Related papers: A Relaxed Optimization Approach for Cardinality-Co…
We introduce a novel approach to portfolio optimization that leverages hierarchical graph structures and the Schur complement method to systematically reduce computational complexity while preserving full covariance information. Inspired by…
In this paper we present an evolutionary optimization approach to solve the risk parity portfolio selection problem. While there exist convex optimization approaches to solve this problem when long-only portfolios are considered, the…
Chance-constrained programs (CCPs) provide a powerful modeling framework for decision-making under uncertainty, but their nonconvex feasible regions make them computationally challenging. A widely used convex inner approximation replaces…
This paper proposes analytic forms of portfolio CoVaR and CoCVaR on the normal tempered stable market model. Since CoCVaR captures the relative risk of the portfolio with respect to a benchmark return, we apply it to the relative portfolio…
Finding an optimal balance between risk and returns in investment portfolios is a central challenge in quantitative finance, often addressed through Markowitz portfolio theory (MPT). While traditional portfolio optimization is carried out…
Markowitz's criterion aims to balance expected return and risk when optimizing the portfolio. The expected return level is usually fixed according to the risk appetite of an investor, then the risk is minimized at this fixed return level.…
The problem of finding the optimal portfolio for investors is called the portfolio optimization problem. Such problem mainly concerns the expectation and variability of return (i.e., mean and variance). Although the variance would be the…
In this work, we propose a hybrid variant of the level-based learning swarm optimizer (LLSO) for solving large-scale portfolio optimization problems. Our goal is to maximize a modified formulation of the Sharpe ratio subject to cardinality,…
Portfolio optimization under cardinality constraints transforms the classical Markowitz mean-variance problem from a convex quadratic problem into an NP-hard combinatorial optimization problem. This paper introduces a novel approach using…
Maximum Satisfiability (MaxSAT) is an optimization variant of the Boolean Satisfiability (SAT) problem. In general, MaxSAT algorithms perform a succession of SAT solver calls to reach an optimum solution making extensive use of cardinality…
In finance industry portfolio construction deals with how to divide the investors' wealth across an asset-classes' menu in order to maximize the investors' gain. Main approaches in use at the present are based on variations of the classical…
The minimum sum-of-squares clustering (MSSC), or k-means type clustering, has been recently extended to exploit prior knowledge on the cardinality of each cluster. Such knowledge is used to increase performance as well as solution quality.…
This paper presents how the most recent improvements made on covariance matrix estimation and model order selection can be applied to the portfolio optimisation problem. The particular case of the Maximum Variety Portfolio is treated but…
Partial (replication) index tracking is a popular passive investment strategy. It aims to replicate the performance of a given index by constructing a tracking portfolio which contains some constituents of the index. The tracking error…
In this paper, we propose a predictor-corrector type Consensus Based Optimization (CBO) algorithm on a convex feasible set. Our proposed algorithm generalizes the CBO algorithm in [11] to tackle a constrained optimization problem for the…
This paper studies the multi-period mean-variance portfolio allocation problem with transaction costs. Many methods have been proposed these last years to challenge the famous uni-period Markowitz strategy.But these methods cannot integrate…
Optimization problems with norm-bounding constraints arise in a variety of applications, including portfolio optimization, machine learning, and feature selection. A common approach to these problems involves relaxing the norm constraint…
This paper explores the practical approach to portfolio selection methods for investments. The study delves into portfolio theory, discussing concepts such as expected return, variance, asset correlation, and opportunity sets. It also…
Index tracking is a popular passive investment strategy aimed at optimizing portfolios, but fully replicating an index can lead to high transaction costs. To address this, partial replication have been proposed. However, the cardinality…
We consider an investor facing a classical portfolio problem of optimal investment in a log-Brownian stock and a fixed-interest bond, but constrained to choose portfolio and consumption strategies that reduce a dynamic shortfall risk…