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Portfolio management with minimum guarantees: some modeling and optimization issues

Author

Listed:
  • Diana Barro

    (Dept. of Applied Mathematics, University of Venice)

  • Elio Canestrelli

    (Dept. of Applied Mathematics, University of Venice)

Abstract

In 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.

Suggested Citation

  • Diana Barro & Elio Canestrelli, 2009. "Portfolio management with minimum guarantees: some modeling and optimization issues," Working Papers 193, Department of Applied Mathematics, Università Ca' Foscari Venezia.
    • Handle: RePEc:vnm:wpaper:193
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    More about this item

    Keywords

    Minimum guarantee; dynamic portfolio management; scenario.;
    All these keywords.

    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

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