Download or read book A Multi period Portfolio Selection Problem written by Wenting Hou and published by . This book was released on 2009 with total page 117 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Multi Period Trading Via Convex Optimization written by Stephen Boyd and published by . This book was released on 2017-07-28 with total page 92 pages. Available in PDF, EPUB and Kindle. Book excerpt: This monograph collects in one place the basic definitions, a careful description of the model, and discussion of how convex optimization can be used in multi-period trading, all in a common notation and framework.

Download or read book A Multi period Behavioral Model for Portfolio Selection Problem written by Sundaravaradhan Srinivasan and published by . This book was released on 1972 with total page 288 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Portfolio Decision Analysis written by Ahti Salo and published by Springer Science & Business Media. This book was released on 2011-08-12 with total page 410 pages. Available in PDF, EPUB and Kindle. Book excerpt: Portfolio Decision Analysis: Improved Methods for Resource Allocation provides an extensive, up-to-date coverage of decision analytic methods which help firms and public organizations allocate resources to 'lumpy' investment opportunities while explicitly recognizing relevant financial and non-financial evaluation criteria and the presence of alternative investment opportunities. In particular, it discusses the evolution of these methods, presents new methodological advances and illustrates their use across several application domains. The book offers a many-faceted treatment of portfolio decision analysis (PDA). Among other things, it (i) synthesizes the state-of-play in PDA, (ii) describes novel methodologies, (iii) fosters the deployment of these methodologies, and (iv) contributes to the strengthening of research on PDA. Portfolio problems are widely regarded as the single most important application context of decision analysis, and, with its extensive and unique coverage of these problems, this book is a much-needed addition to the literature. The book also presents innovative treatments of new methodological approaches and their uses in applications. The intended audience consists of practitioners and researchers who wish to gain a good understanding of portfolio decision analysis and insights into how PDA methods can be leveraged in different application contexts. The book can also be employed in courses at the post-graduate level.

Download or read book A Multi period Portfolio Selection in a Large Financial Market written by N'Golo Koné and published by . This book was released on 2020 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper addresses a multi-period portfolio selection problem when the number of assets in the financial market is large. Using an exponential utility function, the optimal solution is shown to be a function of the inverse of the covariance matrix of asset returns. Nonetheless, when the number of assets grows, this inverse becomes unreliable, yielding a selected portfolio that is far from the optimal one. We propose two solutions to this problem. First, we penalize the norm of the portfolio weights in the dynamic problem and show that the selected strategy is asymptotically efficient. Second, we penalize the norm of the difference of successive portfolio weights in the dynamic problem to guarantee that the optimal portfolio composition does not fluctuate widely between periods. This second method helps investors to avoid high trading costs in the financial market by selecting stable strategies over time. Extensive simulations and empirical results confirm that our procedures considerably improve the performance of the dynamic portfolio.

Download or read book Maximum entropy Models in Science and Engineering written by Jagat Narain Kapur and published by John Wiley & Sons. This book was released on 1989 with total page 660 pages. Available in PDF, EPUB and Kindle. Book excerpt: This Is The First Comprehensive Book About Maximum Entropy Principle And Its Applications To A Diversity Of Fields Like Statistical Mechanics, Thermo-Dynamics, Business, Economics, Insurance, Finance, Contingency Tables, Characterisation Of Probability Distributions (Univariate As Well As Multivariate, Discrete As Well As Continuous), Statistical Inference, Non-Linear Spectral Analysis Of Time Series, Pattern Recognition, Marketing And Elections, Operations Research And Reliability Theory, Image Processing, Computerised Tomography, Biology And Medicine. There Are Over 600 Specially Constructed Exercises And Extensive Historical And Bibliographical Notes At The End Of Each Chapter.The Book Should Be Of Interest To All Applied Mathematicians, Physicists, Statisticians, Economists, Engineers Of All Types, Business Scientists, Life Scientists, Medical Scientists, Radiologists And Operations Researchers Who Are Interested In Applying The Powerful Methodology Based On Maximum Entropy Principle In Their Respective Fields.

