A MAXIMAL PREDICTABILITY PORTFOLIO SUBJECT TO A TURNOVER CONSTRAINT

DOI10.1142/S0217595910002521zbMATH Open1186.90082MaRDI QIDQ3560104FDOQ3560104

Authors: Yoshihiro Takaya, Hiroshi Konno 

Publication date: 19 May 2010

Published in: Asia-Pacific Journal of Operational Research (Search for Journal in Brave)

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zbMATH Keywords

factor modelnonconvex minimization problemtransaction cost\(0-1\) integer programmingabsolute deviationturnover constraintmaximal predictability portfolio

Mathematics Subject Classification ID

Portfolio theory (91G10) Mixed integer programming (90C11)

Cites Work

• Programming with linear fractional functionals
• On Nonlinear Fractional Programming
• Minimization of the ratio of functions defined as sums of the absolute values
• Title not available (Why is that?)
• Choosing the best set of variables in regression analysis using integer programming
• Maximization of the ratio of two convex quadratic functions over a polytope
• An efficient algorithm for solving convex-convex quadratic fractional programs
• Global optimization versus integer programming in portfolio optimization under nonconvex transaction costs
• A MAXIMAL PREDICTABILITY PORTFOLIO MODEL: ALGORITHM AND PERFORMANCE EVALUATION
• Title not available (Why is that?)

Cited In (4)

• A maximal predictability portfolio using dynamic factor selection strategy
• Title not available (Why is that?)
• Supply chain coordination under ramp-type price and effort induced demand considering revenue sharing contract
• A MAXIMAL PREDICTABILITY PORTFOLIO MODEL: ALGORITHM AND PERFORMANCE EVALUATION

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