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Large-Scale Portfolio Optimization

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Cited by:

  1. David R. Cariño & David H. Myers & William T. Ziemba, 1998. "Concepts, Technical Issues, and Uses of the Russell-Yasuda Kasai Financial Planning Model," Operations Research, INFORMS, vol. 46(4), pages 450-462, August.
  2. Adamantios Ntakaris & Juho Kanniainen & Moncef Gabbouj & Alexandros Iosifidis, 2019. "Mid-price Prediction Based on Machine Learning Methods with Technical and Quantitative Indicators," Papers 1907.09452, arXiv.org.
  3. Hautsch, Nikolaus & Voigt, Stefan, 2017. "Large-Scale Portfolio Allocation Under Transaction Costs and Model Uncertainty: Adaptive Mixing of High- and Low-Frequency Information," VfS Annual Conference 2017 (Vienna): Alternative Structures for Money and Banking 168222, Verein für Socialpolitik / German Economic Association.
  4. Zhang, Xili & Zhang, Weiguo & Xiao, Weilin, 2013. "Multi-period portfolio optimization under possibility measures," Economic Modelling, Elsevier, vol. 35(C), pages 401-408.
  5. Li, Bo & Zhang, Ranran, 2021. "A new mean-variance-entropy model for uncertain portfolio optimization with liquidity and diversification," Chaos, Solitons & Fractals, Elsevier, vol. 146(C).
  6. Alexander Vinel & Pavlo Krokhmal, 2014. "On Valid Inequalities for Mixed Integer p-Order Cone Programming," Journal of Optimization Theory and Applications, Springer, vol. 160(2), pages 439-456, February.
  7. Michael Best & Xili Zhang, 2012. "The Efficient Frontier for Weakly Correlated Assets," Computational Economics, Springer;Society for Computational Economics, vol. 40(4), pages 355-375, December.
  8. Kuen-Suan Chen & Yin-Yin Huang & Ruey-Chyn Tsaur & Nei-Yu Lin, 2023. "Fuzzy Portfolio Selection in the Risk Attitudes of Dimension Analysis under the Adjustable Security Proportions," Mathematics, MDPI, vol. 11(5), pages 1-16, February.
  9. Yuze Li & Shangrong Jiang & Yunjie Wei & Shouyang Wang, 2021. "Take Bitcoin into your portfolio: a novel ensemble portfolio optimization framework for broad commodity assets," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 7(1), pages 1-26, December.
  10. Zura Kakushadze, 2014. "Mean-Reversion and Optimization," Papers 1408.2217, arXiv.org, revised Feb 2016.
  11. Cristiano Arbex Valle, 2024. "Portfolio optimisation: bridging the gap between theory and practice," Papers 2407.00887, arXiv.org, revised Sep 2024.
  12. Jun-Ya Gotoh & Keita Shinozaki & Akiko Takeda, 2013. "Robust portfolio techniques for mitigating the fragility of CVaR minimization and generalization to coherent risk measures," Quantitative Finance, Taylor & Francis Journals, vol. 13(10), pages 1621-1635, October.
  13. Zhang, Wei-Guo & Xiao, Wei-Lin & Xu, Wei-Jun, 2010. "A possibilistic portfolio adjusting model with new added assets," Economic Modelling, Elsevier, vol. 27(1), pages 208-213, January.
  14. Zhang, Wei-Guo & Zhang, Xi-Li & Xiao, Wei-Lin, 2009. "Portfolio selection under possibilistic mean-variance utility and a SMO algorithm," European Journal of Operational Research, Elsevier, vol. 197(2), pages 693-700, September.
  15. Bo Zhang & Jin Peng & Shengguo Li, 2015. "Uncertain programming models for portfolio selection with uncertain returns," International Journal of Systems Science, Taylor & Francis Journals, vol. 46(14), pages 2510-2519, October.
  16. Zhihui Lv & Amanda M. Y. Chu & Wing Keung Wong & Thomas C. Chiang, 2021. "The maximum-return-and-minimum-volatility effect: evidence from choosing risky and riskless assets to form a portfolio," Risk Management, Palgrave Macmillan, vol. 23(1), pages 97-122, June.
