Minimal investment risk of a portfolio optimization problem with budget and investment concentration constraints

DOI10.1088/1742-5468/AA56A0MaRDI QIDQ3302958zbMATH OpenOpenAlexFDO

Authors Takashi Shinzato

Publication date 11 August 2020

Published in Journal of Statistical Mechanics: Theory and Experiment (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1605.06845

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)

Abstract: In the present paper, the minimal investment risk for a portfolio optimization problem with imposed budget and investment concentration constraints is considered using replica analysis. Since the minimal investment risk is influenced by the investment concentration constraint (as well as the budget constraint), it is intuitive that the minimal investment risk for the problem with an investment concentration constraint be larger than that without the constraint (that is, with only the budget constraint). Moreover, a numerical experiment shows the effectiveness of our proposed analysis.

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Cites work

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• Information, Physics, and Computation
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• Risk minimization through portfolio replication
• Statistical mechanics of low-density parity-check codes
• Statistical Physics of Spin Glasses and Information Processing

Cited in

(4)

• Maximizing and minimizing investment concentration with constraints of budget and investment risk
• Analytic solution to variance optimization with no short positions
• Macroscopic relationship in primal-dual portfolio optimization problem
• Analytic approach to variance optimization under an \(\mathcal{l}_1\) constraint

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