Convex optimization approaches to maximally predictable portfolio selection

DOI10.1080/02331934.2012.741237MaRDI QIDQ2926485zbMATH OpenOpenAlexFDO

Authors Jun-Ya Gotoh, Katsuki Fujisawa

Publication date 24 October 2014

Published in Optimization (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/02331934.2012.741237

zbMATH Keywords

maximal predictability portfoliononlinear fractional programnormalized linearization algorithmsemidefinite programming relaxation

Mathematics Subject Classification ID

Semidefinite programming (90C22) Nonconvex programming, global optimization (90C26) Fractional programming (90C32) Applications of mathematical programming (90C90) Portfolio theory (91G10)

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Cites work

• A MAXIMAL PREDICTABILITY PORTFOLIO MODEL: ALGORITHM AND PERFORMANCE EVALUATION
• A maximal predictability portfolio using absolute deviation reformulation
• A maximal predictability portfolio using dynamic factor selection strategy
• An efficient algorithm for solving convex-convex quadratic fractional programs
• Common risk factors in the returns on stocks and bonds
• Decomposition branch and bound method for globally solving linearly constrained indefinite quadratic minimization problems
• Lectures on modern convex optimization. Analysis, algorithms, and engineering applications
• Maximization of the ratio of two convex quadratic functions over a polytope
• MAXIMIZING PREDICTABILITY IN THE STOCK AND BOND MARKETS
• Minimization of the ratio of functions defined as sums of the absolute values
• On Nonlinear Fractional Programming

Cited in

(6)

• A maximal predictability portfolio using absolute deviation reformulation
• A MAXIMAL PREDICTABILITY PORTFOLIO MODEL: ALGORITHM AND PERFORMANCE EVALUATION
• A MAXIMAL PREDICTABILITY PORTFOLIO SUBJECT TO A TURNOVER CONSTRAINT
• Maximization of the ratio of two convex quadratic functions over a polytope
• Portfolio construction as linearly constrained separable optimization
• Cardinality-constrained maximal predictability portfolios with an _2 regularization

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