  17. Zhi-Long Dong & Fengmin Xu & Yu-Hong Dai, 2020. "Fast algorithms for sparse portfolio selection considering industries and investment styles," Journal of Global Optimization, Springer, vol. 78(4), pages 763-789, December.
  18. Agostino Capponi & Christoph Frei, 2017. "Systemic Influences on Optimal Equity-Credit Investment," Management Science, INFORMS, vol. 63(8), pages 2756-2771, August.
  19. Benati, Stefano, 2003. "The optimal portfolio problem with coherent risk measure constraints," European Journal of Operational Research, Elsevier, vol. 150(3), pages 572-584, November.
  20. Fassino, Claudia & Torrente, Maria-Laura & Uberti, Pierpaolo, 2022. "A singular value decomposition based approach to handle ill-conditioning in optimization problems with applications to portfolio theory," Chaos, Solitons & Fractals, Elsevier, vol. 165(P1).
  21. Adamantios Ntakaris & Juho Kanniainen & Moncef Gabbouj & Alexandros Iosifidis, 2020. "Mid-price prediction based on machine learning methods with technical and quantitative indicators," PLOS ONE, Public Library of Science, vol. 15(6), pages 1-39, June.
  22. Crama, Y. & Schyns, M., 2003. "Simulated annealing for complex portfolio selection problems," European Journal of Operational Research, Elsevier, vol. 150(3), pages 546-571, November.
  23. Kerstens, Kristiaan & Mounir, Amine & Van de Woestyne, Ignace, 2011. "Geometric representation of the mean-variance-skewness portfolio frontier based upon the shortage function," European Journal of Operational Research, Elsevier, vol. 210(1), pages 81-94, April.
  24. Tsaur, Ruey-Chyn, 2013. "Fuzzy portfolio model with different investor risk attitudes," European Journal of Operational Research, Elsevier, vol. 227(2), pages 385-390.
  25. Kuen-Suan Chen & Ruey-Chyn Tsaur & Nei-Chih Lin, 2022. "Dimensions Analysis to Excess Investment in Fuzzy Portfolio Model from the Threshold of Guaranteed Return Rates," Mathematics, MDPI, vol. 11(1), pages 1-13, December.
  26. Olivier Massol & Albert Banal-Estañol, 2011. "Export diversification and resource-based industrialization : the case of natural gas," Working Papers hal-01031565, HAL.
  27. Andrew E. B. Lim & Xun Yu Zhou, 2002. "Mean-Variance Portfolio Selection with Random Parameters in a Complete Market," Mathematics of Operations Research, INFORMS, vol. 27(1), pages 101-120, February.
  28. Yuichi Takano & Keisuke Nanjo & Noriyoshi Sukegawa & Shinji Mizuno, 2015. "Cutting plane algorithms for mean-CVaR portfolio optimization with nonconvex transaction costs," Computational Management Science, Springer, vol. 12(2), pages 319-340, April.
  29. Bai, Zhidong & Liu, Huixia & Wong, Wing-Keung, 2016. "Making Markowitz's Portfolio Optimization Theory Practically Useful," MPRA Paper 74360, University Library of Munich, Germany.
  30. Paolo Laureti & Matus Medo & Yi-Cheng Zhang, 2010. "Analysis of Kelly-optimal portfolios," Quantitative Finance, Taylor & Francis Journals, vol. 10(7), pages 689-697.
  31. Ying Fu & Kien Ng & Boray Huang & Huei Huang, 2015. "Portfolio optimization with transaction costs: a two-period mean-variance model," Annals of Operations Research, Springer, vol. 233(1), pages 135-156, October.
  32. White, D.J., 1998. "Epsilon-dominating solutions in mean-variance portfolio analysis," European Journal of Operational Research, Elsevier, vol. 105(3), pages 457-466, March.
  33. Chen, Wei & Zhang, Wei-Guo, 2010. "The admissible portfolio selection problem with transaction costs and an improved PSO algorithm," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(10), pages 2070-2076.
  34. Li, Ting & Zhang, Weiguo & Xu, Weijun, 2015. "A fuzzy portfolio selection model with background risk," Applied Mathematics and Computation, Elsevier, vol. 256(C), pages 505-513.
