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E-Jurnal Matematika, 2023 Portfolio optimization using downside deviation is an optimal portfolio by defining the standard deviation of returns below the target (benchmark) as a level of risk measure. Every optimal portfolio certainly has risks.
IDA BAGUS ANGGA DARMAYUDA +2 more
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Optimal portfolio choice with benchmarks [PDF]
Journal of the Operational Research Society, 2017 We construct an algorithm that makes it possible to numerically obtain an investor’s optimal portfolio under general preferences. In particular, the objective function and risks constraints may be driven by benchmarks (reflecting state-dependent preferences).
Carole Bernard +2 more
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Portfolio optimization for sustainable investments
SSRN Electronic Journal, 2021 AbstractIn mean-variance portfolio optimization, multi-index models often accelerate computation, reduce input requirements, facilitate understanding, and allow easy adjustment to changing conditions more effectively than full covariance matrix estimation in many situations.
Armin Varmaz +2 more
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Operations Research Perspectives, 2022 The COVID-19 pandemic is unleashing crises of humanity, economy, and finance. Portfolio selection is widely recognized as the foundation of modern financial economics.
Yue Qi +3 more
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Measuring the maximum optimal portfolio loss by comparing the dependency structure of Gaussian and t copulas [PDF]
فصلنامه بورس اوراق بهادارGiven the importance of risk in financial markets, the accurate estimation of it has always been a primary concern for participants in these markets. The recurrent financial crises resulting from financial risk over the past two decades globally have ...
Mohammad Reza Haddadi, Manizheh Goudarzi
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Jurnal Derivat, 2022 The purpose of this research is to analyze the formation of the optimal portfolio on the Jakarta Islamic Index 30 (JII30) stocks during the new normal period. The model used is a single index model.
Miftahul Huda +6 more
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An Algorithm for Portfolio Optimization Problem [PDF]
Informatica, 2005 Summary: Portfolio optimization is to find the stock portfolio minimizing the risk for a required return or maximizing the return for a given risk level. The seminal work in this field is the mean-variance model formulated as a quadratic programming problem.
Jong Soo Kim +2 more
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Sharia stocks optimal portfolio analysis using single index model
JPPI (Jurnal Penelitian Pendidikan Indonesia), 2022 This study is aimed to analyze the optimal portfolio of Jakarta Islamic Index within December 2016 to November 2019 period. The research samples that were being used in this study were the stocks that are consistently included in JII during the study ...
Gatot Hendra Prakoso +1 more
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Analisis Pembentukan Portofolio Optimal pada Indeks Saham LQ-45 dengan Metode Safety First Criterion
Jambura Journal of MathematicsAn optimal portfolio of stocks is a combination of various stock investment assets chosen to provide the maximum level of return for a specified level of risk or provide a minimal level of risk for a specified level of return.
Disya Recita Amalia +2 more
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Hierarchical Clustering as a Dimension Reduction Technique for Markowitz Portfolio Optimization
Моделирование и анализ информационных систем, 2020 Optimal portfolio selection is a common and important application of an optimization problem. Practical applications of an existing optimal portfolio selection methods is often difficult due to high data dimensionality (as a consequence of the large ...
Anatoliy Y. Poletaev +1 more
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