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.
|ジャーナル||International Journal of Theoretical and Applied Finance|
|出版ステータス||Published - 2007 9月 1|
ASJC Scopus subject areas