IDEAS home Printed from https://ideas.repec.org/a/eee/ejores/v181y2007i3p1019-1029.html
   My bibliography  Save this article

Solving non-linear portfolio optimization problems with the primal-dual interior point method

Author

Listed:
  • Gondzio, Jacek
  • Grothey, Andreas

Abstract

No abstract is available for this item.

Suggested Citation

  • Gondzio, Jacek & Grothey, Andreas, 2007. "Solving non-linear portfolio optimization problems with the primal-dual interior point method," European Journal of Operational Research, Elsevier, vol. 181(3), pages 1019-1029, September.
    • Handle: RePEc:eee:ejores:v:181:y:2007:i:3:p:1019-1029
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0377-2217(06)00138-X
    Download Restriction: Full text for ScienceDirect subscribers only
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. NOËL, Marie-Cécile & SMEERS, Yves, 1987. "Nested decomposition of multistage nonlinear programs with recourse," LIDAM Reprints CORE 743, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    2. Blomvall, Jorgen & Lindberg, Per Olov, 2002. "A Riccati-based primal interior point solver for multistage stochastic programming," European Journal of Operational Research, Elsevier, vol. 143(2), pages 452-461, December.
    3. Harry Markowitz, 1952. "Portfolio Selection," Journal of Finance, American Finance Association, vol. 7(1), pages 77-91, March.
    4. Jacek Gondzio & Roy Kouwenberg, 2001. "High-Performance Computing for Asset-Liability Management," Operations Research, INFORMS, vol. 49(6), pages 879-891, December.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Benita, Francisco & López-Ramos, Francisco & Nasini, Stefano, 2019. "A bi-level programming approach for global investment strategies with financial intermediation," European Journal of Operational Research, Elsevier, vol. 274(1), pages 375-390.
    2. Chen, Yu-Wang & Poon, Ser-Huang & Yang, Jian-Bo & Xu, Dong-Ling & Zhang, Dongxu & Acomb, Simon, 2012. "Belief rule-based system for portfolio optimisation with nonlinear cash-flows and constraints," European Journal of Operational Research, Elsevier, vol. 223(3), pages 775-784.
    3. Gondzio, Jacek, 2012. "Interior point methods 25 years later," European Journal of Operational Research, Elsevier, vol. 218(3), pages 587-601.
    4. Shijie Liu & Andrew Adams & Boulis M. Ibrahim, 2013. "Effects of Tax on Investment Portfolios and Financial Markets Under Mixed Integer Stochastic Programming," CFI Discussion Papers 1304, Centre for Finance and Investment, Heriot Watt University.
    5. Castro, Jordi & Escudero, Laureano F. & Monge, Juan F., 2023. "On solving large-scale multistage stochastic optimization problems with a new specialized interior-point approach," European Journal of Operational Research, Elsevier, vol. 310(1), pages 268-285.
    6. Nguyen, Tri-Dung & Lo, Andrew W., 2012. "Robust ranking and portfolio optimization," European Journal of Operational Research, Elsevier, vol. 221(2), pages 407-416.
    7. Yu, Jing-Rung & Lee, Wen-Yi, 2011. "Portfolio rebalancing model using multiple criteria," European Journal of Operational Research, Elsevier, vol. 209(2), pages 166-175, March.
    8. Xi Yang & Jacek Gondzio & Andreas Grothey, 2010. "Asset liability management modelling with risk control by stochastic dominance," Journal of Asset Management, Palgrave Macmillan, vol. 11(2), pages 73-93, June.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Blomvall, Jörgen & Hagenbjörk, Johan, 2022. "Reducing transaction costs for interest rate risk hedging with stochastic programming," European Journal of Operational Research, Elsevier, vol. 302(3), pages 1282-1293.
    2. Alois Geyer & Michael Hanke & Alex Weissensteiner, 2009. "A stochastic programming approach for multi-period portfolio optimization," Computational Management Science, Springer, vol. 6(2), pages 187-208, May.
