Absolute return portfolios

C.A. Valle, N. Meade and John Beasley

Omega, 2014, vol. 45, issue C, 20-41

Abstract: In this paper we consider the problem of selecting an absolute return portfolio. This is a portfolio of assets that is designed to deliver a good return irrespective of how the underlying market (typically as represented by a market index) performs. We present a three-stage mixed-integer zero-one program for the problem that explicitly considers transaction costs associated with trading. The first two stages relate to a regression of portfolio return against time, whilst the third stage relates to minimising transaction cost.

Keywords: Absolute return portfolio; Linear regression; Mixed-integer programming (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (13)

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DOI: 10.1016/j.omega.2013.12.003

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