Portfolio Heuristics, Linearity, and Qualitative Analysis
نویسندگان
چکیده
منابع مشابه
Portfolio Optimization, Heuristics, and the "Butterfly Effect"
The same effect is at work with portfolio optimizers that perform asset allocation and portfolio allocation chores. A small change to an input works its way through the system of equations and results in a large change in allocations. As a result, it is very easy to arrive at a set of "non-intuitive" allocations; i.e. they don't exhibit common sense. Once a set of portfolio allocations is put i...
متن کاملHeuristics for cardinality constrained portfolio optimisation
In this paper we consider the problem of "nding the e$cient frontier associated with the standard mean}variance portfolio optimisation model. We extend the standard model to include cardinality constraints that limit a portfolio to have a speci"ed number of assets, and to impose limits on the proportion of the portfolio held in a given asset (if any of the asset is held). We illustrate the di!e...
متن کاملDynamic Portfolio Optimization with Transaction Costs: Heuristics and Dual Bounds
We consider the problem of dynamic portfolio optimization in a discrete-time, finite-horizon setting. Our general model considers risk aversion, portfolio constraints (e.g., no short positions), return predictability, and transaction costs. This problem is naturally formulated as a stochastic dynamic program. Unfortunately, with non-zero transaction costs, the dimension of the state space is at...
متن کاملFlow Analysis, Linearity, and PTIME
Flow analysis is a ubiquitous and much-studied component of compiler technology—and its variations abound. Amongst the most well known is Shivers’ 0CFA; however, the best known algorithm for 0CFA requires time cubic in the size of the analyzed program and is unlikely to be improved. Consequently, several analyses have been designed to approximate 0CFA by trading precision for faster computation...
متن کاملA Comparison of Stochastic Search Heuristics for Portfolio Optimization
Modern portfolio theory is based on a rational investor choosing the proportions of assets in a portfolio so as to minimize risk and maximize the expected return. In this paper, we investigate the applicability of different stochastic search heuristics to the problem of finding the optimum portfolio. We compare their performance on two problems with known solutions. 1. Portfolio Optimization Gi...
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: Applied Economics and Finance
سال: 2016
ISSN: 2332-7308,2332-7294
DOI: 10.11114/aef.v3i4.1802