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Incorporating Market Regimes into Large-Scale Stock Portfolios: A Hidden Markov Model Approach

Ibanez, Francisco; Urga, Giovanni - 2024

We propose a portfolio construction method that accounts for the regime-dependent behavior of stocks, thereby impacting their expected returns. Using a hidden Markov model (HMM) and a regime-weighted least-squares approach, we estimate forward-looking regime-conditional factors. These factors...

Persistent link: https://www.econbiz.de/10015213786

Applying a global optimisation algorithm to Fund of Hedge Funds portfolio optimisation

Thapar, Rishi; Minsky, Bernard; Obradovic, M; Tang, Qi - 2009

Portfolio optimisation for a Fund of Hedge Funds (“FoHF”) has to address the asymmetric, non-Gaussian nature of the underlying returns distributions. Furthermore, the objective functions and constraints are not necessarily convex or even smooth. Therefore traditional portfolio optimisation...

Persistent link: https://www.econbiz.de/10015218046

Hedging Greeks for a portfolio of options using linear and quadratic programming

Sinha, Pankaj; Johar, Archit - 2010

The aim of this paper is to develop a hedging methodology for making a portfolio of options delta, vega and gamma … neutral by taking positions in other available options, and simultaneously minimizing the net premium to be paid for the … hedging. A quadratic programming solution for the problem is formulated, and then it is approximated to a linear programming …

Persistent link: https://www.econbiz.de/10015220452

Algorithm of construction of Optimum Portfolio of stocks using Genetic Algorithm

Sinha, Pankaj; Chandwani, Abhishek; Sinha, Tanmay - 2013

The objective of this paper is to develop an algorithm to create an Optimum Portfolio from a large pool of stocks listed in a single market index SPX 500 Index: USA (for example) using Genetic Algorithm. The algorithm selects stocks on the basis of a priority index function designed on company...

Persistent link: https://www.econbiz.de/10015237745

An alternative to portfolio selection problem beyond Markowitz’s: Log Optimal Growth Portfolio

Muteba Mwamba, John; Suteni, Mwambi - 2010

This paper constructs an alternative investment strategy to portfolio optimization model in the framework of the Mean–Variance portfolio selection model. To differentiate it from the ubiquitously applied Mean–Variance model, which is constructed on an assumption that returns are normally...

Persistent link: https://www.econbiz.de/10015238943

Linear Programming Models based on Omega Ratio for the Enhanced Index Tracking Problem

Gaustaroba, Gianfranco; Mansini, Renata; Ogryczak, … - 2014

Modern performance measures differ from the classical ones since they assess the performance against a benchmark and usually account for asymmetry in return distributions. The Omega ratio is one of these measures. Until recently, limited research has addressed the optimization of the Omega ratio...

Persistent link: https://www.econbiz.de/10015249329

Solving Heterogeneous agent models in Continuous Time with Adaptive Sparse Grids

Du, Zaichuan - 2024

This paper proposes a new approach to numerically solving a wide class of heterogeneous agent models in continuous time using adaptive sparse grids. I combine the sparse finite difference method with the sparse finite volume method to solve the Hamilton-Jacobian-Bellman equation and Kolmogorov...

Persistent link: https://www.econbiz.de/10015213699

Hybrid Model Construction for Integrating Climate Risks into Côte d'Ivoire's Economic Policy: Theoretical Approach and Management Strategies

Dayoro, Donatien - 2024

This study develops a hybrid model to integrate climate risks into Côte d'Ivoire’s economic policy, drawing on the work of economists like Keynes, Ostrom, Stiglitz, Sen, and Nordhaus. The model combines decentralized governance, climate risk externalities, and capacity building to address the...

Persistent link: https://www.econbiz.de/10015214566

A note on the sub-optimality of rank ordering of objects on the basis of the leading principal component factor scores

Mishra, SK - 2008

This paper demonstrates that if we intend to optimally rank order n objects (candidates) each of which has m attributes or rank scores awarded by m evaluators, then the ordinal ranking of objects by the conventional principal component based factor scores turns out to be suboptimal. Three...

Persistent link: https://www.econbiz.de/10015214985

The most representative composite rank ordering of multi-attribute objects by the particle swarm optimization

Mishra, SK - 2009

Rank-ordering of individuals or objects on multiple criteria has many important practical applications. A reasonably representative composite rank ordering of multi-attribute objects/individuals or multi-dimensional points is often obtained by the Principal Component Analysis, although much...

Persistent link: https://www.econbiz.de/10015215242