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Guido Abate, Tommaso Bonafini and Pierpaolo Ferrari
Mean-variance optimization often leads to unreasonable asset allocations. This problem has forced scholars and practitioners alike to introduce portfolio constraints. The scope of our study is to verify which type of constraint is more suitable for achie...
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Gabriel Matos Pereira,Leonardo Riegel Sant'Anna,Tiago Pascoal Filomena,João Luiz Becker
Pág. 288 - 324
Liquidity is an important issue in portfolio management. In 2012, the Brazilian market regulatory agency (CVM) started to require all banks and brokerages to maintain liquidity control of their portfolios. This study presents a liquidity constraint which...
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Michael H. Daly,Gary van Vuuren
AbstractOrientation: Active portfolio managers must simultaneously maximise excess returns (over benchmarks), limit risk and observe constraints on, for example, tracking errors (TRs), betas and asset weights.Research purpose: Determining the range of po...
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Elena Likhosherst,Lev Mazelis,Konstantin Solodukhin
Pág. 36 - 45
The method for portfolio investment, allowing the formation of the optimal portfolio structure considering degrees of satisfaction of requirements of stakeholder groups, risks and uncertainty of external and internal environment, was proposed. The model ...
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Weiping Wu, Lifen Wu, Ruobing Xue and Shan Pang
This paper revisits the dynamic MV portfolio selection problem with cone constraints in continuous-time. We first reformulate our constrained MV portfolio selection model into a special constrained LQ optimal control model and develop the optimal portfol...
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Wendy Wijaya and Kuntjoro Adji Sidarto
Portfolio optimization is a mathematical formulation whose objective is to maximize returns while minimizing risks. A great deal of improvement in portfolio optimization models has been made, including the addition of practical constraints. As the number...
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Werry Febrianti, Kuntjoro Adji Sidarto and Novriana Sumarti
Portfolio optimization is an activity for balancing return and risk. In this paper, we used mean-variance (M-V) portfolio models with buy-in threshold and cardinality constraints. This model can be formulated as a mixed integer nonlinear programming (MIN...
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I. G. Choi,P. Sohn,J-Y. Seo
AbstractThis study analyses the relevance between the bargaining power of labour unions and the operating flexibility on firms? capital costs by using non-financial firms listed on the Korean stock exchange from 1999 to 2013. Under the assumption that co...
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Pedro Marinho Sizenando Silva,Bruno César Melo Moreira,Gleison de Almeida Francisco
Pág. 107 - 124
The stock market has grown steadily in recent years, and several indices have also been created in this market, like IGC, ISE and IBOVESPA. Thinking about this market growth, this paper aims to build an optimal portfolio using linear programming, based o...
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Maria Alcina Rodrigues Batista Sanfins,Antonio Marcos Duarte Júnior
Pág. 201 - 227
This article considers the use of Exchange-Traded Funds (ETFs) for indexing the portfolios of pension funds in Brazil. A methodology is proposed to allow the portfolio managers to combine ETFs and the assets composing its benchmark. The methodology is ba...
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Marcelo C. Medeiros,Artur M. Passos,Gabriel F. R. Vasconcelos
Pág. 257 - 284
In this paper we exploit the parametric portfolio optimization in the Brazilian market. Our data consists of monthly returns of 306 Brazilian stocks in the period between 2001 and 2013. We tested the model both in and out of sample and compared the resul...
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Branimir Mocic
Pág. 65 - 78
Research Question: This paper investigates the performances of six portfolios constructed using robust optimization methods in the Serbian stock market. Motivation: Motivated by the lack of research that analyses the allocation strategies based on robust...
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Alla Bondar, Svitlana Onyshchenko
Pág. 21 - 30
The subject of the research is the optimization of the composition of the project portfolio based on the entropy concept. The aim of the study is to experimentally test the model for optimizing the portfolio of a project-oriented organization and substan...
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Stefano Quer, Andrea Marcelli and Giovanni Squillero
The maximum common subgraph of two graphs is the largest possible common subgraph, i.e., the common subgraph with as many vertices as possible. Even if this problem is very challenging, as it has been long proven NP-hard, its countless practical applicat...
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