Download or read book Modern Portfolio Selection Theory written by Fang Liu and published by LAP Lambert Academic Publishing. This book was released on 2011-02 with total page 196 pages. Available in PDF, EPUB and Kindle. Book excerpt: Portfolio selection is an important research topic in the field of finance, but typically, existing portfolio models cover a single investment period and are static, while real-world investors operate dynamically over multiple periods. So multi-period portfolio selection models have been studied widely in recent years. This book mainly discusses the efficient frontier of the mean-VaR model for multi-period portfolio selection, and the algorithm and model for multi-period portfolio selection including uncertainty. Its main contents are as follows: firstly, effective solutions are given for the mean-VaR model for multi-period portfolio selection, and the efficient frontier problem is discussed. We then introduce credibility safety standards-based multi-period portfolio selection and fuzzy entropy-based multi-period portfolio selection models. We also present an empirical study for the two types of model.

Download or read book Portfolio Selection and Asset Pricing written by Shouyang Wang and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 260 pages. Available in PDF, EPUB and Kindle. Book excerpt: In our daily life, almost every family owns a portfolio of assets. This portfolio could contain real assets such as a car, or a house, as well as financial assets such as stocks, bonds or futures. Portfolio theory deals with how to form a satisfied portfolio among an enormous number of assets. Originally proposed by H. Markowtiz in 1952, the mean-variance methodology for portfolio optimization has been central to the research activities in this area and has served as a basis for the development of modem financial theory during the past four decades. Follow-on work with this approach has born much fruit for this field of study. Among all those research fruits, the most important is the capital asset pricing model (CAPM) proposed by Sharpe in 1964. This model greatly simplifies the input for portfolio selection and makes the mean-variance methodology into a practical application. Consequently, lots of models were proposed to price the capital assets. In this book, some of the most important progresses in portfolio theory are surveyed and a few new models for portfolio selection are presented. Models for asset pricing are illustrated and the empirical tests of CAPM for China's stock markets are made. The first chapter surveys ideas and principles of modeling the investment decision process of economic agents. It starts with the Markowitz criteria of formulating return and risk as mean and variance and then looks into other related criteria which are based on probability assumptions on future prices of securities.

Download or read book Multi period Credit Portfolio Selection written by Christian Schmieder and published by Tectum - Der Wissenschaftsverlag. This book was released on 2011-07 with total page 398 pages. Available in PDF, EPUB and Kindle. Book excerpt: Since the establishment of credit risk portfolio models in the financial industry in the 1990s, the focus of interest of both academics and practitioners is directed more and more towards active credit portfolio management. Active portfolio management related to Markowitz' (1952) seminal work is, however, primarily directed at finding optimal portfolios for single periods. For traditional hold-to-maturity credit loan portfolios, Markowitz-type portfolio optimization may therefore not be an appropriate methodology, as within a multi-period context an adequate decision criterion to capture time preferences has to be in place. It may, however, be difficult to determine a proper multi-period utility function. Moreover, utility theory faces other shortages, e.g. when it comes to define a common group preference. Therefore, the author suggests referring to growth-oriented portfolio selection (GOPS) in order to circumvent the utility theory framework. Ultimately, this methodology may be regarded as a promising alternative approach for practical purposes. This work offers a broad overview on techniques to measure and manage credit risk, comprising the presentation of the state-of-the-art techniques for single periods. The GOPS model is presented in an illustrative way based on simple examples that allow the reader to get an insight on the specific properties of the model in order to use the GOPS model for a specific credit portfolio problem. Another major advantage of the GOPS model is that it neatly fits into a bank-wide performance measurement concept.

Download or read book Uncertain Portfolio Optimization written by Zhongfeng Qin and published by Springer. This book was released on 2016-09-16 with total page 200 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides a new modeling approach for portfolio optimization problems involving a lack of sufficient historical data. The content mainly reflects the author’s extensive work on uncertainty portfolio optimization in recent years. Considering security returns as different variables, the book presents a series of portfolio optimization models in the framework of credibility theory, uncertainty theory and chance theory, respectively. As such, it offers readers a comprehensive and up-to-date guide to uncertain portfolio optimization models.

Download or read book High Performance Optimization written by Hans Frenk and published by Springer Science & Business Media. This book was released on 2000 with total page 506 pages. Available in PDF, EPUB and Kindle. Book excerpt: For a long time the techniques of solving linear optimization (LP) problems improved only marginally. Fifteen years ago, however, a revolutionary discovery changed everything. A new `golden age' for optimization started, which is continuing up to the current time. What is the cause of the excitement? Techniques of linear programming formed previously an isolated body of knowledge. Then suddenly a tunnel was built linking it with a rich and promising land, part of which was already cultivated, part of which was completely unexplored. These revolutionary new techniques are now applied to solve conic linear problems. This makes it possible to model and solve large classes of essentially nonlinear optimization problems as efficiently as LP problems. This volume gives an overview of the latest developments of such `High Performance Optimization Techniques'. The first part is a thorough treatment of interior point methods for semidefinite programming problems. The second part reviews today's most exciting research topics and results in the area of convex optimization. Audience: This volume is for graduate students and researchers who are interested in modern optimization techniques.

