit portfolios. Results are analyzed from a financial point of view in order to confirm their relevance. KEYWORDCredit Portfolio Management, ...
متن کاملDynamic portfolio optimization with risk management and strategy constraints
We investigate the problem of power utility maximization considering risk management and strategy constraints. The aim of this paper is to obtain admissible dynamic portfolio strategies. In case the floor is guaranteed with probability one, we provide two admissible solutions, the option based portfolio insurance in the constrained model, and the alternative method and show that none of the sol...
متن کاملPortfolio management with minimum guarantees: some modeling and optimization issues
In this contribution we consider a dynamic portfolio optimization problem where the manager has to deal with the presence of minimum guarantee requirements on the performance of the portfolio. We briefly discuss different possibilities for the formulation of the problem and present a quite general formulation which includes transaction costs, cardinality constraints and buy-in thresholds. The p...
متن کاملPortfolio Optimization with Drawdown Constraints
We propose a new one-parameter family of risk functions defined on portfolio return sample -paths, which is called conditional drawdown-at-risk (CDaR). These risk functions depend on the portfolio drawdown (underwater) curve considered in active portfolio management. For some value of the tolerance parameter α , the CDaR is defined as the mean of the worst % 100 ) 1 ( ∗ − α drawdowns. The CDaR ...
متن کاملFrom functional to cross-functional management of product portfolio complexity
This paper explains a novel cross-functional evaluation concept for product portfolio complexity management. In a holistic approach it combines and connects four main evaluation dimensions which are integrated into a complexity index model. The validation of the concept will be explained along an industry project within a manufacturing company.
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: International Journal of Theoretical and Applied Finance
سال: 2020
ISSN: 0219-0249,1793-6322
DOI: 10.1142/s0219024920500557