We consider the problem of choosing an optimal portfolio, assuming the asset returns have a Gaussian mixture (GM) distribution, with the objective of maximizing expected exponential utility. In this paper we show that this problem is convex, and readily solved exactly using domain-specific...

Although appealing from a theoretical point of view, empirical assessments of dynamic portfolio optimizations in a mean-variance framework often fail to reach the high expectations set forth by analytical evaluations. A major reason for this shortfall is the imprecise estimation of asset moments...

We address the problem of strategic asset allocation (SAA) with portfolios that include illiquid alternative asset classes. The main challenge in portfolio construction with illiquid asset classes is that we do not have direct control over our positions, as we do in liquid asset classes. Instead...

Purpose – Collaboration is now an important part of public sector management. The purpose of this paper is to examine the factors that have helped shape the relationships between public agencies involved in sports tourism. Design/methodology/approach – Using critical case sampling 54...

Mean-variance portfolio optimization problems often involve separable nonconvex terms, including penalties on capital gains, integer share constraints, and minimum position and trade sizes. We propose a heuristic algorithm for this problem based on the alternating direction method of multipliers...

The Merton problem is the well-known stochastic control problem of choosing consumption over time, as well as an investment mix, to maximize expected constant relative risk aversion (CRRA) utility of consumption. Merton formulated the problem and provided an analytical solution in 1970; since then a...