Author:
Khodamoradi Tahereh,Salahi Maziar,Najafi Ali Reza
Abstract
In this paper, first we present some drawbacks of the cardinality constrained mean-variance (CCMV) portfolio optimization with short selling and risk-neutral interest rate when the lower and upper bounds of the assets contributions are -1/K and 1/K(K denotes the number of assets in portfolio). Then, we present an improved variant using absolute returns instead of the returns to include short selling in the model. Finally, some numerical results are provided using the data set of the S&P 500 index, Information Technology, and the MIBTEL index in terms of returns and Sharpe ratios to compare the proposed models with those in the literature.
Publisher
International Academic Press
Subject
Artificial Intelligence,Control and Optimization,Statistics, Probability and Uncertainty,Computer Vision and Pattern Recognition,Information Systems,Statistics and Probability,Signal Processing
Cited by
6 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