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

Ibanez, Francisco; Urga, Giovanni - 2024

, considering financial market regimes. In historical simulations, our framework achieves superior risk-adjusted performance …

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

A quantifying method of microinvestment optimum

Albu, Lucian-Liviu; Camasoiu, Ion; Georgescu, George - 1985

Amid the controversies around the optimisation criteria and the objective functions when applying mathematical methods in economics, we proposed a method of quantifying a multi-criteria optimum, called critical distance method. The demonstration of this method is exemplified by assessing the...

Persistent link: https://www.econbiz.de/10015216674

Asset-Liability Management under time-varying Investment Opportunities

Ferstl, Robert; Weissensteiner, Alex - 2009

included to account for the evolution of the yield curve. As objective function we minimize conditional value at risk of the …

Persistent link: https://www.econbiz.de/10015216769

Asset-Liability Management under time-varying Investment Opportunities

Ferstl, Robert; Weissensteiner, Alex - 2009

included to account for the evolution of the yield curve. As objective function we minimize conditional value at risk of the …

Persistent link: https://www.econbiz.de/10015216986

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...

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

Differential Evolution (DEoptim) for Non-Convex Portfolio Optimization

Ardia, David; Boudt, Kris; Carl, Peter; Mullen, Katharine M. - 2010

The R package DEoptim implements the differential evolution algorithm. This algorithm is an evolutionary technique similar to genetic algorithms that is useful for the solution of global optimization problems. In this note we provide an introduction to the package and demonstrate its utility for...

Persistent link: https://www.econbiz.de/10015221253

Active Hedging Greeks of an Options Portfolio integrating churning and minimization of cost of hedging using Quadratic & Linear Programing

Sinha, Pankaj; Gupta, Akshay; Mudgal, Hemant - 2010

This paper proposes a methodology for active hedging Greeks of an option portfolio integrating churning and minimization of cost of hedging. In the first section, hedging strategy is implemented by taking positions in other available options, while simultaneously minimizing the net premium paid...

Persistent link: https://www.econbiz.de/10015223564

Minimizing Conditional Value-at-Risk under Constraint on Expected Value

Li, Jing; Xu, Mingxin - 2009

Conditional Value-at-Risk (CVaR) measures the expected loss amount beyond VaR. It has vast advantage over VaR because … of its property of coherence. This paper gives an analytical solution in a complete market setting to the risk reward … problem faced by a portfolio manager whose portfolio needs to be continuously rebalanced to minimize risk taken (measured by …

Persistent link: https://www.econbiz.de/10015224041

Improving Portfolio Optimization by DCC And DECO GARCH: Evidence from Istanbul Stock Exchange

Yilmaz, Tolgahan - 2010

In this paper, the performance of global minimum variance (GMV) portfolios constructed by DCC and DECO-GARCH are compared to that of GMV portfolios constructed by sample covariance and constant correlation methods in terms of reduced volatility. Also, the performance of GMV portfolios are tested...

Persistent link: https://www.econbiz.de/10015224655