Minimization of a function of a quadratic functional with application to optimal portfolio selection

DOI10.1007/S10957-015-0856-ZMaRDI QIDQ306327zbMATH OpenOpenAlexFDO

Authors Zinoviy Landsman, Udi E. Makov

Publication date 31 August 2016

Published in Journal of Optimization Theory and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10957-015-0856-z

zbMATH Keywords

minimizationportfolio selectionfunction of quadratic functionallinear constraintstail variance

Mathematics Subject Classification ID

Convex programming (90C25) Portfolio theory (91G10) Linear-quadratic optimal control problems (49N10) Normed linear spaces and Banach spaces; Banach lattices (46B99)

Recommendations

• Minimization of the root of a quadratic functional under a system of affine equality constraints with application to portfolio management
• An improved closed-form solution for the constrained minimization of the root of a quadratic functional
• Minimax quadratic optimization and its application to investment planning
• Portfolio optimization by a bivariate functional of the mean and variance
• Problem of selecting an optimal portfolio with a probabilistic risk function

Cites work

• scientific article; zbMATH DE number 3912096 (Why is no real title available?)
• scientific article; zbMATH DE number 1233792 (Why is no real title available?)
• scientific article; zbMATH DE number 2107836 (Why is no real title available?)
• scientific article; zbMATH DE number 3204130 (Why is no real title available?)
• scientific article; zbMATH DE number 2231189 (Why is no real title available?)
• Markowitz revisited: mean-variance models in financial portfolio analysis
• Minimization of the root of a quadratic functional under a system of affine equality constraints with application to portfolio management
• Minimization of the root of a quadratic functional under an affine equality constraint
• On the tail mean-variance optimal portfolio selection
• Tail Variance Premium with Applications for Elliptical Portfolio of Risks
• Translation-invariant and positive-homogeneous risk measures and optimal portfolio management in the presence of a riskless component

Cited in

(12)

• Minimax quadratic optimization and its application to investment planning
• Portfolio optimization by a bivariate functional of the mean and variance
• A globally convergent method for solving a quartic generalized Markowitz portfolio problem
• Mean-variance portfolio management with functional optimization
• Specifying the systematic risk of portfolios : a closed form solution
• Portfolio optimization with two quasiconvex risk measures
• Minimization of the root of a quadratic functional under an affine equality constraint
• Minimization of the root of a quadratic functional under a system of affine equality constraints with application to portfolio management
• Portfolio optimization with two coherent risk measures
• A simultaneous diagonalization based SOCP relaxation for portfolio optimization with an orthogonality constraint
• Tail mean-variance portfolio selection with estimation risk
• Portfolio analysis with mean-CVaR and mean-CVaR-skewness criteria based on mean-variance mixture models

This page was built for publication: Minimization of a function of a quadratic functional with application to optimal portfolio selection

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q306327)