Please use this identifier to cite or link to this item: http://hdl.handle.net/10316/45700
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dc.contributor.authorBrito, R. Pedro-
dc.contributor.authorVicente, Luís Nunes-
dc.date.accessioned2018-01-04T11:58:45Z-
dc.date.issued2014-
dc.identifier.urihttp://hdl.handle.net/10316/45700-
dc.description.abstractWe 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.isoengpor
dc.publisherSpringer, Berlin, Heidelbergpor
dc.relationinfo:eu-repo/grantAgreement/FCT/COMPETE/132981/PTpor
dc.rightsembargoedAccess-
dc.titleEfficient Cardinality/Mean-Variance Portfoliospor
dc.typearticlepor
degois.publication.firstPage52por
degois.publication.lastPage73por
degois.publication.locationKlagenfurt, Austriapor
degois.publication.titleSystem Modeling and Optimization. CSMO 2013. IFIP Advances in Information and Communication Technologypor
dc.relation.publisherversionhttps://doi.org/10.1007/978-3-662-45504-3_6por
dc.peerreviewedyespor
dc.identifier.doi10.1007/978-3-662-45504-3_6-
degois.publication.volume443por
dc.date.embargo2019-01-04T11:58:45Z-
item.languageiso639-1en-
item.grantfulltextopen-
item.fulltextCom Texto completo-
Appears in Collections:I&D CMUC - Artigos e Resumos em Livros de Actas
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