The purpose of this note is to present a further reduction of the model presented by Konno and Yamazaki (1991). In their paper the number of nonzero assets in the optimal solution is bounded by the number of model rows, 2T + 2, where T is the number of time periods (assuming no upper limit on...

We investigate the time-consistent mean-variance (MV) portfolio optimization problem under a realistic context that involves the simultaneous application of different types of investment constraints and modelling assumptions, for which a closed-form solution is not known to exist. We develop an...

An optimization method is developed for constructing investment portfolios which stochastically dominate a given benchmark for all decreasing absolute risk-averse investors, using Quadratic Programming. The method is applied to standard data sets of historical returns of equity price reversal...

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...

Diversification is a fundamental topic for all investors but there remains little agreement on how to measure it. Often it is defined ambiguously through risk-based portfolio construction techniques. Recently it has been suggested to connect maximising diversification with minimising risk...

This work presents a disciplined convex programming framework for entropic value at risk (EVaR) based on exponential cone programming. This framework allows us to use EVaR in several convex portfolio optimization problems like maximize the EVaR adjusted return, constraints on EVaR or risk parity...

This paper discusses multi-period investment processes under parameter uncer- tainty and criteria to maximize exponential growth. Applying an information- theoretical argument, we find, for a Bernoulli process, the least biased investment strategy consistent with an expected exponential growth...

In this paper, we consider an optimal portfolio de-leveraging problem, where the objective is to meet specified debt/equity requirements at the minimal execution cost. Permanent and temporary price impact is taken into account. With no restrictions on the relative magnitudes of permanent and...

In this paper, we focus on the portfolio optimization problem associated to a quasiconvex risk measure (satisfying some additional assumptions). For coherent/convex risk measures, the portfolio optimization problem has been already studied by Gaivoronski and Pflug (2005), Rockafellar and Uryasev...