Temat: portfolio optimization

Skocz do pozycji: 1.

Tytuł:: Influence of membership function’s shape on portfolio optimization results
Autorzy:: Rutkowska, A.
Tematy:: fuzzy variable
membership function
fuzzy portfolio optimization; Pokaż więcej
Wydawca:: Społeczna Akademia Nauk w Łodzi. Polskie Towarzystwo Sieci Neuronowych
Powiązania:: https://bibliotekanauki.pl/articles/91535.pdf Link otwiera się w nowym oknie
Opis:: Portfolio optimization, one of the most rapidly growing field of modern finance, is selection process, by which investor chooses the proportion of different securities and other assets to held. This paper studies the influence of membership function’s shape on the result of fuzzy portfolio optimization and focused on portfolio selection problem based on credibility measure. Four different shapes of the membership function are examined in the context of the most popular optimization problems: mean-variance, mean-semivariance, entropy minimization, value-at-risk minimization. The analysis takes into account both: the study of necessary and sufficient conditions for the existence of extremes, as well as the statistical inference about the differences based on simulation.
Dostawca treści:: Biblioteka Nauki

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Skocz do pozycji: 2.

Tytuł:: Does the inclusion of exposure to volatility into diversified portfolio improve the investment results? Portfolio construction from the perspective of a Polish investor
Autorzy:: Latoszek, Michał
Ślepaczuk, Robert
Tematy:: volatility
asset class
portfolio optimization
Polish market
VIX
Markowitz portfolio
naïve diversification; Pokaż więcej
Wydawca:: Uniwersytet Ekonomiczny w Poznaniu
Powiązania:: https://bibliotekanauki.pl/articles/557807.pdf Link otwiera się w nowym oknie
Opis:: The main goal of this research is to analyse the investment benefits from an incorporation of the volatility exposure to the diversified portfolio from the perspective of a Polish investor. Volatility, treated as a new asset class, may improve the performance of the portfolio due to its negative correlation with most types of assets. This topic has been widely investigated for the United States and Europe whereas the Polish market appears to be not heavily researched and this study may fill this gap. The research covers the period from October 2010 to July 2018 and is performed on daily close prices. To construct the portfolios the analysis uses the mean-variance framework and the naïve diversification approach. The comparison of risk-adjusted returns between investments with and without volatility exposure enables an answer to the research question about an improvement of the results by the addition of a non-standard asset to the diversified portfolios. The VXX is considered as the proxy for volatility as it is the most popular ETN which follows the volatility index derivatives with the given maturity. To test the robustness of the results the portfolios are constructed with a broad range of different parameters and assumptions imposed on the optimization procedure.
Dostawca treści:: Biblioteka Nauki

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Skocz do pozycji: 3.

Tytuł:: A condition for asset redundancy in the mean-variance model of portfolio investment
Autorzy:: Juszczuk, Przemysław
Kaliszewski, Ignacy
Miroforidis, Janusz
Podkopaev, Dmitry
Tematy:: modern portfolio theory
Markowitz model
meanvariance portfolio optimization
asset redundancy
problem size; Pokaż więcej
Wydawca:: Polska Akademia Nauk. Instytut Badań Systemowych PAN
Powiązania:: https://bibliotekanauki.pl/articles/2050025.pdf Link otwiera się w nowym oknie
Opis:: The mean-variance approach to portfolio investment exploits the fact that the diversification of investments by combination of different assets in one portfolio allows for reducing the financial risks significantly. The mean-variance model is formulated as a bi-objective optimization problem with linear (expected return) and quadratic (variance) objective functions. Given a set of available assets, the investor searches for a portfolio yielding the most preferred combination of these objectives. Naturally, the search is limited to the set of non-dominated combinations, referred to as the Pareto front. Due to the globalization of financial markets, investors nowadays have access to large numbers of assets. We examine the possibility of reducing the problem size by identifying those assets, whose removal does not affect the resulting Pareto front, thereby not deteriorating the quality of the solution from the investor’s perspective. We found a sufficient condition for asset redundancy, which can be verified before solving the problem. This condition is based on the possibility of reallocating the share of one asset in a portfolio to another asset without deteriorating the objective function values. We also proposed a parametric relaxation of this condition, making it possible to removemore assets for a price of a negligible deterioration of the Pareto front. Computational experiments conducted on five real-world problems have demonstrated that the problem size can be reduced significantly using the proposed approach.
Dostawca treści:: Biblioteka Nauki

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Skocz do pozycji: 4.

