A maximal predictability portfolio using dynamic factor selection strategy

DOI10.1142/S0219024910005802MaRDI QIDQ3580214zbMATH OpenFDO

Authors Hiroshi Konno, Yoshihiro Takaya, Rei Yamamoto

Publication date 11 August 2010

Published in International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1142/S0219024910005802

zbMATH Keywords

0-1 integer programmingabsolute deviationfactor modelfractional programmingmaximal predictability portfoliononconvex minimization problem

Mathematics Subject Classification ID

Applications of mathematical programming (90C90) Portfolio theory (91G10) Numerical methods (including Monte Carlo methods) (91G60)

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Cites work

• A MAXIMAL PREDICTABILITY PORTFOLIO MODEL: ALGORITHM AND PERFORMANCE EVALUATION
• A maximal predictability portfolio using absolute deviation reformulation
• An efficient algorithm for solving convex-convex quadratic fractional programs
• Choosing the best set of variables in regression analysis using integer programming
• Common risk factors in the returns on stocks and bonds
• scientific article; zbMATH DE number 3852235 (Why is no real title available?)
• scientific article; zbMATH DE number 837298 (Why is no real title available?)
• Minimization of the ratio of functions defined as sums of the absolute values

Cited in

(7)

• A maximal predictability portfolio using absolute deviation reformulation
• Convex optimization approaches to maximally predictable portfolio selection
• A MAXIMAL PREDICTABILITY PORTFOLIO MODEL: ALGORITHM AND PERFORMANCE EVALUATION
• A MAXIMAL PREDICTABILITY PORTFOLIO SUBJECT TO A TURNOVER CONSTRAINT
• MAXIMIZING PREDICTABILITY IN THE STOCK AND BOND MARKETS
• Factor-based portfolio optimization
• Cardinality-constrained maximal predictability portfolios with an _2 regularization

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