  35. Harry M. Markowitz, 2002. "Efficient Portfolios, Sparse Matrices, and Entities: A Retrospective," Operations Research, INFORMS, vol. 50(1), pages 154-160, February.
  36. J J Glen, 2011. "Mean-variance portfolio rebalancing with transaction costs and funding changes," Journal of the Operational Research Society, Palgrave Macmillan;The OR Society, vol. 62(4), pages 667-676, April.
  37. Leung, Pui-Lam & Ng, Hon-Yip & Wong, Wing-Keung, 2012. "An improved estimation to make Markowitz’s portfolio optimization theory users friendly and estimation accurate with application on the US stock market investment," European Journal of Operational Research, Elsevier, vol. 222(1), pages 85-95.
  38. Stephen Boyd & Enzo Busseti & Steven Diamond & Ronald N. Kahn & Kwangmoo Koh & Peter Nystrup & Jan Speth, 2017. "Multi-Period Trading via Convex Optimization," Papers 1705.00109, arXiv.org.
  39. Duc Hong Vo, 2021. "Portfolio Optimization and Diversification in China: Policy Implications for Vietnam and Other Emerging Markets," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 57(1), pages 223-238, January.
  40. Ken Kobayashi & Yuichi Takano & Kazuhide Nakata, 2021. "Bilevel cutting-plane algorithm for cardinality-constrained mean-CVaR portfolio optimization," Journal of Global Optimization, Springer, vol. 81(2), pages 493-528, October.
  41. Walter Murray & Howard Shek, 2012. "A local relaxation method for the cardinality constrained portfolio optimization problem," Computational Optimization and Applications, Springer, vol. 53(3), pages 681-709, December.
  42. Urbanowicz, Krzysztof & Richmond, Peter & Hołyst, Janusz A., 2007. "Risk evaluation with enhanced covariance matrix," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 384(2), pages 468-474.
  43. Chung-Han Hsieh & Jie-Ling Lu, 2024. "On Accelerating Large-Scale Robust Portfolio Optimization," Papers 2408.07879, arXiv.org.
  44. Zhang, Wei-Guo & Wang, Ying-Luo, 2008. "An analytic derivation of admissible efficient frontier with borrowing," European Journal of Operational Research, Elsevier, vol. 184(1), pages 229-243, January.
  45. Mir Seyed Mohammad Mohsen Emamat & Caroline Maria de Miranda Mota & Mohammad Reza Mehregan & Mohammad Reza Sadeghi Moghadam & Philippe Nemery, 2022. "Using ELECTRE-TRI and FlowSort methods in a stock portfolio selection context," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 8(1), pages 1-35, December.
  46. Dokuchaev, Nikolai & Yu Zhou, Xun, 2001. "Optimal investment strategies with bounded risks, general utilities, and goal achieving," Journal of Mathematical Economics, Elsevier, vol. 35(2), pages 289-309, April.
  47. Li, Ting & Zhang, Weiguo & Xu, Weijun, 2013. "Fuzzy possibilistic portfolio selection model with VaR constraint and risk-free investment," Economic Modelling, Elsevier, vol. 31(C), pages 12-17.
  48. Kamesh Korangi & Christophe Mues & Cristi'an Bravo, 2024. "Large-scale Time-Varying Portfolio Optimisation using Graph Attention Networks," Papers 2407.15532, arXiv.org.
  49. Massol, Olivier & Banal-Estañol, Albert, 2014. "Export diversification through resource-based industrialization: The case of natural gas," European Journal of Operational Research, Elsevier, vol. 237(3), pages 1067-1082.
  50. Kay Giesecke & Baeho Kim & Jack Kim & Gerry Tsoukalas, 2014. "Optimal Credit Swap Portfolios," Management Science, INFORMS, vol. 60(9), pages 2291-2307, September.
  51. Bai, Zhidong & Li, Hua & Wong, Wing-Keung, 2013. "The best estimation for high-dimensional Markowitz mean-variance optimization," MPRA Paper 43862, University Library of Munich, Germany.
  52. Panos Xidonas & George Mavrotas, 2014. "Comparative issues between linear and non-linear risk measures for non-convex portfolio optimization: evidence from the S&P 500," Quantitative Finance, Taylor & Francis Journals, vol. 14(7), pages 1229-1242, July.
