Macroscopic relationship in primal-dual portfolio optimization problem

DOI10.1088/1742-5468/AA9F40MaRDI QIDQ4964477zbMATH OpenOpenAlexFDO

Authors Takashi Shinzato

Publication date 2 March 2021

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

Full work available at URL https://doi.org/10.1088/1742-5468/aa9f40

Mathematics Subject Classification ID

Applications of mathematical programming (90C90) Portfolio theory (91G10) Stochastic programming (90C15)

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Cites work

• Analytic solution to variance optimization with no short positions
• Maximizing and minimizing investment concentration with constraints of budget and investment risk
• Minimal investment risk of a portfolio optimization problem with budget and investment concentration constraints
• Noisy covariance matrices and portfolio optimization. II
• On the feasibility of portfolio optimization under expected shortfall
• Parameter Estimation for the Truncated Pareto Distribution
• Portfolio Optimization and Performance Analysis
• Replica approach to mean-variance portfolio optimization
• Risk minimization through portfolio replication

Cited in

(2)

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

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