搜索结果: 1-13 共查到“经济学 Portfolio optimization”相关记录13条 . 查询时间(0.078 秒)
Portfolio optimization with linear and fixed transaction costs
Investment transaction costs linear transactions
2015/8/10
We consider the problem of portfolio selection, with transaction costs and constraints on exposure to risk. Linear transaction costs, bounds on the variance of the return, and bounds on different shor...
Portfolio optimization with insider's initial information and counterparty risk
asymmetric information enlargement of filtrations counterparty risk optimal investment duality dynamic programming.
2012/9/14
We study the gain of an insider having private information which concerns the default risk of a counterparty. More precisely, the default time τ is modelled as the first time a stochastic process hits...
Belief Propagation Algorithm for Portfolio Optimization Problems
Belief Propagation Algorithm Portfolio Optimization Problems
2010/10/21
The typical behavior of optimal solutions to portfolio optimization problems with absolute deviation and expected shortfall models using replica analysis was pioneeringly estimated by S. Ciliberti and...
Monte Carlo Portfolio Optimization for General Investor Risk-Return Objectives and Arbitrary Return Distributions: a Solution for Long-only Portfolios
Portfolio Optimization Optimisation Random Portfolio Monte Carlo Simplex
2010/10/21
We develop the idea of using Monte Carlo sampling of random portfolios to solve portfolio investment problems. In this first paper we explore the need for more general optimization tools, and conside...
When do improved covariance matrix estimators enhance portfolio optimization? An empirical comparative study of nine estimators
covariance matrix nine estimators portfolio optimization
2010/4/28
The use of improved covariance matrix estimators as an alternative to the sample estimator is considered an important approach for enhancing portfolio optimization. Here we empirically compare the per...
Portfolio optimization in a defaults model under full/partial information
Optimal investment default time default intensity,filtering dynamic program-ming principle
2010/4/27
In this paper, we consider a financial market with assets exposed to some risks inducing jumps in the asset prices, and which can still be traded after default times. We use a default-intensity modeli...
Portfolio optimization in a defaults model under full/partial information
Optimal investment default time default intensity filtering
2010/10/19
In this paper, we consider a financial market with assets exposed to some risks inducing jumps in the asset prices, and which can still be traded after default times. We use a default-intensity model...
A note on evolutionary stochastic portfolio optimization and probabilistic constraints
note evolutionary stochastic portfolio optimization probabilistic constraints
2010/10/18
In this note, we extend an evolutionary stochastic portfolio optimization framework to include probabilistic constraints. Both the stochastic programming-based modeling environment as well as the evol...
A note on evolutionary stochastic portfolio optimization and probabilistic constraints
evolutionary stochastic portfolio optimization probabilistic constraints
2010/10/18
In this note, we extend an evolutionary stochastic portfolio optimization framework to include probabilistic constraints. Both the stochastic programming-based modeling environment as well as the evol...
Classical mean-variance portfolio theory12 tells us how to construct a portfo-lio of assets which has the greatest expected return for a given level of return volatility. Utility theory then allows an...
The optimization of large portfolios displays an inherent instability to estimation error.
This poses a fundamental problem, because solutions that are not stable under sample
fluctuations may look ...
Portfolio optimization when expected stock returns are determined by exposure to risk
1/n strategy Black–Scholes model expected stock returns Markowitz’ problem portfolio optimization ranks
2010/11/1
It is widely recognized that when classical optimal strategies are applied with parameters estimated from data, the resulting portfolio weights are remarkably volatile and unstable over time.The predo...
Feasibility of Portfolio Optimization under Coherent Risk Measures
Feasibility Portfolio Optimization Coherent Risk Measures
2010/12/17
It is shown that the axioms for coherent risk measures imply that whenever there is an asset in a portfolio that dominates the others in a given sample (which happens with finite probability even for ...