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Author : Alexei Valerievich Chekhlov
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (15 download)
Download or read book Portfolio Optimization with Drawdown Constraints written by Alexei Valerievich Chekhlov and published by . This book was released on 2000 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : University of Minnesota. Institute for Mathematics and Its Applications
Publisher :
ISBN 13 :
Total Pages : 12 pages
Book Rating : 4.:/5 (123 download)
Download or read book On Portfolio Optimization Under "drawdown" Constraints written by University of Minnesota. Institute for Mathematics and Its Applications and published by . This book was released on 1994 with total page 12 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Alexei Valerievich Chekhlov
Publisher :
ISBN 13 :
Total Pages : 34 pages
Book Rating : 4.:/5 (15 download)
Download or read book Portfolio Optimization with Drawdown Constraints written by Alexei Valerievich Chekhlov and published by . This book was released on 2000 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Panos M. Pardalos
Publisher : World Scientific
ISBN 13 : 981238717X
Total Pages : 359 pages
Book Rating : 4.8/5 (123 download)
Download or read book Supply Chain and Finance written by Panos M. Pardalos and published by World Scientific. This book was released on 2004 with total page 359 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book describes recently developed mathematical models, methodologies, and case studies in diverse areas, including stock market analysis, portfolio optimization, classification techniques in economics, supply chain optimization, development of e-commerce applications, etc. It will be of interest to both theoreticians and practitioners working in economics and finance.
Author : Marcus Davidsson
Publisher :
ISBN 13 :
Total Pages : 13 pages
Book Rating : 4.:/5 (13 download)
Download or read book Drawdown Constraints and Portfolio Optimization written by Marcus Davidsson and published by . This book was released on 2013 with total page 13 pages. Available in PDF, EPUB and Kindle. Book excerpt: The seminal work by Markowitz in 1959 introduced portfolio theory to the world. The prevailing notion since then has been that portfolio risk is non linear i.e. you cannot use Linear Programming (LP) to optimize your portfolio. We will in this paper show that simple portfolio drawdown constraints are indeed linear and can be used to find for example maximum risk adjusted return portfolios. VaR for these portfolios can then be estimated directly instead of using computer intensive Monte Carlo methods.
Author : Guangliang He
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (129 download)
Download or read book Drawdown Controlled Optimal Portfolio Selection with Linear Constraints on Portfolio Weights written by Guangliang He and published by . This book was released on 2001 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We solve the problem of constructing an optimal portfolio consisting of many risky assets to maximize the long-term growth rate of a representative agent's expected utility, subject to a set of general linear constraints on the portfolio weight vector as well as a constraint to prevent wealth drawdowns below a dynamic floor. The dynamic floor is defined as the time-decayed historical all-time high. Our results generalize those achieved by earlier authors, including Grossman and Zhou (1993) and Cvitannic and Karatzas (1994). Grossman and Zhou solved a special case of our problem by focusing on a single risky asset without portfolio weight constraints. Cvitanic and Karatzas solved a problem involving many risky assets but that ignored portfolio weight constraints and the time decay on the dynamic floor. To illustrate the usefulness of our method, we present several numerical examples based on both actual and simulated (Monte Carlo) returns. Finally, we suggest applications of our results to various practical investment management problems, including the management of hedge fund portfolios and 'principal-protected' investment strategies.
