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Applications of Global Optimization to Portfolio Analysis

In: Essays and Surveys in Global Optimization

Author

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  • Hiroshi Konno

Abstract

We will survey some of the recent successful applications of deterministic global optimization methods to financial problems. Problems to be discussed are mean-risk models under nonconvex transaction cost, minimal transaction unit constraints and cardinality constraints. Also, we will discuss several bond portfolio optimization problems, long term portfolio optimization problems and others. Problems to be discussed are concave/d.c. minimization problems, minimization of a nonconvex fractional function and a sumn of several fractional functions over a polytope, optimization over a nonconvex efficient set and so on. Readers will find that a number of difficult global optimization problems have been solved in practice and that there is a big room for applications of global optimization methods in finance.

Suggested Citation

  • Hiroshi Konno, 2005. "Applications of Global Optimization to Portfolio Analysis," Springer Books, in: Charles Audet & Pierre Hansen & Gilles Savard (ed.), Essays and Surveys in Global Optimization, chapter 0, pages 195-210, Springer.
    • Handle: RePEc:spr:sprchp:978-0-387-25570-5_7
    DOI: 10.1007/0-387-25570-2_7
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    Cited by:

    1. Rand Kwong Yew Low, 2018. "Vine copulas: modelling systemic risk and enhancing higher‐moment portfolio optimisation," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 58(S1), pages 423-463, November.
    2. Hoai An Le Thi & Mahdi Moeini, 2014. "Long-Short Portfolio Optimization Under Cardinality Constraints by Difference of Convex Functions Algorithm," Journal of Optimization Theory and Applications, Springer, vol. 161(1), pages 199-224, April.

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