All Questions
Tagged with convexity optimization
5 questions
1
vote
1
answer
49
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How do I reformulate this max GMV ratio constraint in convex way?
Assuming I have N stocks. I want to have the following constraint in my optimization problem setup.
$|x_i| \le \alpha \sum_{j}^N |x_j|$ where $\alpha$ is known, say 0.6. The intuition here is the GMV ...
- 51
-3
votes
1
answer
173
views
sharpe ratio, convert into convex function, not understand that constraint, [duplicate]
I am reading about tranforming sharpe ratio into convex problem
After some following, its converted into min xTxy s.t. (u-rf e)x = 1
...
- 1
2
votes
0
answers
201
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Can genetic algorithm help in portfolio optimisation when convexity is not verifiable
I have the following portfolio cost function to maximise:
$$
w^T\mu-\frac{1}{2}\gamma w^T\Sigma w+\frac{1}{6}\gamma^2 w^TM_3(w\otimes w),
$$
which considers the co-skewness ($M_3$ tensor), $γ$ is the ...
- 326
7
votes
1
answer
3k
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Sharpe Maximization under Quadratic Constraints
When doing Sharpe optimization
$$
\max_x \frac{\mu^T x}{\sqrt{x^T Q x}}
$$
there is a common trick (section 5.2) used to put the problem in convex form. You add a variable $\kappa$ such that $x = ...
- 1,641
4
votes
2
answers
196
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When would dedicated portfolios do better than 'immunized' portfolios?
We just learned about cash-matching through dedicated portfolios (using risk free bonds) in my class that concerned mathematical programming. However, in an aside one of the notes said:
It should be ...
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