Author : Vladimir Cherny
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (16 download)
Download or read book On Portfolio Optimisation Under Drawdown and Floor Type Constraints written by Vladimir Cherny and published by . This book was released on 2013 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author :
Publisher : Rmetrics
ISBN 13 :
Total Pages : 455 pages
Book Rating : 4./5 ( download)
Download or read book Portfolio Optimization with R/Rmetrics written by and published by Rmetrics. This book was released on with total page 455 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Gordon J. Alexander
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (129 download)
Download or read book Portfolio Selection With a Drawdown Constraint written by Gordon J. Alexander and published by . This book was released on 2007 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: When identifying optimal portfolios, practitioners often impose a drawdown constraint. This constraint is even explicit in some money management contracts such as the one recently involving Merrill Lynch' management of Unilever's pension fund. In this setting, we provide a characterization of optimal portfolios using mean-variance analysis. In the absence of a benchmark, we find that while the constraint typically decreases the optimal portfolio's standard deviation, the constrained optimal portfolio can be notably mean-variance inefficient. In the presence of a benchmark such as in the Merrill Lynch-Unilever contract, we find that the constraint increases the optimal portfolio's standard deviation and tracking error volatility. Thus, the constraint negatively affects a portfolio manager's ability to track a benchmark.
Author : Alexei Chekhlov
Publisher :
ISBN 13 :
Total Pages : 41 pages
Book Rating : 4.:/5 (129 download)
Download or read book Drawdown Measure in Portfolio Optimization written by Alexei Chekhlov and published by . This book was released on 2010 with total page 41 pages. Available in PDF, EPUB and Kindle. Book excerpt: A new one-parameter family of risk measures called Conditional Drawdown (CDD) has been proposed. These measures of risk are functionals of the portfolio drawdown (underwater) curve considered in active portfolio management. For some value of the tolerance parameter Alpha, in the case of a single sample path, drawdown functional is defined as the mean of the worst (1 - Alpha) 100% drawdowns. The CDD measure generalizes the notion of the drawdown functional to a multi-scenario case and can be considered as a generalization of deviation measure to a dynamic case. The CDD measure includes the Maximal Drawdown and Average Drawdown as its limiting cases. Mathematical properties of the CDD measure have been studied and efficient optimization techniques for CDD computation and solving asset-allocation problems with a CDD measure have been developed. The CDD family of risk functionals is similar to Conditional Value-at-Risk (CVaR), which is also called Mean Shortfall, Mean Excess Loss, or Tail Value-at-Risk. Some recommendations on how to select the optimal risk functionals for getting practically stable portfolios have been provided. A real-life asset-allocation problem has been solved using the proposed measures. For this particular example, the optimal portfolios for cases of Maximal Drawdown, Average Drawdown, and several intermediate cases between these two have been found.
Author : Frank J. Fabozzi
Publisher : John Wiley & Sons
ISBN 13 : 0470164891
Total Pages : 513 pages
Book Rating : 4.4/5 (71 download)
Download or read book Robust Portfolio Optimization and Management written by Frank J. Fabozzi and published by John Wiley & Sons. This book was released on 2007-04-27 with total page 513 pages. Available in PDF, EPUB and Kindle. Book excerpt: Praise for Robust Portfolio Optimization and Management "In the half century since Harry Markowitz introduced his elegant theory for selecting portfolios, investors and scholars have extended and refined its application to a wide range of real-world problems, culminating in the contents of this masterful book. Fabozzi, Kolm, Pachamanova, and Focardi deserve high praise for producing a technically rigorous yet remarkably accessible guide to the latest advances in portfolio construction." --Mark Kritzman, President and CEO, Windham Capital Management, LLC "The topic of robust optimization (RO) has become 'hot' over the past several years, especially in real-world financial applications. This interest has been sparked, in part, by practitioners who implemented classical portfolio models for asset allocation without considering estimation and model robustness a part of their overall allocation methodology, and experienced poor performance. Anyone interested in these developments ought to own a copy of this book. The authors cover the recent developments of the RO area in an intuitive, easy-to-read manner, provide numerous examples, and discuss practical considerations. I highly recommend this book to finance professionals and students alike." --John M. Mulvey, Professor of Operations Research and Financial Engineering, Princeton University
Author : Michael J. Best
Publisher : CRC Press
