Portfolio management with minimum guarantees: some modeling and optimization issues
AbstractIn 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.
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Bibliographic InfoPaper provided by Department of Applied Mathematics, Università Ca' Foscari Venezia in its series Working Papers with number 193.
Length: 9 pages
Date of creation: Nov 2009
Date of revision:
Minimum guarantee; dynamic portfolio management; scenario.;
Find related papers by JEL classification:
- C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
This paper has been announced in the following NEP Reports:
- NEP-ALL-2009-12-19 (All new papers)
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