Journal ArticleDOI
Portfolio Optimization with Factors, Scenarios, and Realistic Short Positions
TLDR
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
Warm-Start Heuristic for Stochastic Portfolio Optimization with Fixed and Proportional Transaction Costs
TL;DR: To solve the mixed-integer nonlinear programming (MINLP) deterministic formulation equivalent to the stochastic problem, a mathematical programming-based warm-start heuristic is designed which is more than an order of magnitude faster than Cplex in finding high-quality solutions.
Journal ArticleDOI
Risk of Profit Loss Sharing Financing: The Case of Indonesia
TL;DR: In this paper, the risk of profit-and-loss sharing finance in Indonesian Islamic banking is analyzed. And the authors show that risk return in mudharabafinancing is more volatile than that in musharaka as it is potentially driven by agency problems.
Book ChapterDOI
Stock-Selection Modeling and Data Mining Corrections: Long-Only Versus 130/30 Models
TL;DR: In this article, the authors address several aspects of stock selection, portfolio construction, and data mining corrections and hypothesis testing of excess returns, including mean-variance, equally actively weighted, tracking-error-at-risk, and 130/30 strategies.
Relaxing the long-only constraint in the pursuit of active return.
Bruce I. Jacobs,Kenneth N. Levy +1 more
Journal ArticleDOI
Is optimum always optimal? A revisit of the mean‐variance method under nonlinear measures of dependence and non‐normal liquidity constraints
TL;DR: In this paper, the authors developed a model for optimizing multiple-asset portfolios with semi-parametric liquidity-adjusted value-at-risk (LVaR), whereby linear correlations are substituted by the multivariate nonlinear Kendall's tau dependence measure, under multiple credible operational and budget constraints.
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.