English, Article edition: A MAXIMAL PREDICTABILITY PORTFOLIO MODEL: ALGORITHM AND PERFORMANCE EVALUATION REI YAMAMOTO; DAISUKE ISHII; HIROSHI KONNO

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Bookmark: http://trove.nla.gov.au/version/83196
Physical Description
  • article
Language
  • English

Edition details

Title
  • A MAXIMAL PREDICTABILITY PORTFOLIO MODEL: ALGORITHM AND PERFORMANCE EVALUATION
Author
  • REI YAMAMOTO
  • DAISUKE ISHII
  • HIROSHI KONNO
Physical Description
  • article
Notes
  • The purpose of this paper is to show that an algorithm recently proposed by authors can in fact solve a maximal predictability portfolio (MPP) optimization problem, which is a hard nonconvex fractional programming optimization. Also, we will compare MPP with standard mean-variance portfolio (MVP) and show that MPP outperforms MVP and index. We believe that this paper is of interest to researchers and practitioners in the field of portfolio optimization.
  • Portfolio optimization, maximal predictability portfolio, mean-variance portfolio, global optimization, fractional programming, 0-1 integer programming
  • RePEc:wsi:ijtafx:v:10:y:2007:i:06:p:1095-1109
Language
  • English
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