A MAXIMAL PREDICTABILITY PORTFOLIO USING DYNAMIC FACTOR SELECTION STRATEGY

DOI10.1142/S0219024910005802zbMath1233.91247MaRDI QIDQ3580214

Rei Yamamoto, Hiroshi Konno, Yoshihiro Takaya

Publication date: 11 August 2010

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

zbMATH Keywords

fractional programmingabsolute deviationfactor modelnonconvex minimization problem0-1 integer programmingmaximal predictability portfolio

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Applications of mathematical programming (90C90) Portfolio theory (91G10)

Related Items (1)

Convex optimization approaches to maximally predictable portfolio selection

Cites Work

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• Common risk factors in the returns on stocks and bonds

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