Download or read book Linear and Mixed Integer Programming for Portfolio Optimization written by Renata Mansini and published by Springer. This book was released on 2015-06-10 with total page 131 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book presents solutions to the general problem of single period portfolio optimization. It introduces different linear models, arising from different performance measures, and the mixed integer linear models resulting from the introduction of real features. Other linear models, such as models for portfolio rebalancing and index tracking, are also covered. The book discusses computational issues and provides a theoretical framework, including the concepts of risk-averse preferences, stochastic dominance and coherent risk measures. The material is presented in a style that requires no background in finance or in portfolio optimization; some experience in linear and mixed integer models, however, is required. The book is thoroughly didactic, supplementing the concepts with comments and illustrative examples.

Download or read book Convex Optimization written by Stephen P. Boyd and published by Cambridge University Press. This book was released on 2004-03-08 with total page 744 pages. Available in PDF, EPUB and Kindle. Book excerpt: Convex optimization problems arise frequently in many different fields. This book provides a comprehensive introduction to the subject, and shows in detail how such problems can be solved numerically with great efficiency. The book begins with the basic elements of convex sets and functions, and then describes various classes of convex optimization problems. Duality and approximation techniques are then covered, as are statistical estimation techniques. Various geometrical problems are then presented, and there is detailed discussion of unconstrained and constrained minimization problems, and interior-point methods. The focus of the book is on recognizing convex optimization problems and then finding the most appropriate technique for solving them. It contains many worked examples and homework exercises and will appeal to students, researchers and practitioners in fields such as engineering, computer science, mathematics, statistics, finance and economics.

Download or read book Optimal Portfolio Selection with Transaction Costs written by N'Golo Koné and published by . This book was released on 2020 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: The optimal portfolio selection problem has been and continues to be a subject of interest in finance. The main objective is to find the best way to allocate the financial resources in a set of assets available on the financial market in order to reduce the portfolio fluctuation risks and achieve high returns. Nonetheless, there has been a strong advance in the literature of the optimal allocation of financial resources since the 20th century with the proposal of several strategies for portfolio selection essentially motivated by the pioneering work of Markowitz (1952)which provides a solid basis for portfolio analysis on the financial market. This thesis, divided into three chapters, contributes to this vast literature by proposing various economic tools to improve the process of selecting portfolios on the financial market in order to help stakeholders in this market. The first chapter, a joint paper with Marine Carrasco, addresses a portfolio selection problem with trading costs on stock market. More precisely, we develop a simple GMM-based test procedure to test the significance of trading costs effect in the economy regardless of the form of the transaction cost. In fact, most of the studies in the literature about trading costs effect depend largely on the form of the frictions assumed in the model (Dumas and Luciano (1991), Lynch and Balduzzi (1999), Lynch and Balduzzi (2000), Liu and Loewenstein (2002), Liu (2004), Lesmond et al. (2004), Buss et al. (2011), Gârleanu and Pedersen (2013), Heaton and Lucas (1996)). To overcome this problem, we develop a simple test procedure which allows us to test the significance of trading costs effect on a given asset in the economy without any assumption about the form of these frictions. Our test procedure relies on the assumption that the model estimated by GMM is correctly specified. A common test used to evaluate this assumption is the standard J-test proposed by Hansen (1982). However, when the true parameter is close to the boundary of the parameter space, the standard J-test based on the chi2 critical value suffers from overrejection. To overcome this problem, we propose a two-step procedure to test overidentifying restrictions when the parameter of interest approaches the boundary of the parameter space. In an empirical analysis, we apply our test procedures to the class of anomalies used in Novy-Marx and Velikov (2016). We show that transaction costs have a significant effect on investors' behavior for most anomalies. In that case, investors significantly improve out-of-sample performance by accounting for trading costs. The second chapter addresses a multi-period portfolio selection problem when the number of assets in the financial market is large. Using an exponential utility function, the optimal solution is shown to be a function of the inverse of the covariance matrix of asset returns. Nonetheless, when the number of assets grows, this inverse becomes unreliable, yielding a selected portfolio that is far from the optimal one. We propose two solutions to this problem. First, we penalize the norm of the portfolio weights in the dynamic problem and show that the selected strategy is asymptotically efficient. However, this method partially controls the estimation error in the optimal solution because it ignores the estimation error in the expected return, which may also be important when the number of assets in the financial market increases considerably. We propose an alternative method that consists of penalizing the norm of the difference of successive portfolio weights in the dynamic problem to guarantee that the optimal portfolio composition does not fluctuate widely between periods. We show, under appropriate regularity conditions, that we better control the estimation error in the optimal portfolio with this new procedure. This second method helps investors to avoid high trading costs in the financial market by selecting stable strategies over time. Extensive simulations and empirical results confirm that our procedures considerably improve the performance of the dynamic portfolio. In the third chapter, we use various regularization (or stabilization) techniques borrowed from the literature on inverse problems to estimate the maximum diversification as defined by Choueifaty (2011). In fact, the maximum diversification portfolio depends on the vector of asset volatilities and the inverse of the covariance matrix of assets distribution. In practice, these two quantities need to be replaced by their sample counterparts. This results in estimation error which is amplified by the fact that the sample covariance matrix may be close to a singular matrix in a large financial market, yielding a selected portfolio far from the optimal one with very poor performance. To address this problem, we investigate three regularization techniques, such as the ridge, the spectral cut-off, and the Landweber-Fridman, to stabilize the inverse of the covariance matrix in the investment process. These regularization schemes involve a tuning parameter that needs to be chosen. So, we propose a data-driven method for selecting the tuning parameter in an optimal way. The resulting regularized rules are compared to several strategies such as the most diversified portfolio, the target portfolio, the global minimum variance portfolio, and the naive 1/N strategy in terms of in-sample and out-of-sample Sharpe ratio.

