efficient frontier

A stochastic approximation method for approximating the efficient frontier of chance-constrained nonlinear programs

  • Rohit Kannan
  • James R. Luedtke
    • Categories Stochastic Programming Tags , , ,

    We propose a stochastic approximation method for approximating the efficient frontier of chance-constrained nonlinear programs. Our approach is based on a bi-objective viewpoint of chance-constrained programs that seeks solutions on the efficient frontier of optimal objective value versus risk of constraint violation. To this end, we construct a reformulated problem whose objective is to minimize … Read more

    Efficient Cardinality/Mean-Variance Portfolios

  • R. P. Brito
  • Luis Nunes Vicente
    • Categories Finance and Economics, Multi-Criteria Optimization, Nonsmooth Optimization Tags , , , , ,

    A number of variants of the classical Markowitz mean-variance optimization model for portfolio selection have been investigated to render it more realistic. Recently, it has been studied the imposition of a cardinality constraint, setting an upper bound on the number of active positions taken in the portfolio, in an attempt to improve its performance and … Read more

    Robust Efficient Frontier Analysis with a Separable Uncertainty Model

  • Stephen Boyd
  • Seung-Jean Kim
    • Categories Convex Optimization, Finance and Economics, Robust Optimization Tags , , , , , , ,

    Mean-variance (MV) analysis is often sensitive to model mis-specification or uncertainty, meaning that the MV efficient portfolios constructed with an estimate of the model parameters (i.e., the expected return vector and covariance of asset returns) can give very poor performance for another set of parameters that is similar and statistically hard to distinguish from the … Read more