Optimal trade-off portfolio selection between total risk and maximum relative marginal risk†

DOI10.1080/10556788.2015.1041946zbMATH Open1355.90098OpenAlexW2403233455MaRDI QIDQ2829556FDOQ2829556

Yanqin Bai, Qian Li

Publication date: 8 November 2016

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

Full work available at URL: https://doi.org/10.1080/10556788.2015.1041946

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zbMATH Keywords

branch-and-boundmean-variance modelrelative marginal risksecond-order cone programme

Mathematics Subject Classification ID

Quadratic programming (90C20) Fractional programming (90C32) Polyhedral combinatorics, branch-and-bound, branch-and-cut (90C57) Nonconvex programming, global optimization (90C26) Portfolio theory (91G10)

Cites Work

• Title not available (Why is that?)
• A branch and cut algorithm for nonconvex quadratically constrained quadratic programming
• A simplicial branch-and-bound method for solving nonconvex all-quadratic programs
• A relaxation method for nonconvex quadratically constrained quadratic programs
• Second order cone programming relaxation of nonconvex quadratic optimization problems
• Active allocation of systematic risk and control of risk sensitivity in portfolio optimization
• Portfolio selection with marginal risk control

Cited In (7)

• How risky is the optimal portfolio which maximizes the Sharpe ratio?
• An optimal trade-off model for portfolio selection with sensitivity of parameters
• Title not available (Why is that?)
• A new global algorithm for factor-risk-constrained mean-variance portfolio selection
• A Risk Extended Version of Merton’s Optimal Consumption and Portfolio Selection
• Equal risk bounding is better than risk parity for portfolio selection
• Portfolio selection with marginal risk control

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