A maximal predictability portfolio model: Algorithm and performance evaluation

Rei Yamamoto, Daisuke Ishii, Hiroshi Konno

研究成果: Article査読

6 被引用数 (Scopus)

抄録

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.

本文言語English
ページ(範囲)1095-1109
ページ数15
ジャーナルInternational Journal of Theoretical and Applied Finance
10
6
DOI
出版ステータスPublished - 2007 9月 1
外部発表はい

ASJC Scopus subject areas

  • 財務
  • 経済学、計量経済学および金融学(全般)

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