Starting with the seminal work by Markowitz, a large number of optimization models have been proposed to find an ideal allocation of capital among several available assets to achieve the investor’s objectives. Here we propose a new framework for portfolio selection that explicitly takes into account assets selection, risk diversification and utility maximization. This new framework leads to several hard MINLP models, including some (black box) nonlinear pseudoBoolean optimization problems. We present some theoretical and computational results for the solution of the proposed models and we compare the selected portfolios with the classical Mean-Variance approach.
Cesarone, F., A., S., F., T. (2015). MINLP models for portfolio selection. In Proceedings of Second Sevilla Workshop on Mixed Integer Nonlinear Programming: Theory, algorithms and applications.
MINLP models for portfolio selection
CESARONE, FRANCESCO;
2015-01-01
Abstract
Starting with the seminal work by Markowitz, a large number of optimization models have been proposed to find an ideal allocation of capital among several available assets to achieve the investor’s objectives. Here we propose a new framework for portfolio selection that explicitly takes into account assets selection, risk diversification and utility maximization. This new framework leads to several hard MINLP models, including some (black box) nonlinear pseudoBoolean optimization problems. We present some theoretical and computational results for the solution of the proposed models and we compare the selected portfolios with the classical Mean-Variance approach.I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
