Optimizing Optimization: The Next Generation of Optimization Applications and Theory (Quantitative Finance)

4 Optimizing Optimization quadratic term within the utility function, and more than one benchmark. In this way, investors can go ...

Robust portfolio optimization using second-order cone programming 5 subject to ()()αα αα **TΩ^12 k αα*Tw p ew 1 T  w0 Thi ...

6 Optimizing Optimization 1.3 Constraints on systematic and specific risk In most factor-based risk models, the risk of a portfo ...

Robust portfolio optimization using second-order cone programming 7 where w  n  1 vector of portfolio weights B  c  n matrix ...

8 Optimizing Optimization subject to bbT σsys^2 αα*wT  p ew 1 T  bBw w0 Similarly , the problem with a constraint on the sp ...

0.75 0.7 0.65 0.6 0.55 0.5 0.45 6 6.5 7 Portfolio volatility 7.5 8 8.5 9 0.95 0.9 0.85 0.8 Portfolio alpha Specific 2% constrain ...

0.75 0.7 0.65 0.6 0.55 0.5 0.45 123 Portfolio specific volatility 456 0.95 0.9 0.85 0.8 Portfolio alpha Specific 2% constraint M ...

0.75 0.7 0.65 0.6 0.55 0.5 0.45 456 Portfolio systematic volatility 789 0.95 0.9 0.85 0.8 Mean portfolio alpha Alpha uncertainty ...

12 Optimizing Optimization increases, and the choice of covariance matrix of estimation errors. In a typical mean – variance opt ...

Robust portfolio optimization using second-order cone programming 13 subject to αα*wT  p ew 1 T  ww max w0 where w  n  1 v ...

0 0.01 0.02 0.03 0.04 0.05 0.06 0.07 0 0.5 1 Tracking error 1.5 2 2.5 0.08 Portfolio alpha Medium-term model optimization Short- ...

Robust portfolio optimization using second-order cone programming 15 Using SOCP, it is possible to include both risk models in t ...

16 Optimizing Optimization Whilst the discussion here has concerned using two SunGard APT risk mod- els, it should be noted that ...

Robust portfolio optimization using second-order cone programming 17 σ  maximum portfolio volatility α *  n  1 vector of esti ...

18 Optimizing Optimization 1.6 Fund of funds An organization might want to control the risk of all their funds against one bench ...

Robust portfolio optimization using second-order cone programming 19 own fund against their own benchmark, then it can be diffic ...

20 Optimizing Optimization This sort of situation would arise when the overall benchmark and the indi- vidual fund benchmarks ar ...

Robust portfolio optimization using second-order cone programming 21 their goal. However, there is a question as to whether this ...

22 Optimizing Optimization The organization might decide that this new tracking error against the overall benchmark is too high ...

© 2009 Elsevier Limited. All rights reserved. Doi:10.1016/B978-0-12-374952-9.00002-6. 2010 Novel approaches to portfolio constru ...