منابع مشابه
Efficient Cardinality/Mean-Variance Portfolios
A number of variants of the classical Markowitz mean-variance optimization model for portfolio selection have been investigated to render it more realistic. Recently, it has been studied the imposition of a cardinality constraint, setting an upper bound on the number of active positions taken in the portfolio, in an attempt to improve its performance and reduce transactions costs. However, one ...
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The Mean-Variance Portfolio Theory continues to be the cardinal tool for much of portfolio management. Traditional concerted literature on the Mean-Variance theory can be segmented almost exclusively into (i) chapters in books that provide simply a write up on the theory and (ii) books that contain a purely mathematical analysis without emphasizing the financial implications and interpretations...
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The widely accepted belief that asset returns and insurance product line margins are not normally distributed has motivated the use of skewness (or higher than second order moments), in the context of optimal risk-reward portfolio allocation. Here, we propose an optimization-based methodology to substantially improve the skewness of portfolios in the mean-variance efficient frontier. Unlike oth...
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This paper extends the work of Markowitz (1952), Korkie and Turtle (2002) and others by first proving that the traditional estimate for the optimal return of self-financing portfolios always overestimates from its theoretic value. To circumvent the problem, we develop a bootstrap estimate for the optimal return of self-financing portfolios and prove that this estimate is consistent with its cou...
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We study the optimal policies and mean-variance frontiers (MVF) of a multiperiod mean-variance optimization of assets and liabilities (AL). This makes the analysis more challenging than for a setting based on purely exogenous liabilities, in which the optimization is only performed on the assets while keeping liabilities fixed. We show that, under general conditions for the joint AL dynamics, t...
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ژورنال
عنوان ژورنال: Optimization
سال: 2016
ISSN: 0233-1934,1029-4945
DOI: 10.1080/02331934.2015.1132216