• 제목/요약/키워드: Portfolio optimization

검색결과 71건 처리시간 0.03초

Shrinkage Model Selection for Portfolio Optimization on Vietnam Stock Market

  • NGUYEN, Nhat;NGUYEN, Trung;TRAN, Tuan;MAI, An
    • The Journal of Asian Finance, Economics and Business
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    • 제7권9호
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    • pp.135-145
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    • 2020
  • This paper provides the practical application of a linear shrinkage framework on Vietnam stock market. The cumulative data points observed in this analysis are 468 weeks from January 2011 to December 2019. All the companies listed on Ho Chi Minh City Stock Exchange (HOSE), except the companies under two years period from Initial Public Offering (IPO), are considered. The cumulative number of stocks picked is therefore 350 companies. The VNINDEX, which is the Vietnam Stock Index, is used as a reference index for shrinking to a single-index model. The empirical results show that the shrinkage of covariance matrix for portfolio optimization gives the promising results for the investors on Vietnam stock market. The shrinkage method helps the investors to produce the optimal portfolio in the sense of having higher profit with lower levels of risk compared to the portfolio of the traditional SCM method. Moreover, the portfolio turnover of shrinkage method is always kept at low magnitudes, and this makes the shrinkage portfolios save much transaction costs and reduce the liquidity risks in the trading process. In addition, the ability of shrinkage method in making profit is once again confirmed by the Alpha coefficient that achieves a high positive value.

DUALITY FOR LINEAR CHANCE-CONSTRAINED OPTIMIZATION PROBLEMS

  • Bot, Radu Ioan;Lorenz, Nicole;Wanka, Gert
    • 대한수학회지
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    • 제47권1호
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    • pp.17-28
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    • 2010
  • In this paper we deal with linear chance-constrained optimization problems, a class of problems which naturally arise in practical applications in finance, engineering, transportation and scheduling, where decisions are made in presence of uncertainty. After giving the deterministic equivalent formulation of a linear chance-constrained optimization problem we construct a conjugate dual problem to it. Then we provide for this primal-dual pair weak sufficient conditions which ensure strong duality. In this way we generalize some results recently given in the literature. We also apply the general duality scheme to a portfolio optimization problem, a fact that allows us to derive necessary and sufficient optimality conditions for it.

블랙리터만 모형을 이용한 섹터지수 투자 전략 (Sector Investment Strategy with the Black-Litterman Model)

  • 송정민;이영호;박기경
    • 경영과학
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    • 제29권1호
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    • pp.57-71
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    • 2012
  • In this paper, we deal with a sector investment strategy by implementing the black-litterman model that incorporates expert evaluation and sector rotation momentum. Expert evaluation analyzes the relative performance of the industry sector compared with the market, while sector rotation momentum reflects the price impact of significant sector anomaly. In addition, we consider the portfolio impact of sector cardinality and weight constraints within the context of mean-variance portfolio optimization. Finally, we demonstrate the empirical viability of the proposed sector investment strategy with KOSPI 200 data.

Compromise possibility portfolio selections

  • Tanaka, Hideo;Guo, Peijun
    • 한국지능시스템학회:학술대회논문집
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    • 한국퍼지및지능시스템학회 1998년도 The Third Asian Fuzzy Systems Symposium
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    • pp.659-662
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    • 1998
  • In this paper, lower and upper possibility distributions are identified to reflect two extreme opinions in portfolio selection problems based on upper and lower possibility distributions are formalized as quadratic programming problems. Portfolios for compromising two extreme opinions from upper and lower possibility distributions and balancing the opinions of a group of experts can be obtained by quadratic optimization problems, respectively.

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PORTFOLIO AND CONSUMPTION OPTIMIZATION PROBLEM WITH COBB-DOUGLAS UTILITY AND NEGATIVE WEALTH CONSTRAINTS

  • ROH, KUM-HWAN
    • Journal of applied mathematics & informatics
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    • 제36권3_4호
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    • pp.301-306
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    • 2018
  • I obtain the optimal portfolio and consumption strategies of an investor who have a Cobb-Douglas utility function. And I assume that there is negative wealth constraints. This constraints mean that the investor can borrow partially against her future labor income.

