Minimal Investment Risk of Portfolio Optimization Problem with Budget and Investment Concentration Constraints

Takashi Shinzato

Papers from arXiv.org

Abstract: In the present paper, the minimal investment risk for a portfolio optimization problem with imposed budget and investment concentration constraints is considered using replica analysis. Since the minimal investment risk is influenced by the investment concentration constraint (as well as the budget constraint), it is intuitive that the minimal investment risk for the problem with an investment concentration constraint be larger than that without the constraint (that is, with only the budget constraint). Moreover, a numerical experiment shows the effectiveness of our proposed analysis.

Date: 2016-05
New Economics Papers: this item is included in nep-rmg
References: Add references at CitEc
Citations:

Downloads: (external link)
http://arxiv.org/pdf/1605.06845 Latest version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1605.06845

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().