Journal ArticleDOI
Portfolio Optimization with Factors, Scenarios, and Realistic Short Positions
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This paper presents fast algorithms for calculating mean-variance efficient frontiers when the investor can sell securities short as well as buy long, and when a factor and/or scenario model of covariance is assumed.Abstract:
This paper presents fast algorithms for calculating mean-variance efficient frontiers when the investor can sell securities short as well as buy long, and when a factor and/or scenario model of covariance is assumed. Currently, fast algorithms for factor, scenario, or mixed (factor and scenario) models exist, but (except for a special case of the results reported here) apply only to portfolios of long positions. Factor and scenario models are used widely in applied portfolio analysis, and short sales have been used increasingly as part of large institutional portfolios. Generally, the critical line algorithm (CLA) traces out mean-variance efficient sets when the investor's choice is subject to any system of linear equality or inequality constraints. Versions of CLA that take advantage of factor and/or scenario models of covariance gain speed by greatly simplifying the equations for segments of the efficient set. These same algorithms can be used, unchanged, for the long-short portfolio selection problem provided a certain condition on the constraint set holds. This condition usually holds in practice.read more
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is currently Postdoctoral researcher at LERIA Universited' Angers en Pays-de-Loire (F). He holds a PhD Europaeus in Computational Finance (I, B, CH, UK) and was a team member of the Marie Curie RTN 'COMISEF'. His research interests cover the application of hybrid and approximation algorithms to financial and economic areas. He is also a classical concert pianist.
Manfred Gilli,Enrico Schumann +1 more
TL;DR: In this article, the authors construct portfolios with an alternative selection criterion, the Omega function, which can be expressed as the ratio of two partial moments of a portfolio's return distribution, and investigate the empirical performance of the selected portfolios, especially the effects of allowing short positions.
Journal ArticleDOI
Robust Markowitz: Comprehensively maximizing Sharpe ratio by parametric-quadratic programming
TL;DR: In this article , a counter-COVID measure for stocks is introduced and integrated into portfolio-selection models to obtain the maximum Sharpe-ratio for COVID-19.
Book ChapterDOI
Solving Portfolio Optimization Using Sine-Cosine Algorithm Embedded Mutation Operations
Journal ArticleDOI
Penalty ADM Algorithm for Cardinality Constrained Mean-Absolute Deviation Portfolio Optimization
TL;DR: The cardinality constrained mean-absolute deviation portfolio optimization problem with risk-neutral interest rate and short-selling is studied and the penalty alternating direction method is used to solve the mixed integer linear model.
References
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Journal ArticleDOI
Portfolio Selection: Efficient Diversification of Investments
Alan Stuart,Harry M. Markowitz +1 more
TL;DR: In this article, the authors defined asset classes technology sector stocks will diminish as the construction of the portfolio, and the construction diversification among the, same level of assets, which is right for instance among the assets.
Journal ArticleDOI
A Simplified Model for Portfolio Analysis
TL;DR: Preliminary evidence suggests that the relatively few parameters used by the model can lead to very nearly the same results obtained with much larger sets of relationships among securities, as well as the possibility of low-cost analysis.
Book
Portfolio Selection: Efficient Diversification of Investments
TL;DR: In this paper, the authors apply modern techniques of analysis and computation to find combinations of securities that best meet the needs of private or institutional investors, such as hedge fund managers, hedge funds, and hedge funds.
Book
Mean-Variance Analysis in Portfolio Choice and Capital Markets
Harry M. Markowitz,G. Peter Todd +1 more
TL;DR: In this paper, the general portfolio selection model preliminary results solution to a portfolio selection program special cases a special case portfolio selection programme is presented, and the model is used for portfolio selection.
Journal ArticleDOI
The simplex method for quadratic programming
TL;DR: In this article, a computational procedure for finding the minimum of a quadratic function of variables subject to linear inequality constraints is given, analogous to the Simplex Method for linear programming, being based on the Barankin-Dorfman procedure.