60 Years of portfolio optimization: Practical challenges and current trends

Kolm, Petter N.; Tütüncü, Reha; Fabozzi, Frank J.

doi:10.1016/j.ejor.2013.10.060

Cited by 485 publications

(253 citation statements)

References 67 publications

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“…Since then, Markowitz's seminal ideas have been preserved but, at the same time, they have been extended in many fertile directions. Kolm, Tütüncü, and Fabozzi (2014), is an updated analysis of how the Markowitz model has evolved throughout the last 60 years.…”

Section: Introductionmentioning

confidence: 99%

Corporate social responsibility in portfolio selection: A “goal games” against nature approach

Trenado

Romero

Cuadrado

et al. 2014

Computers & Industrial Engineering

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Nowadays, there is an uprising social pressure on big companies to incorporate into their decisionmaking process elements of the so-called social responsibility. Among the many implications of this fact, one relevant one is the need to include this new element in classic portfolio selection models. This paper meets this challenge by formulating a model that combines goal programming with "goal games" against nature in a scenario where the social responsibility is defined through the introduction of a battery of sustainability indicators amalgamated into a synthetic index. In this way, we have obtained an efficient model that only implies solving a small number of linear programming problems. The proposed approach has been tested and illustrated by using a case study related to the selection of securities in international markets.

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Section: Introductionmentioning

confidence: 99%

Corporate social responsibility in portfolio selection: A “goal games” against nature approach

Trenado

Romero

Cuadrado

et al. 2014

Computers & Industrial Engineering

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“…Recentes estudos desenvolvidos com relação à MPT são relacionados à incorporação de custos de transação, maior precisão na estimação dos parâmetros, novos métodos de diversificação e otimizações multiperíodo (Kolm, Tütüncü, & Fabozzi, 2014). Entretanto, algumas premissas da MPT começaram a ser questionadas nos anos 90: a variância é a medida de risco mais correta?…”

Section: Introductionunclassified

Análise comparativa de distintas métricas de risco na composição de um fundo de fundos de investimento imobiliário

Lovatto¹,

Henrique

Lima

2017

Rev. contab. organ.

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O propósito central deste estudo é analisar a complementaridade dos resultados de diferentes métricas de risco na composição de um Fundo de FIIs. A partir da revisão de literatura, optou-se pela adoção das métricas de risco variância e Conditional Value-at-Risk, desenvolvidas nos estudos de Markowitz (1952) e Rockafellar e Uryasev (2000, 2002), respectivamente. O estudo abrangeu uma amostra de 30 FIIs listados em bolsa de valores no âmbito da BMF&BOVESPA com retornos diários entre Julho de 2013 e Julho de 2015. Como metodologia, empregou-se modelagem e simulação computacional de carteiras teóricas para minimização do risco não-sistemático, submetendo-as a restrições de acordo com perfis de risco e instruções regulatórias. A principal constatação é de que as diferentes métricas produziram diferentes resultados nos portfólios de menor nível de risco. Observou-se, adicionalmente, que a métrica variância subestimou a probabilidade de perdas extremas.

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“…In particular, a concentrated portfolio corresponds to a large information content because the investors would only choose a very concentrated allocation if their information about future price fluctuations is perfect. Whereas an equally weighted portfolios would indicate low information content as the investors would not invest all the money into the one company's shares if their information about future price fluctuations is poor (Kolm, Tutuncu, Fabozzi, 2014).…”

Section: The Principles Of Investments Portfolio Management Considerimentioning

confidence: 99%

Equity Investments Portfolio Risk in Different Stages of Business Cycle

Mileris

2014

Science and Studies of Accounting and Finance: Problems and Perspectives

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This paper analyzes the stock market dynamics in current business cycle of Lithuania. The research has affirmed that macroeconomic environment has the very strong impact on the share prices of Lithuanian listed companies. The early warning patterns of possible sudden OMXV index decrease were suggested analyzing the changes of companies financial condition and the relative stock market and macroeconomic indicators. The factorial regression model was developed for the support of investments decision making.

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60 Years of portfolio optimization: Practical challenges and current trends

Cited by 485 publications

References 67 publications

Corporate social responsibility in portfolio selection: A “goal games” against nature approach

Corporate social responsibility in portfolio selection: A “goal games” against nature approach

Análise comparativa de distintas métricas de risco na composição de um fundo de fundos de investimento imobiliário

Equity Investments Portfolio Risk in Different Stages of Business Cycle

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