Please use this identifier to cite or link to this item:
https://hdl.handle.net/10316/45700
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Brito, R. Pedro | - |
dc.contributor.author | Vicente, Luís Nunes | - |
dc.date.accessioned | 2018-01-04T11:58:45Z | - |
dc.date.issued | 2014 | - |
dc.identifier.uri | https://hdl.handle.net/10316/45700 | - |
dc.description.abstract | We propose a novel approach to handle cardinality in portfolio selection, by means of a biobjective cardinality/mean-variance problem, allowing the investor to analyze the efficient tradeoff between return-risk and number of active positions. Recent progress in multiobjective optimization without derivatives allow us to robustly compute (in-sample) the whole cardinality/mean-variance efficient frontier, for a variety of data sets and mean-variance models. Our results show that a significant number of efficient cardinality/mean-variance portfolios can overcome (out-of-sample) the naive strategy, while keeping transaction costs relatively low. | por |
dc.language.iso | eng | por |
dc.publisher | Springer, Berlin, Heidelberg | por |
dc.relation | info:eu-repo/grantAgreement/FCT/COMPETE/132981/PT | por |
dc.rights | embargoedAccess | - |
dc.title | Efficient Cardinality/Mean-Variance Portfolios | por |
dc.type | article | por |
degois.publication.firstPage | 52 | por |
degois.publication.lastPage | 73 | por |
degois.publication.location | Klagenfurt, Austria | por |
degois.publication.title | System Modeling and Optimization. CSMO 2013. IFIP Advances in Information and Communication Technology | por |
dc.relation.publisherversion | https://doi.org/10.1007/978-3-662-45504-3_6 | por |
dc.peerreviewed | yes | por |
dc.identifier.doi | 10.1007/978-3-662-45504-3_6 | - |
degois.publication.volume | 443 | por |
dc.date.embargo | 2019-01-04T11:58:45Z | - |
item.languageiso639-1 | en | - |
item.grantfulltext | open | - |
item.fulltext | Com Texto completo | - |
item.openairecristype | http://purl.org/coar/resource_type/c_18cf | - |
item.openairetype | article | - |
item.cerifentitytype | Publications | - |
crisitem.author.orcid | 0000-0003-1097-6384 | - |
Appears in Collections: | I&D CMUC - Artigos e Resumos em Livros de Actas |
Files in This Item:
File | Description | Size | Format | |
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cardMV.pdf | 556.81 kB | Adobe PDF | View/Open |
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