Portfolio optimization under long-short constraints

MaRDI QIDQ3371137zbMATH OpenFDO

Authors Hiroshi Konno, Tomoyuki Koshizuka, Rei Yamamoto

Publication date 21 February 2006

zbMATH Keywords

global optimization problemnonconvex constraintshort sale

Mathematics Subject Classification ID

Polyhedral combinatorics, branch-and-bound, branch-and-cut (90C57) Portfolio theory (91G10)

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Cited in

(12)

• Optimal deviations from an asset allocation.
• Long-short portfolio optimization under cardinality constraints by difference of convex functions algorithm
• Solution to the management problem for a portfolio of derived financial instruments with pledge limitations
• Optimization of a long-short portfolio under nonconvex transaction cost
• An exact solution approach for portfolio optimization problems under stochastic and integer constraints
• BOND PORTFOLIO OPTIMIZATION BY BILINEAR FRACTIONAL PROGRAMMING
• Short Positions in the First Principal Component Portfolio
• Market neutral portfolios
• Portfolio Optimization with Factors, Scenarios, and Realistic Short Positions
• Construction of a portfolio with shorter downside tail and longer upside tail
• THE CHARPIN–LACAZE RESPONSE TO C. C. Y. KWAN'S PAPER "LONG-SHORT PORTFOLIO MODELING: CRITIQUE AND EXTENSION"
• LONG-SHORT STRATEGIES: AN EXTENSION

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