IDEAS home Printed from https://ideas.repec.org/a/taf/tjorxx/v70y2019i10p1600-1621.html
   My bibliography  Save this article

Optimal portfolio choice with benchmarks

Author

Listed:
  • Carole Bernard
  • Rob H. De Staelen
  • Steven Vanduffel

Abstract

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). We apply the algorithm to various classic optimal portfolio problems for which explicit solutions are available and show that our numerical solutions are compatible with them. This observation allows us to conclude that the algorithm can be trusted as a viable way to deal with portfolio optimisation problems for which explicit solutions are not in reach.

Suggested Citation

  • Carole Bernard & Rob H. De Staelen & Steven Vanduffel, 2019. "Optimal portfolio choice with benchmarks," Journal of the Operational Research Society, Taylor & Francis Journals, vol. 70(10), pages 1600-1621, October.
    • Handle: RePEc:taf:tjorxx:v:70:y:2019:i:10:p:1600-1621
    DOI: 10.1080/01605682.2018.1470066
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1080/01605682.2018.1470066
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1080/01605682.2018.1470066?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

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

    Citations

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


    Cited by:

    1. Bernard, Carole & Cui, Xuecan, 2023. "Impact of systemic risk regulation on optimal policies and asset prices," Journal of Banking & Finance, Elsevier, vol. 154(C).
    2. Bernard, C. & De Gennaro Aquino, L. & Vanduffel, S., 2023. "Optimal multivariate financial decision making," European Journal of Operational Research, Elsevier, vol. 307(1), pages 468-483.

    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:taf:tjorxx:v:70:y:2019:i:10:p:1600-1621. 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.

    We have no bibliographic references for this item. You can help adding them by using 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: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/tjor .

    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.