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

DOI10.1080/10556788.2015.1041946MaRDI QIDQ2829556zbMATH OpenOpenAlexFDO

Authors 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

zbMATH Keywords

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

Mathematics Subject Classification ID

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

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Cites work

• A branch and cut algorithm for nonconvex quadratically constrained quadratic programming
• A relaxation method for nonconvex quadratically constrained quadratic programs
• A simplicial branch-and-bound method for solving nonconvex all-quadratic programs
• Active allocation of systematic risk and control of risk sensitivity in portfolio optimization
• scientific article; zbMATH DE number 2107836 (Why is no real title available?)
• Portfolio selection with marginal risk control
• Second order cone programming relaxation of nonconvex quadratic optimization problems

Cited in

(10)

• How risky is the optimal portfolio which maximizes the Sharpe ratio?
• Equal risk bounding is better than risk parity for portfolio selection
• An optimal trade-off model for portfolio selection with sensitivity of parameters
• Portfolio selection with the effect of systematic risk diversification: formulation and accelerated gradient algorithm
• scientific article; zbMATH DE number 5794550 (Why is no real title available?)
• A Risk Extended Version of Merton’s Optimal Consumption and Portfolio Selection
• Portfolio selection with marginal risk control
• A new global algorithm for factor-risk-constrained mean-variance portfolio selection
• A novel global algorithm for optimal portfolio selection with maximum relative marginal risk via SCO method and SOCP relaxation
• Subgradient splitting methods for nonsmooth fractional programming with fixed-point constraints

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