An optimization-diversification approach to portfolio selection

DOI10.1007/s10898-019-00809-7zbMath1440.90030OpenAlexW2963256270MaRDI QIDQ2301189

Fabio Tardella, Francesco Cesarone, Andrea Scozzari

Publication date: 28 February 2020

Published in: Journal of Global Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10898-019-00809-7

zbMATH Keywords

portfolio optimizationpseudo-Boolean optimizationrisk diversificationrisk parity

Mathematics Subject Classification ID

Mixed integer programming (90C11) Portfolio theory (91G10)

Related Items (6)

The DTC (difference of tangentially convex functions) programming: optimality conditions ⋮ Elliptic entropy of uncertain random variables with application to portfolio selection ⋮ Mean-variance-VaR portfolios: MIQP formulation and performance analysis ⋮ Portfolio optimization through a network approach: network assortative mixing and portfolio diversification ⋮ Risk parity with expectiles ⋮ Nonmonotone trust region algorithm for solving the unconstrained multiobjective optimization problems

Cites Work

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• Sensitivity Analysis for Mean-Variance Portfolio Problems
• DESIRABLE PROPERTIES OF AN IDEAL RISK MEASURE IN PORTFOLIO THEORY
• Least-squares approach to risk parity in portfolio selection
• Optimal Financial Portfolios

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