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
Citations
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Journal ArticleDOI
Constructing Long/Short Portfolios with the Omega Ratio
TL;DR: In this paper, the authors construct portfolios with an alternative selection criterion, the Omega function, which can be expressed as the ratio of two partial moments of the returns distribution, and investigate the empirical performance of the selected portfolios, especially the effects of allowing short positions.
Journal ArticleDOI
Simulating Security Markets in Dynamic and Equilibrium Modes
TL;DR: In this article, an asynchronous discrete-time model run in dynamic mode can model the effects on market prices of changes in strategies, leverage, and regulations, or the effects of different return estimation procedures and different trading rules.
Journal ArticleDOI
Enhanced Active Equity Portfolios Are Trim Equitized Long-Short Portfolios
Bruce I. Jacobs,Kenneth N. Levy +1 more
TL;DR: This article examined the relation between enhanced active equity and equitized long-short portfolios and showed that the two can be shown to be equivalent, but the enhanced portfolio has the advantage of being more compact and requiring less leverage.
Journal ArticleDOI
A Markowitz Portfolio Approach to Options Trading
Licheng Zhao,Daniel P. Palomar +1 more
TL;DR: An efficient BSUM-M-based algorithm is proposed to solve the problem of option portfolio design under the Markowitz mean-variance framework and can perform as well as the off-the-shelf solvers but with a much lower computational time.
Journal ArticleDOI
Belief rule-based system for portfolio optimisation with nonlinear cash-flows and constraints
TL;DR: A BRB system that complements the RiskMetrics WealthBench system for portfolio optimisation with nonlinear cash-flows and constraints is developed and two optimisation methods are presented to locate efficient portfolios under different constraints specified by the investors.
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.