Book
Multi-Period Portfolio Optimization Model with Cone Constraints and Discrete Decisions
SSRN
2019
Abstract
In this study, we consider multi-period portfolio optimization model that is formulated as a mixed-integer second-order cone programming problems (MISOCPs). The Markowitz (1952) mean/variance framework has been extended by including transaction costs, conditional value-at-risk (CVaR), diversification-by-sector and buy-in thresholds constraints. The model is obtained using a binary scenario tree that is constructed with monthly returns of the stocks from the S&P 500. We solve these models with a MATLAB based Mixed Integer Linear and Nonlinear Optimizer (MILANO). Numerical results show that we can solve small to medium-sized instances successfully, and we provide a substantial improvement in runtimes using warmstarts in outer approximation algorithm
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Details
- Title
- Multi-Period Portfolio Optimization Model with Cone Constraints and Discrete Decisions
- Creators
- Ümit SaglamHande Yurttan Benson
- Publisher
- SSRN
- Number of pages
- 1 Online-Ressource (28 p)
- Resource Type
- Book
- Language
- English
- Academic Unit
- Decision Sciences (and Management Information Systems); Bennett S. LeBow College of Business; Drexel University
- Identifiers
- 991019551776404721