Our approach preserves the form of the original problem in that an investor minimizes portfolio variance for a given level of the expected return. However, inputs are now given by the generalized expressions for mean and variance-covariance matrix involving moments of the random exit time in addition to the conditional moments of asset returns. While efficient frontiers in the generalized and t...

iii Evidence for the benefits of international over domestic portfolio diversification is still mixed. In part, this may be due to different methodologies employed. There has recently been a resurgence of interest in Markowitz allocation methods in preference to alternatives such as index models. Accordingly, this paper examines international portfolio optimisation using the full Markowitz meth...

The mathematical model of portfolio optimization is usually represented as a bicriteria optimization problem where a reasonable trade–off between expected rate of return and risk is sought. In a classical Markowitz model the risk is measured by a variance, thus resulting in a quadratic programming model. As an alternative, the MAD model was proposed where risk is measured by (mean) absolute dev...

credit allocation through the usage of portfolio optimization mainly seeks tomaximize return and minimize the risk of the portfolio; but there are other importantissues including sustainable development which is important for government/publicsectors. this paper presents a novel credit allocation approach based on portfoliooptimization and investigates the effects of selected indicators of sust...

Over sixty years ago, Markowitz introduced the mean-variance efficient frontier to finance. While mean-variance is still the predominant model in portfolio selection, it has endured many criticisms. One serious one is that it does not allow for additional criteria. The difficulty is that the efficient frontier becomes a surface. With it now possible to compute such a surface, we provide an over...

We consider the mean-variance (M-V) model of Markowitz and the construction of the risk-return efficient frontier. We examine the effects of applying buy-in thresholds, cardinality constraints and transaction roundlot restrictions to the portfolio selection problem. Such discrete constraints are of practical importance but make the efficient frontier discontinuous. The resulting quadratic mixed...

We consider the l1-regularized Markowitz model, where a l1-penalty term is added to the objective function of the classical mean-variance one to stabilize the solution process, promoting sparsity in the solution and avoiding short positions. In this paper, we consider the Bregman iteration method to solve the related constrained optimization problem. We propose an iterative algorithm based on a...

We show that coherent risk measures alone are ineffective in curbing the behaviour of investors with limited liability or excessive tail-risk seeking if market admits statistical arbitrage opportunities which we term ρ -arbitrage for a measure . how to determine analytically whether such portfolios exist complete markets and Markowitz model. also consider realistic numerical examples incomplete...

The Black–Litterman model extends the framework of Markowitz modern portfolio theory to incorporate investor views. authors consider a case in which multiple view estimates, including uncertainties, are given for same underlying subset assets at point time. This motivates their consideration data fusion techniques combining information from sources. In particular, they consistency-based methods...