Download or read book Fuzzy Portfolio Optimization written by Pankaj Gupta and published by Springer. This book was released on 2014-03-17 with total page 329 pages. Available in PDF, EPUB and Kindle. Book excerpt: This monograph presents a comprehensive study of portfolio optimization, an important area of quantitative finance. Considering that the information available in financial markets is incomplete and that the markets are affected by vagueness and ambiguity, the monograph deals with fuzzy portfolio optimization models. At first, the book makes the reader familiar with basic concepts, including the classical mean–variance portfolio analysis. Then, it introduces advanced optimization techniques and applies them for the development of various multi-criteria portfolio optimization models in an uncertain environment. The models are developed considering both the financial and non-financial criteria of investment decision making, and the inputs from the investment experts. The utility of these models in practice is then demonstrated using numerical illustrations based on real-world data, which were collected from one of the premier stock exchanges in India. The book addresses both academics and professionals pursuing advanced research and/or engaged in practical issues in the rapidly evolving field of portfolio optimization.

Download or read book Stochastic Dynamic Programming Methods for the Portfolio Selection Problem written by Dimitrios Karamanis and published by . This book was released on 2013 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: In this thesis, we study the portfolio selection problem with multiple risky assets, linear transaction costs and a risk measure in a multi-period setting. In particular, we formulate the multi-period portfolio selection problem as a dynamic program and to solve it we construct approximate dynamic programming (ADP) algorithms, where we include Conditional-Value-at-Risk (CVaR) as a measure of risk, for different separable functional approximations of the value functions. We begin with the simple linear approximation which does not capture the nature of the portfolio selection problem since it ignores risk and leads to portfolios of only one asset. To improve it, we impose upper bound constraints on the holdings of the assets and we notice that we have more diversified portfolios. Then, we implement a piecewise linear approximation, for which we construct an update rule for the slopes of the approximate value functions that preserves concavity as well as the number of slopes. Unlike the simple linear approximation, in the piecewise linear approximation we notice that risk affects the composition of the selected portfolios. Further, unlike the linear approximation with upper bounds, here wealth flows naturally from one asset to another leading to diversified portfolios without us needing to impose any additional constraints on how much we can hold in each asset. For comparison, we consider existing portfolio selection methods, both myopic ones such as the equally weighted and a single-period portfolio models, and multi-period ones such as multistage stochastic programming. We perform extensive simulations using real-world equity data to evaluate the performance of all methods and compare all methods to a market Index. Computational results show that the piecewise linear ADP algorithm significantly outperforms the other methods as well as the market and runs in reasonable computational times. Comparative results of all methods are provided and some interesting conclusions are drawn especially when it comes to comparing the piecewise linear ADP algorithms with multistage stochastic programming.

Download or read book On the Optimality of Some Multi period Portfolio Selection Criteria written by Edwin J. Elton and published by . This book was released on 1972 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt: