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Reconciling Factor Optimization with Portfolio Constraints
Gnedenko, Boris - 2017
Allocation between factor portfolios can bring significant advantages over traditional portfolio optimization performed among individual assets or asset classes. One such advantage is a substantial dimension reduction when one's attention turns from many assets to few factors. This, however,...
Persistent link: https://www.econbiz.de/10012973146
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Strengthening Banks' Portfolio Against Asset Shocks : A Genetic Computational Approach
Gurciullo, Stefano - 2013
This thesis investigates models of market risk assessment based on genetic algorithms, with specific reference to asset portfolio choice under volatile market conditions. It does so by developing computational simulations of asset portfolios, which are then subjected to stressful price events. A...
Persistent link: https://www.econbiz.de/10013075302
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Mean-Maximum Drawdown Optimization of Buy-and-Hold Portfolios Using a Multi-objective Evolutionary Algorithm
Drenovak, Mikica; Rankovic, Vladimir; Urošević, Branko; … - 2021
We develop a novel Mean-Max Drawdown portfolio optimization approach using buy-and-hold portfolios. The optimization is performed utilizing a multi-objective evolutionary algorithm on a sample of S&P 100 constituents. Our optimization procedure provides portfolios with better Mean-Max Drawdown...
Persistent link: https://www.econbiz.de/10013215136
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Tail Behavior in Portfolio Optimization for Equity Style Factors
Kartsakli, Maria - 2018
Diversification has been long considered an essential part of investing for the long term. Our paper aims to look further on portfolio diversification and how asset allocation can be optimized. We suggest that the selection of investments in a portfolio should be based on how the market behaves...
Persistent link: https://www.econbiz.de/10012906959
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Risk Parity Portfolio vs. Other Asset Allocation Heuristic Portfolios
Chaves, Denis B. - 2016
strategy can be highly dependent on the investment universe. Thus, to execute risk parity successfully, the careful selection … of asset classes is critical, which, for the time being, remains an art rather than a formulaic exercise based on theory …
Persistent link: https://www.econbiz.de/10013008534
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Portfolio Optimization with Early Announced Discrete Dividends
Desmettre, Sascha - 2018
In this article we include discrete dividends in the stock price model and solve a generalized portfolio optimization problem. For this, we develop a new discrete dividend model that allows for the possibility of early announcement and ensures that the drop of the stock price at the ex-dividend...
Persistent link: https://www.econbiz.de/10012928171
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Maximizing the Sharpe Ratio : A Genetic Programming Approach
Liu, Yang; Zhou, Guofu; Zhu, Yingzi - 2021
While common machine learning algorithms focus on minimizing the mean-square errors of model fit, we show that genetic programming, GP, is well-suited to maximize an economic objective, the Sharpe ratio of the usual spread portfolio in the cross-section of expected stock returns. In contrast to...
Persistent link: https://www.econbiz.de/10013242613
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Behavioral Portfolio Management
Howard, C. Thomas - 2015
Behavioral Portfolio Management (BPM) is presented as a superior way to make investment decisions. Underlying BPM is … Principles. The third Basic Principle is that investment risk is the chance of underperformance. It is important to distinguish … between emotions and investment risk so that good decisions are made. In order to achieve the best results using BPM …
Persistent link: https://www.econbiz.de/10013036014
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Solving Complex Equations Subject to Constraints Using Lagrangian Constrained Optimization
Burgess, Nicholas - 2021
In this paper we outline the Lagrangian constrained optimization method to solve complex problems subject to constraints. Firstly we summarize the Lagrangian constrained optimization routine. Secondly we outline a detailed implementation strategy. Thirdly and finally we provide example and solve...
Persistent link: https://www.econbiz.de/10013213151
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Optimizing the Compression Cycle : Algorithms for Multilateral Netting in OTC Derivatives Markets
O'Kane, Dominic - 2014
Concerns about the fragility of the financial system caused by the OTC derivatives market has encouraged the increased use of counterparty risk mitigation techniques including the use of market compression. In this process groups of market participants share position information via a third...
Persistent link: https://www.econbiz.de/10013063807