Tytuł:: An interactive compromise programming for portfolio investment problem
Autorzy:: Karelkina, Olga
Tematy:: modern portfolio theory
Markowitz model
meanvariance portfolio optimization
interactive multicriteria optimization
parameterized achievement scalarizing functions; Pokaż więcej
Wydawca:: Polska Akademia Nauk. Instytut Badań Systemowych PAN
Powiązania:: https://bibliotekanauki.pl/articles/2050029.pdf Link otwiera się w nowym oknie
Opis:: This paper addresses an approach for solving multicriteria portfolio investment problem. The original Markowitz mean-variance model is formulated as a problem of bi-objective optimization with linear and quadratic objective functions. In the current work, this model is extended by introducing a new objective, reflecting asset properties that are useful for the portfolio allocation process. A method based on parameterized achievement scalarizing function is applied to produce Pareto optimal portfolios. A mathematical programming formulation that allows for solving the problem with conventional optimization methods is presented. In addition, a method of reflecting the decision maker’s preferences by means of changing the weights in the achievement scalarizing functions is introduced. A decision making process is simulated for the three-objective portfolio optimization problem.
Dostawca treści:: Biblioteka Nauki

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Skocz do pozycji: 5.

Tytuł:: Trade-Off Guided Search for Approximate Pareto Optimal Portfolios
Autorzy:: Juszczuk, Przemysław
Kaliszewski, Ignacy
Miroforidis, Janusz
Tematy:: Pareto front approximation
Portfolio optimization
Aproksymacja frontu Pareto
Optymalizacja portfela; Pokaż więcej
Wydawca:: Uniwersytet Ekonomiczny w Katowicach
Powiązania:: https://bibliotekanauki.pl/articles/578497.pdf Link otwiera się w nowym oknie
Opis:: In this paper, we attempt to represent the Pareto Front in the Markowitz mean-variance model by two-sided discrete approximations. We discuss the possibility of using such approximations for portfolio selection. The potential of the approach is illustrated by the results of preliminary numerical experiments.
Dostawca treści:: Biblioteka Nauki

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Skocz do pozycji: 6.

Tytuł:: Multiobjective duality for the Markowitz portfolio optimization problem
Autorzy:: Wanka, G.
Tematy:: dualność
optymalizacja
duality
expected return
investment
Markowitz model
optimality conditions
portfolio optimization; Pokaż więcej
Wydawca:: Polska Akademia Nauk. Instytut Badań Systemowych PAN
Powiązania:: https://bibliotekanauki.pl/articles/206011.pdf Link otwiera się w nowym oknie
Opis:: The classical Markowitz approach to portfolio selection leads to a biobjective optimization problem where the objectives are the expected return and the variance of a portfolio. In this paper a biobjective dual optimization problem to the Markowitz portfolio optimization problem is introduced and analyzed. For the Markowitz problem and its dual, weak and strong vector duality assertions are derived. The optimality conditions are also verified.
Dostawca treści:: Biblioteka Nauki

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Skocz do pozycji: 7.

Tytuł:: Performance of robust portfolio optimization in crisis periods
Autorzy:: Balcilar, M.
Ozun, A.
Tematy:: robust control procedures
RobustRisk
portfolio optimization
Monte Carlo simulation
global crisis; Pokaż więcej
Wydawca:: Polska Akademia Nauk. Instytut Badań Systemowych PAN
Powiązania:: https://bibliotekanauki.pl/articles/205665.pdf Link otwiera się w nowym oknie
Opis:: We examin empirical performances of two alterna- tive robust optimization models, namely the worst-case conditional value-at-risk (worst-case CVaR) model and the nominal conditional value-at-risk (CVaR) model in crisis periods. Both models are based on historical value-at-risk methodology. These performances are compared by using a portfolio constructed on the basis of daily clos- ing values of different stock indices in developed markets using data from 1990 to 2013. An empirical evidence is produced with Ro- bustRisk software application. Both a Monte-Carlo simulation and an out-of-sample test show that robust optimization with worst-case CVaR model outperforms the nominal CVaR model in the crisis peri- ods. However, the trade-off between model misspecification risk and return maximization depending on the market movements should be optimized in a robust model selection.
Dostawca treści:: Biblioteka Nauki

