Mean-variance portfolio optimization with parameter sensitivity control

DOI10.1080/10556788.2016.1181758MaRDI QIDQ2829560zbMATH OpenOpenAlexWikidataFDO

Authors Xueting Cui, Duan Li, Shushang Zhu, Jie Sun

Publication date 8 November 2016

Published in Optimization Methods \& Software (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/10556788.2016.1181758

zbMATH Keywords

branch-and-boundmean-variance modelsensitivity controlnon-convex quadratically constrained quadratic programming

Mathematics Subject Classification ID

Quadratic programming (90C20) Polyhedral combinatorics, branch-and-bound, branch-and-cut (90C57) Nonconvex programming, global optimization (90C26) Portfolio theory (91G10)

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Cites work

• A general class of branch-and-bound methods in global optimization with some new approaches for concave minimization
• A generalized approach to portfolio optimization: improving performance by constraining portfolio norms
• A minimax portfolio selection rule with linear programming solution
• BARON: A general purpose global optimization software package
• Computing efficient frontiers using estimated parameters
• Introduction to global optimization
• Optimization Methods in Finance
• Portfolio selection with marginal risk control
• Robust Portfolio Selection Problems
• Robust asset allocation
• Robust tracking error portfolio selection with worst-case downside risk measures

Cited in

(4)

• Theoretical and empirical estimates of mean-variance portfolio sensitivity
• An optimal trade-off model for portfolio selection with sensitivity of parameters
• Active allocation of systematic risk and control of risk sensitivity in portfolio optimization
• A new global algorithm for factor-risk-constrained mean-variance portfolio selection

Describes a project that uses

Uses Software

• BARON

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