Applications of Global Optimization to Portfolio Analysis

Hiroshi Konno

Chapter Chapter 7 in Essays and Surveys in Global Optimization, 2005, pp 195-210 from Springer

Abstract: Abstract We will survey some of the recent successful applications of deterministic global optimization methods to financial problems. Problems to be discussed are mean-risk models under nonconvex transaction cost, minimal transaction unit constraints and cardinality constraints. Also, we will discuss several bond portfolio optimization problems, long term portfolio optimization problems and others. Problems to be discussed are concave/d.c. minimization problems, minimization of a nonconvex fractional function and a sumn of several fractional functions over a polytope, optimization over a nonconvex efficient set and so on. Readers will find that a number of difficult global optimization problems have been solved in practice and that there is a big room for applications of global optimization methods in finance.

Keywords: Global Optimization; Transaction Cost; Efficient Frontier; Global Optimization Method; Cardinality Constraint (search for similar items in EconPapers)
Date: 2005
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-0-387-25570-5_7

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DOI: 10.1007/0-387-25570-2_7

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