A MAXIMAL PREDICTABILITY PORTFOLIO MODEL: ALGORITHM AND PERFORMANCE EVALUATION

DOI10.1142/S0219024907004561zbMath1141.91476OpenAlexW2031275188MaRDI QIDQ3503130

Rei Yamamoto, Daisuke Ishii, Hiroshi Konno

Publication date: 20 May 2008

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024907004561

zbMATH Keywords

global optimizationfractional programmingportfolio optimization0-1 integer programmingmean-variance portfoliomaximal predictability portfolio

Mathematics Subject Classification ID

Portfolio theory (91G10)

Related Items (5)

Convex optimization approaches to maximally predictable portfolio selection ⋮ A maximal predictability portfolio using absolute deviation reformulation ⋮ A MAXIMAL PREDICTABILITY PORTFOLIO SUBJECT TO A TURNOVER CONSTRAINT ⋮ Construction of a portfolio with shorter downside tail and longer upside tail ⋮ A MAXIMAL PREDICTABILITY PORTFOLIO USING DYNAMIC FACTOR SELECTION STRATEGY

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• A MEAN-VARIANCE-SKEWNESS MODEL: ALGORITHM AND APPLICATIONS
• On Nonlinear Fractional Programming
• Maximization of the ratio of two convex quadratic functions over a polytope

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