전환사채 주식전환을 위한 조건부 VaR 최적화 (Conditional Value-at-Risk Optimization for Conversion of Convertible Bonds)

  • 박구현;심은택
    • 경영과학
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    • 제28권2호
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    • pp.1-16
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    • 2011
  • In this study we suggested two optimization models to answer a question from an investor standpoint : how many convertible bonds should one convert, and how many keep? One model minimizes certain risk to the minimum required expected return, the other maximizes the expected return subject to the maximum acceptable risk. In comparison with Markowitz portfolio models, which use the variance of return, our models used Conditional Value-at-Risk(CVaR) for risk measurement. As a coherent measurement, CVaR overcomes the shortcomings of Value-at-Risk(VaR). But there are still difficulties in solving CVaR including optimization models. For this reason, we adopted Rockafellar and Uryasev's[18, 19] approach. Then we could approximate the models as linear programming problems with scenarios. We also suggested to extend the models with credit risk, and applied examples of our models to Hynix 207CB, a convertible bond issued by the global semiconductor company Hynix.

Multiperiod Mean Absolute Deviation Uncertain Portfolio Selection

  • Zhang, Peng
    • Industrial Engineering and Management Systems
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    • 제15권1호
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    • pp.63-76
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    • 2016
  • Multiperiod portfolio selection problem attracts more and more attentions because it is in accordance with the practical investment decision-making problem. However, the existing literature on this field is almost undertaken by regarding security returns as random variables in the framework of probability theory. Different from these works, we assume that security returns are uncertain variables which may be given by the experts, and take absolute deviation as a risk measure in the framework of uncertainty theory. In this paper, a new multiperiod mean absolute deviation uncertain portfolio selection models is presented by taking transaction costs, borrowing constraints and threshold constraints into account, which an optimal investment policy can be generated to help investors not only achieve an optimal return, but also have a good risk control. Threshold constraints limit the amount of capital to be invested in each stock and prevent very small investments in any stock. Based on uncertain theories, the model is converted to a dynamic optimization problem. Because of the transaction costs, the model is a dynamic optimization problem with path dependence. To solve the new model in general cases, the forward dynamic programming method is presented. In addition, a numerical example is also presented to illustrate the modeling idea and the effectiveness of the designed algorithm.

The Admissible Multiperiod Mean Variance Portfolio Selection Problem with Cardinality Constraints

  • Zhang, Peng;Li, Bing
    • Industrial Engineering and Management Systems
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    • 제16권1호
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    • pp.118-128
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    • 2017
  • Uncertain factors in finical markets make the prediction of future returns and risk of asset much difficult. In this paper, a model,assuming the admissible errors on expected returns and risks of assets, assisted in the multiperiod mean variance portfolio selection problem is built. The model considers transaction costs, upper bound on borrowing risk-free asset constraints, cardinality constraints and threshold constraints. Cardinality constraints limit the number of assets to be held in an efficient portfolio. At the same time, threshold constraints limit the amount of capital to be invested in each stock and prevent very small investments in any stock. Because of these limitations, the proposed model is a mix integer dynamic optimization problem with path dependence. The forward dynamic programming method is designed to obtain the optimal portfolio strategy. Finally, to evaluate the model, our result of a meaning example is compared to the terminal wealth under different constraints.

포트폴리오 최적화와 주가예측을 이용한 투자 모형 (Stock Trading Model using Portfolio Optimization and Forecasting Stock Price Movement)

  • 박강희;신현정
    • 대한산업공학회지
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    • 제39권6호
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    • pp.535-545
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    • 2013
  • The goal of stock investment is earning high rate or return with stability. To accomplish this goal, using a portfolio that distributes stocks with high rate of return with less variability and a stock price prediction model with high accuracy is required. In this paper, three methods are suggested to require these conditions. First of all, in portfolio re-balance part, Max-Return and Min-Risk (MRMR) model is suggested to earn the largest rate of return with stability. Secondly, Entering/Leaving Rule (E/L) is suggested to upgrade portfolio when particular stock's rate of return is low. Finally, to use outstanding stock price prediction model, a model based on Semi-Supervised Learning (SSL) which was suggested in last research was applied. The suggested methods were validated and applied on stocks which are listed in KOSPI200 from January 2007 to August 2008.