Portfolio management with minimum guarantees: some modeling and optimization issues
Diana Barro () and
No 193, Working Papers from Department of Applied Mathematics, Università Ca' Foscari Venezia
In this contribution we consider a dynamic portfolio optimization problem where the manager has to deal with the presence of minimum guarantee requirements on the performance of the portfolio. We briefly discuss different possibilities for the formulation of the problem and present a quite general formulation which includes transaction costs, cardinality constraints and buy-in thresholds. The presence of realistic and operational constraints introduces binary and integer variables greatly increasing the complexity of the problem.
Keywords: Minimum guarantee; dynamic portfolio management; scenario. (search for similar items in EconPapers)
JEL-codes: C61 G11 (search for similar items in EconPapers)
Pages: 9 pages
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http://virgo.unive.it/wpideas/storage/2009wp193.pdf First version, 2009 (application/pdf)
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Persistent link: https://EconPapers.repec.org/RePEc:vnm:wpaper:193
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