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Skocz do pozycji: 8.

Tytuł:: Metaheuristic optimization of marginal risk constrained long - short portfolios
Autorzy:: Vijayalakshmi Pai, G. A.
Michel, T.
Tematy:: metaheuristic
optimization
portfolio optimization
marginal risk
quadratic programming
meta heuristic method
data envelopment analysis; Pokaż więcej
Wydawca:: Społeczna Akademia Nauk w Łodzi. Polskie Towarzystwo Sieci Neuronowych
Powiązania:: https://bibliotekanauki.pl/articles/91858.pdf Link otwiera się w nowym oknie
Opis:: The problem of portfolio optimization with its twin objectives of maximizing expected portfolio return and minimizing portfolio risk renders itself difficult for direct solving using traditional methods when constraints reflective of investor preferences, risk management and market conditions are imposed on the underlying mathematical model. Marginal risk that represents the risk contributed by an asset to the total portfolio risk is an important criterion during portfolio selection and risk management. However, the inclusion of the constraint turns the problem model into a notorious non-convex quadratic constrained quadratic programming problem that seeks acceptable solutions using metaheuristic methods. In this work, two metaheuristic methods, viz., Evolution Strategy with Hall of Fame and Differential Evolution (rand/1/bin) with Hall of Fame have been evolved to solve the complex problem and compare the quality of the solutions obtained. The experimental studies have been undertaken on the Bombay Stock Exchange (BSE200) data set for the period March 1999-March 2009. The efficiency of the portfolios obtained by the two metaheuristic methods have been analyzed using Data Envelopment Analysis.
Dostawca treści:: Biblioteka Nauki

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Skocz do pozycji: 9.

Tytuł:: Information pricing for portfolio optimization
Autorzy:: Banek, T.
Kulikowski, R.
Tematy:: wartość informacji
martyngał
optymalizacja portfela inwestycyjnego
value of information
martingale
portfolio optimization; Pokaż więcej
Wydawca:: Polska Akademia Nauk. Instytut Badań Systemowych PAN
Powiązania:: https://bibliotekanauki.pl/articles/970590.pdf Link otwiera się w nowym oknie
Opis:: We consider the following problem: is there a rational or fair price for the reports made by analysts, experts, investor advisers concerning the rate of return (RR) of investments? We define the notion of the value of information included in the family of probability distributions of the RR. Next, we illustrate this notion for a linear-quadratic utility function.
Dostawca treści:: Biblioteka Nauki

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Skocz do pozycji: 10.

Tytuł:: A bi-objective portfolio optimization with conditional value-at-risk
Autorzy:: Sawik, B.
Tematy:: multi-criteria decision making
portfolio optimization
conditional value-at-risk
weighting approach
linear programming; Pokaż więcej
Wydawca:: Akademia Górniczo-Hutnicza im. Stanisława Staszica w Krakowie. Wydawnictwo AGH
Powiązania:: https://bibliotekanauki.pl/articles/375981.pdf Link otwiera się w nowym oknie
Opis:: This paper presents a bi-objective portfolio model with the expected return as a performance measure and the expected worst-case return as a risk measure. The problems are formulated as a bi-objective linear program. Numerical examples based on 1000, 3500 and 4020 historical daily input data from the Warsaw Stock Exchange are presented and selected computational results are provided. The computational experiments prove that the proposed linear programming approach provides the decision maker with a simple tool for evaluating the relationship between the expected and the worst-case portfolio return.
Dostawca treści:: Biblioteka Nauki

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