    3. Akosah, Nana Kwame & Alagidede, Imhotep Paul & Schaling, Eric, 2020. "Testing for asymmetry in monetary policy rule for small-open developing economies: Multiscale Bayesian quantile evidence from Ghana," The Journal of Economic Asymmetries, Elsevier, vol. 22(C).
    4. Cui, Xueting & Zhu, Shushang & Sun, Xiaoling & Li, Duan, 2013. "Nonlinear portfolio selection using approximate parametric Value-at-Risk," Journal of Banking & Finance, Elsevier, vol. 37(6), pages 2124-2139.
    5. Pichler, Anton & Poledna, Sebastian & Thurner, Stefan, 2021. "Systemic risk-efficient asset allocations: Minimization of systemic risk as a network optimization problem," Journal of Financial Stability, Elsevier, vol. 52(C).
    6. Peter A. Abken & Milind M. Shrikhande, 1997. "The role of currency derivatives in internationally diversified portfolios," Economic Review, Federal Reserve Bank of Atlanta, vol. 82(Q 3), pages 34-59.
    7. Dhanya Jothimani & Ravi Shankar & Surendra S. Yadav, 2018. "A Big data analytical framework for portfolio optimization," Papers 1811.07188, arXiv.org, revised Nov 2018.
    8. Leonard J. Mirman & Egas M. Salgueiro & Marc Santugini, 2013. "Integrating Real and Financial Decisions of the Firm," Cahiers de recherche 1333, CIRPEE.
    9. Dominique Guégan & Wayne Tarrant, 2012. "On the necessity of five risk measures," Annals of Finance, Springer, vol. 8(4), pages 533-552, November.
    10. Andriosopoulos, Kostas & Nomikos, Nikos, 2014. "Performance replication of the Spot Energy Index with optimal equity portfolio selection: Evidence from the UK, US and Brazilian markets," European Journal of Operational Research, Elsevier, vol. 234(2), pages 571-582.
    11. Raffestin, Louis, 2014. "Diversification and systemic risk," Journal of Banking & Finance, Elsevier, vol. 46(C), pages 85-106.
    12. Sridhar, Shrihari & Naik, Prasad A. & Kelkar, Ajay, 2017. "Metrics unreliability and marketing overspending," International Journal of Research in Marketing, Elsevier, vol. 34(4), pages 761-779.
    13. Vithayasrichareon, Peerapat & MacGill, Iain F., 2013. "Assessing the value of wind generation in future carbon constrained electricity industries," Energy Policy, Elsevier, vol. 53(C), pages 400-412.
    14. Gruber, Lutz F. & West, Mike, 2017. "Bayesian online variable selection and scalable multivariate volatility forecasting in simultaneous graphical dynamic linear models," Econometrics and Statistics, Elsevier, vol. 3(C), pages 3-22.
    15. repec:dau:papers:123456789/2256 is not listed on IDEAS
    16. Gupta, Pankaj & Mittal, Garima & Mehlawat, Mukesh Kumar, 2013. "Expected value multiobjective portfolio rebalancing model with fuzzy parameters," Insurance: Mathematics and Economics, Elsevier, vol. 52(2), pages 190-203.
    17. Ke Zhou & Jiangjun Gao & Duan Li & Xiangyu Cui, 2017. "Dynamic mean–VaR portfolio selection in continuous time," Quantitative Finance, Taylor & Francis Journals, vol. 17(10), pages 1631-1643, October.
    18. Sanchez-Romero, Miguel, 2006. "“Demand for Private Annuities and Social Security: Consequences to Individual Wealth”," Working Papers in Economic Theory 2006/07, Universidad Autónoma de Madrid (Spain), Department of Economic Analysis (Economic Theory and Economic History).
    19. Muhinyuza, Stanislas & Bodnar, Taras & Lindholm, Mathias, 2020. "A test on the location of the tangency portfolio on the set of feasible portfolios," Applied Mathematics and Computation, Elsevier, vol. 386(C).
    20. Hany Shawky & Ronald Forbes & Alan Frankle, 1983. "Liquidity Services and Capital Market Equilibrium: The Case for Money Market Mutual Funds," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 6(2), pages 141-152, June.
    21. Colin Atkinson & Emmeline Storey, 2010. "Building an Optimal Portfolio in Discrete Time in the Presence of Transaction Costs," Applied Mathematical Finance, Taylor & Francis Journals, vol. 17(4), pages 323-357.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:ejores:v:181:y:2007:i:3:p:1019-1029. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/eor .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.