ISBN 13 : 1420085840
Total Pages : 238 pages
Book Rating : 4.4/5 (2 download)
Download or read book Portfolio Optimization written by Michael J. Best and published by CRC Press. This book was released on 2010-03-09 with total page 238 pages. Available in PDF, EPUB and Kindle. Book excerpt: Eschewing a more theoretical approach, Portfolio Optimization shows how the mathematical tools of linear algebra and optimization can quickly and clearly formulate important ideas on the subject. This practical book extends the concepts of the Markowitz "budget constraint only" model to a linearly constrained model. Only requiring elementary linear algebra, the text begins with the necessary and sufficient conditions for optimal quadratic minimization that is subject to linear equality constraints. It then develops the key properties of the efficient frontier, extends the results to problems with a risk-free asset, and presents Sharpe ratios and implied risk-free rates. After focusing on quadratic programming, the author discusses a constrained portfolio optimization problem and uses an algorithm to determine the entire (constrained) efficient frontier, its corner portfolios, the piecewise linear expected returns, and the piecewise quadratic variances. The final chapter illustrates infinitely many implied risk returns for certain market portfolios. Drawing on the author’s experiences in the academic world and as a consultant to many financial institutions, this text provides a hands-on foundation in portfolio optimization. Although the author clearly describes how to implement each technique by hand, he includes several MATLAB® programs designed to implement the methods and offers these programs on the accompanying CD-ROM.
Author : Richard O. Michaud
Publisher : Oxford University Press
ISBN 13 : 0199887195
Total Pages : 207 pages
Book Rating : 4.1/5 (998 download)
Download or read book Efficient Asset Management written by Richard O. Michaud and published by Oxford University Press. This book was released on 2008-03-03 with total page 207 pages. Available in PDF, EPUB and Kindle. Book excerpt: In spite of theoretical benefits, Markowitz mean-variance (MV) optimized portfolios often fail to meet practical investment goals of marketability, usability, and performance, prompting many investors to seek simpler alternatives. Financial experts Richard and Robert Michaud demonstrate that the limitations of MV optimization are not the result of conceptual flaws in Markowitz theory but unrealistic representation of investment information. What is missing is a realistic treatment of estimation error in the optimization and rebalancing process. The text provides a non-technical review of classical Markowitz optimization and traditional objections. The authors demonstrate that in practice the single most important limitation of MV optimization is oversensitivity to estimation error. Portfolio optimization requires a modern statistical perspective. Efficient Asset Management, Second Edition uses Monte Carlo resampling to address information uncertainty and define Resampled Efficiency (RE) technology. RE optimized portfolios represent a new definition of portfolio optimality that is more investment intuitive, robust, and provably investment effective. RE rebalancing provides the first rigorous portfolio trading, monitoring, and asset importance rules, avoiding widespread ad hoc methods in current practice. The Second Edition resolves several open issues and misunderstandings that have emerged since the original edition. The new edition includes new proofs of effectiveness, substantial revisions of statistical estimation, extensive discussion of long-short optimization, and new tools for dealing with estimation error in applications and enhancing computational efficiency. RE optimization is shown to be a Bayesian-based generalization and enhancement of Markowitz's solution. RE technology corrects many current practices that may adversely impact the investment value of trillions of dollars under current asset management. RE optimization technology may also be useful in other financial optimizations and more generally in multivariate estimation contexts of information uncertainty with Bayesian linear constraints. Michaud and Michaud's new book includes numerous additional proposals to enhance investment value including Stein and Bayesian methods for improved input estimation, the use of portfolio priors, and an economic perspective for asset-liability optimization. Applications include investment policy, asset allocation, and equity portfolio optimization. A simple global asset allocation problem illustrates portfolio optimization techniques. A final chapter includes practical advice for avoiding simple portfolio design errors. With its important implications for investment practice, Efficient Asset Management 's highly intuitive yet rigorous approach to defining optimal portfolios will appeal to investment management executives, consultants, brokers, and anyone seeking to stay abreast of current investment technology. Through practical examples and illustrations, Michaud and Michaud update the practice of optimization for modern investment management.
