Abstract
The Sharpe ratio is a measure based on the theory of mean variance, it is the measure of the performance of a portfolio when the risk can be measured through the standard deviation. This paper suggests a Sharpe-ratio portfolio solution using a second order cone programming (SOCP). We use the penalty-regularized method to represent the nonlinear portfolio problem. We present a computationally tractable way to determining the Sharpe-ratio portfolio. A Markov chain structure is employed to represent the underlying asset price process. In order to determine the optimal portfolio in Markov chains, a new hybrid optimization programming method for SOCP is proposed. The suggested method’s efficiency and efficacy are demonstrated using a numerical example.
Funder
Instituto Politécnico Nacional
Consejo Nacional de Ciencia y Tecnología
Subject
General Mathematics,Engineering (miscellaneous),Computer Science (miscellaneous)
Cited by
5 articles.
订阅此论文施引文献
订阅此论文施引文献,注册后可以免费订阅5篇论文的施引文献,订阅后可以查看论文全部施引文献
1. Partially Observable Markov Chains;Optimization and Games for Controllable Markov Chains;2023-12-14
2. Multiobjective Control;Optimization and Games for Controllable Markov Chains;2023-12-14
3. Artificial-Intelligence-Driven Management: Autonomous Real-Time Trading and Testing of Portfolio or Inventory Strategies;IEEE Engineering Management Review;2023-09-01
4. Elaborative Research between Markowitz Model and the Index Model;Highlights in Business, Economics and Management;2023-05-09
5. Optimal Constrained Portfolio Analysis for Incomplete Information and Transaction Costs;ECONOMIC COMPUTATION AND ECONOMIC CYBERNETICS STUDIES AND RESEARCH;2022-12-17