On the Equivalence of Quadratic Optimization Problems Commonly Used in Portfolio Theory

Preprint English OPEN
Taras Bodnar; Nestor Parolya; Wolfgang Schmid;
(2012)
  • Related identifiers: doi: 10.1016/j.ejor.2013.03.002
  • Subject: Mathematics - Optimization and Control | Quantitative Finance - Portfolio Management | Quantitative Finance - Computational Finance | Mathematics - Probability

In the paper, we consider three quadratic optimization problems which are frequently applied in portfolio theory, i.e, the Markowitz mean-variance problem as well as the problems based on the mean-variance utility function and the quadratic utility.Conditions are derive... View more
  • References (30)
    30 references, page 1 of 3

    [6] Brandt, M., and Santa-Clara, (2006), Dynamic portfolio selection by augmenting the asset space. The Journal of Finance 61, 2187-2217.

    [7] Britten-Jones, M., (1999), The sampling error in estimates of mean-variance e cient portfolio weights. Journal of Finance 54, 655-671.

    [8] Celikyurt, E. and S. O zekici, (2007), Multiperiod portfolio optimization models in stochastic markets using the mean-variance approach. European Journal of Operational Research 179, 186- 202.

    [9] Celikyurt, E. and S. O zekici, (2009), Portfolio selection in stochastic markets with exponential utility functions. Annals of Operations Research 166, 281-297.

    [10] Cesarone, F., Scozzari, A. and F. Tardella, (2011), Portfolio selection problems in practice: a comparison between linear and quadratic optimization models. working paper.

    [11] Fama, E.F., (1976), Foundations of Finance, Basic Books, New York.

    [12] Frahm G. and C. Memmel, (2010), Dominating estimators for minimum-variance portfolios. Journal of Econometrics 159, 289-302.

    [13] Fu, C., Lari-Lavassani, A. and X. Li, (2010), Dynamic mean-variance portfolio selection with borrowing constraint. European Journal of Operational Research 200, 312-319.

    [14] Gibbons, M.R., S.A. Ross and J. Shanken, (1989), A Test of the E ciency of a Given Portfolio. Econometrica 57, 1121-1152.

    [15] Harville, D.A., (1997), Matrix algebra from a statistician's perspective, Springer-Verlag, New York.

  • Related Organizations (2)
  • Metrics
Share - Bookmark