Author : Maxime Bonelli
Publisher :
ISBN 13 :
Total Pages : 61 pages
Book Rating : 4.:/5 (13 download)
Download or read book Portfolio Management with Drawdown Constraint written by Maxime Bonelli and published by . This book was released on 2017 with total page 61 pages. Available in PDF, EPUB and Kindle. Book excerpt: We analyze optimal investment strategies under the drawdown constraint that the wealth process never falls below a fixed fraction of its running maximum. We derive optimal allocation programs by solving numerically the Hamilton-Jacobi-Bellman equation that characterizes the finite horizon expected utility maximization problem, for investors with power utility as well as S-shaped utility. Using stochastic simulations, we find that, according to utility maximization, implementing the drawdown constraint can be gainful in optimal portfolios for the power utility, for some market configurations and investment horizons. However, our study reveals that the optimal strategy with drawdown constraint is not the preferred investment for the S-shaped utility investor, who rather prefers the equivalent optimal strategy without constraint. Indeed, the latter investment being similar to a partial portfolio insurance, the additional drawdown constraint does not appear valuable for this investor in optimal portfolios.
Author : Renata Mansini
Publisher : Springer
ISBN 13 : 3319184822
Total Pages : 131 pages
Book Rating : 4.3/5 (191 download)
Download or read book Linear and Mixed Integer Programming for Portfolio Optimization written by Renata Mansini and published by Springer. This book was released on 2015-06-10 with total page 131 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book presents solutions to the general problem of single period portfolio optimization. It introduces different linear models, arising from different performance measures, and the mixed integer linear models resulting from the introduction of real features. Other linear models, such as models for portfolio rebalancing and index tracking, are also covered. The book discusses computational issues and provides a theoretical framework, including the concepts of risk-averse preferences, stochastic dominance and coherent risk measures. The material is presented in a style that requires no background in finance or in portfolio optimization; some experience in linear and mixed integer models, however, is required. The book is thoroughly didactic, supplementing the concepts with comments and illustrative examples.
Author : Albina Unger
Publisher : Springer
ISBN 13 : 3658072598
Total Pages : 443 pages
Book Rating : 4.6/5 (58 download)
Download or read book The Use of Risk Budgets in Portfolio Optimization written by Albina Unger and published by Springer. This book was released on 2014-09-10 with total page 443 pages. Available in PDF, EPUB and Kindle. Book excerpt: Risk budgeting models set risk diversification as objective in portfolio allocation and are mainly promoted from the asset management industry. Albina Unger examines the portfolios based on different risk measures in several aspects from the academic perspective (Utility, Performance, Risk, Different Market Phases, Robustness, and Factor Exposures) to investigate the use of these models for asset allocation. Beside the risk budgeting models, alternatives of risk-based investment styles are also presented and examined. The results show that equalizing the risk across the assets does not prevent losses, especially in crisis periods and the performance can mainly be explained by exposures to known asset pricing factors. Thus, the advantages of these approaches compared to known minimum risk portfolios are doubtful.
Author : Bernd Scherer
Publisher : Springer Science & Business Media
ISBN 13 : 038727586X
Total Pages : 422 pages
Book Rating : 4.3/5 (872 download)
Download or read book Modern Portfolio Optimization with NuOPTTM, S-PLUS®, and S+BayesTM written by Bernd Scherer and published by Springer Science & Business Media. This book was released on 2007-09-05 with total page 422 pages. Available in PDF, EPUB and Kindle. Book excerpt: In recent years portfolio optimization and construction methodologies have become an increasingly critical ingredient of asset and fund management, while at the same time portfolio risk assessment has become an essential ingredient in risk management. This trend will only accelerate in the coming years. This practical handbook fills the gap between current university instruction and current industry practice. It provides a comprehensive computationally-oriented treatment of modern portfolio optimization and construction methods using the powerful NUOPT for S-PLUS optimizer.
