A MAXIMAL PREDICTABILITY PORTFOLIO SUBJECT TO A TURNOVER CONSTRAINT

DOI10.1142/S0217595910002521zbMath1186.90082MaRDI QIDQ3560104

Hiroshi Konno, Yoshihiro Takaya

Publication date: 19 May 2010

Published in: Asia-Pacific Journal of Operational Research (Search for Journal in Brave)

zbMATH Keywords

transaction costabsolute deviationfactor modelnonconvex minimization problem\(0-1\) integer programmingturnover constraintmaximal predictability portfolio

Mathematics Subject Classification ID

Mixed integer programming (90C11) Portfolio theory (91G10)

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Cites Work

• Choosing the best set of variables in regression analysis using integer programming
• An efficient algorithm for solving convex-convex quadratic fractional programs
• Minimization of the ratio of functions defined as sums of the absolute values
• Global optimization versus integer programming in portfolio optimization under nonconvex transaction costs
• A MAXIMAL PREDICTABILITY PORTFOLIO MODEL: ALGORITHM AND PERFORMANCE EVALUATION
• Programming with linear fractional functionals
• On Nonlinear Fractional Programming
• Maximization of the ratio of two convex quadratic functions over a polytope
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