  53. I. R. De Farias & E. L. Johnson & G. L. Nemhauser, 2002. "Facets of the Complementarity Knapsack Polytope," Mathematics of Operations Research, INFORMS, vol. 27(1), pages 210-226, February.
  54. Wei Chen, 2009. "Weighted portfolio selection models based on possibility theory," Fuzzy Information and Engineering, Springer, vol. 1(2), pages 115-127, June.
  55. Nasini, Stefano & Labbé, Martine & Brotcorne, Luce, 2022. "Multi-market portfolio optimization with conditional value at risk," European Journal of Operational Research, Elsevier, vol. 300(1), pages 350-365.
  56. Kobayashi, Ken & Takano, Yuichi & Nakata, Kazuhide, 2023. "Cardinality-constrained distributionally robust portfolio optimization," European Journal of Operational Research, Elsevier, vol. 309(3), pages 1173-1182.
  57. Duarte Jr, A. M., 2000. "Fast Computation of Efficient Portfolios," Finance Lab Working Papers flwp_32, Finance Lab, Insper Instituto de Ensino e Pesquisa.
  58. Esparcia, Carlos & Diaz, Antonio & Alonso, Daniel, 2023. "How important is green awareness in energy investment decisions? An environmentally-based rebalancing portfolio study," Energy Economics, Elsevier, vol. 128(C).
  59. Zura Kakushadze, 2015. "Combining Alphas via Bounded Regression," Risks, MDPI, vol. 3(4), pages 1-17, November.
  60. Bruce I. Jacobs & Kenneth N. Levy & Harry M. Markowitz, 2005. "Portfolio Optimization with Factors, Scenarios, and Realistic Short Positions," Operations Research, INFORMS, vol. 53(4), pages 586-599, August.
  61. X Cai & K L Teo & X Q Yang & X Y Zhou, 2004. "Minimax portfolio optimization: empirical numerical study," Journal of the Operational Research Society, Palgrave Macmillan;The OR Society, vol. 55(1), pages 65-72, January.
  62. Akhter Mohiuddin Rather & V. N. Sastry & Arun Agarwal, 2017. "Stock market prediction and Portfolio selection models: a survey," OPSEARCH, Springer;Operational Research Society of India, vol. 54(3), pages 558-579, September.
  63. Panos Xidonas & Christis Hassapis & George Mavrotas & Christos Staikouras & Constantin Zopounidis, 2018. "Multiobjective portfolio optimization: bridging mathematical theory with asset management practice," Annals of Operations Research, Springer, vol. 267(1), pages 585-606, August.
  64. Chi Kin Lam & Yuhong Xu & Guosheng Yin, 2016. "Dynamic portfolio selection without risk-free assets," Papers 1602.04975, arXiv.org.
  65. Ruey-Chyn Tsaur, 2015. "Fuzzy portfolio model with fuzzy-input return rates and fuzzy-output proportions," International Journal of Systems Science, Taylor & Francis Journals, vol. 46(3), pages 438-450, February.
  66. H S Ryoo, 2007. "A compact mean-variance-skewness model for large-scale portfolio optimization and its application to the NYSE market," Journal of the Operational Research Society, Palgrave Macmillan;The OR Society, vol. 58(4), pages 505-515, April.
  67. Hubáček, Ondřej & Šír, Gustav, 2023. "Beating the market with a bad predictive model," International Journal of Forecasting, Elsevier, vol. 39(2), pages 691-719.
  68. Arenas Parra, M. & Bilbao Terol, A. & Rodriguez Uria, M. V., 2001. "A fuzzy goal programming approach to portfolio selection," European Journal of Operational Research, Elsevier, vol. 133(2), pages 287-297, January.
  69. Dimitris Bertsimas & Ryan Cory-Wright, 2022. "A Scalable Algorithm for Sparse Portfolio Selection," INFORMS Journal on Computing, INFORMS, vol. 34(3), pages 1489-1511, May.
  70. Gautam Mitra & Frank Ellison & Alan Scowcroft, 2007. "Quadratic programming for portfolio planning: Insights into algorithmic and computational issues," Journal of Asset Management, Palgrave Macmillan, vol. 8(3), pages 200-214, September.
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