نتایج جستجو برای: portfolio optimization models
تعداد نتایج: 1204653 فیلتر نتایج به سال:
This paper presents dynamic portfolio model based on the Merton's optimal investment-consumption model, which combines dynamic synthetic put option using risk-free and risky assets. This paper is extended version of methodological paper published by Yuan Yao (2012). Because of the long history of the development of foreign financial market, with a variety of financial derivatives, the study on ...
The drivers of mining stock prices are known to be several. Sharp spikes on the stocks return distribution have been linked to the presence of unusually high volatility signifying the presence of high levels of kurtosis. The accurate measurement of the stocks’ underlying co-movements for more accurate CVaR portfolio optimization requires, therefore, the utilization of sophisticated and specific...
Due to the illiquidity of inventories pledged, the essential of price risk management of supply chain finance is to long-term price risk measure. Long memory in volatility, which attests a slower than exponential decay in the autocorrelation function of standard proxies of volatility, yields an additional improvement in specification of multi-period volatility models and further impact on the t...
Risk Budgeted portfolio optimization problem centering on the twin objectives of maximizing expected portfolio return and minimizing portfolio risk and incorporating the risk budgeting investment strategy, turns complex for direct solving by classical methods triggering the need to look for metaheuristic solutions. This work explores the application of an extended Ant Colony Optimization algori...
In this paper we develop a concrete and fully implementable approach to the optimization of functionally generated portfolios in stochastic portfolio theory. The main idea is optimize over family rank-based parameterized by an exponentially concave function on unit interval. This choice can be motivated long term stability capital distribution observed large equity markets allows us circumvent ...
These notes develop the modern theory of martingale pricing in a discrete-time, discrete-space framework. This theory is also important for the modern theory of portfolio optimization as the problems of pricing and portfolio optimization are now recognized as being intimately related. We choose to work in a discrete-time and discrete-space environment as this will allow us to quickly develop re...
We focus on affine term structure models as tools for active bond portfolio management. We use multi-factor term structure models to produce forecasts for the future values of the state variables. Starting from the conditional moments of the state vector implied by the models, we introduce binomial approximations to come up with discrete scenarios for the future state variables. From the theore...
We study in this paper the strong duality for discrete-time convex constrained portfolio selection problems when adopting a risk neutral computational approach. In contrast to the continuous-time models, there is no known result of the existence conditions in discrete-time models to ensure the strong duality. Investigating the relationship among the primal problem, the Lagrangian dual and the P...
This paper proposes a bacterial foraging based approach for portfolio optimization problem. We develop an improved portfolio optimization model by introducing the endogenous and exogenous liquidity risk and the corresponding indexes are designed to measure the endogenous/exogenous liquidity risk, respectively. Bacterial foraging optimization (BFO) is employed to find the optimal set of portfoli...
Financial portfolio optimization is a challenging problem. First, the problem is multiobjective (i.e.: minimize risk and maximize profit) and the objective functions are often multimodal and non smooth (e.g.: value at risk). Second, managers have often to face real-world constraints, which are typically non-linear. Hence, conventional optimization techniques, such as quadratic programming, cann...
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