Related papers: Cardinality constrained portfolio selection via fa…
In this paper, a heuristic method based on TabuSearch and TokenRing Search is being used in order to solve the Portfolio Optimization Problem. The seminal mean-variance model of Markowitz is being considered with the addition of cardinality…
Portfolio selection in the periodic investment of securities modeled by a multivariate Merton model with dependent jumps is considered. The optimization framework is designed to maximize expected terminal wealth when portfolio risk is…
Dealing with multi-objective problems by using generation methods has some interesting advantages since it provides the decision-maker with the complete information about the set of non-dominated points (Pareto front) and a clear overview…
We propose an iterative gradient-based algorithm to efficiently solve the portfolio selection problem with multiple spectral risk constraints. Since the conditional value at risk (CVaR) is a special case of the spectral risk measure, our…
We develop the idea of using Monte Carlo sampling of random portfolios to solve portfolio investment problems. In this first paper we explore the need for more general optimization tools, and consider the means by which constrained random…
Tracking a financial index boils down to replicating its trajectory of returns for a well-defined time span by investing in a weighted subset of the securities included in the benchmark. Picking the optimal combination of assets becomes a…
Portfolio optimization is a cornerstone of financial decision-making, traditionally relying on classical algorithms to balance risk and return. Recent advances in quantum computing offer a promising alternative, leveraging quantum…
This paper presents a novel factor graph-based approach to solve the discrete-time finite-horizon Linear Quadratic Regulator problem subject to auxiliary linear equality constraints within and across time steps. We represent such optimal…
A novel optimisation framework through quadratic nonlinear projection is introduced for credit portfolio when the portfolio risk is measured by Conditional Value-at-Risk (CVaR). The whole optimisation procedure to search toward the optimal…
A new methodology has been introduced to clean the correlation matrix of single stocks returns based on a constrained principal component analysis using financial data. Portfolios were introduced, namely "Fundamental Maximum Variance…
We consider a fractional 0-1 programming problem arising in manufacturing. The problem consists in clustering of machines together with parts processed on these machines into manufacturing cells so that intra-cell processing of parts is…
In the paper, we consider three quadratic optimization problems which are frequently applied in portfolio theory, i.e, the Markowitz mean-variance problem as well as the problems based on the mean-variance utility function and the quadratic…
Kelly's Criterion is well known among gamblers and investors as a method for maximizing the returns one would expect to observe over long periods of betting or investing. These ideas are conspicuously absent from portfolio optimization…
We study the $K$-item knapsack problem (i.e., $1.5$-dimensional KP), which is a generalization of the famous 0-1 knapsack problem (i.e., $1$-dimensional KP) in which an upper bound $K$ is imposed on the number of items selected. This…
The "0-1 knapsack problem" stands as a classical combinatorial optimization conundrum, necessitating the selection of a subset of items from a given set. Each item possesses inherent values and weights, and the primary objective is to…
Reweighted l1-algorithms have attracted a lot of attention in the field of applied mathematics. A unified framework of such algorithms has been recently proposed by Zhao and Li. In this paper we construct a few new examples of reweighted…
Investment portfolio optimization is a task conducted in all major financial institutions. The Cardinality Constrained Mean-Variance Portfolio Optimization (CCPO) problem formulation is ubiquitous for portfolio optimization. The challenge…
In the present paper, we derive a closed-form solution of the multi-period portfolio choice problem for a quadratic utility function with and without a riskless asset. All results are derived under weak conditions on the asset returns. No…
In this paper, we tackle the dynamic mean-variance portfolio selection problem in a {\it model-free} manner, based on (generative) diffusion models. We propose using data sampled from the real model $\mathbb P$ (which is unknown) with…
A drawdown constraint forces the current wealth to remain above a given function of its maximum to date. We consider the portfolio optimisation problem of maximising the long-term growth rate of the expected utility of wealth subject to a…