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Werry Febrianti, Kuntjoro Adji Sidarto and Novriana Sumarti
Portfolio optimization is an activity for balancing return and risk. In this paper, we used mean-variance (M-V) portfolio models with buy-in threshold and cardinality constraints. This model can be formulated as a mixed integer nonlinear programming (MIN...
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Wendy Wijaya and Kuntjoro Adji Sidarto
Portfolio optimization is a mathematical formulation whose objective is to maximize returns while minimizing risks. A great deal of improvement in portfolio optimization models has been made, including the addition of practical constraints. As the number...
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Serena Crisci, Valentina De Simone and Marco Viola
Many data analysis problems can be modeled as a constrained optimization problem characterized by nonsmooth functionals, often because of the presence of ℓ1" role="presentation">l1l1
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-regularization terms. One of the most effective ways to...
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Guido Abate, Tommaso Bonafini and Pierpaolo Ferrari
Mean-variance optimization often leads to unreasonable asset allocations. This problem has forced scholars and practitioners alike to introduce portfolio constraints. The scope of our study is to verify which type of constraint is more suitable for achie...
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David Quintana, Roman Denysiuk, Sandra Garcia-Rodriguez and António Gaspar-Cunha
Portfolio management based on mean-variance portfolio optimization is subject to different sources of uncertainty. In addition to those related to the quality of parameter estimates used in the optimization process, investors face a portfolio implementat...
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Paulo Ferreira Naibert,João Caldeira
Pág. 504 - 543
In this paper, we study the problem of minimum variance portfolio selection based on a recent methodology for portfolio optimization restricting the allocation vector proposed by Fan et al. (2012). To achieve this, we consider different conditional and u...
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André Alves Portela Santos,Cristina Tessari
Pág. 369 - 393
In this paper we assess the out-of-sample performance of two alternative quantitative portfolio optimization techniques - mean-variance and minimum variance optimization ? and compare their performance with respect to a naive 1/N (or equally-weighted) po...
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