• Previous Article
    A Lagrangian dual and surrogate method for multi-dimensional quadratic knapsack problems
  • JIMO Home
  • This Issue
  • Next Article
    An efficient search algorithm for obtaining the optimal replenishment strategies in multi-stage just-in-time supply chain systems
January  2009, 5(1): 33-46. doi: 10.3934/jimo.2009.5.33

An empirical study on discrete optimization models for portfolio selection

1. 

Department of Mathematics, Shanghai University, Shanghai 200444, China

2. 

School of Management, Fudan University, Shanghai 200433

3. 

Business School, Shanghai Institute of Foreign Trade, Shanghai 201100, China

Received  April 2008 Revised  October 2008 Published  December 2008

In this paper, we investigate four discrete optimization models arising from single period portfolio selection: Mean-variance model, mean-absolute-deviation model, minimax model and conditional Value-at-Risk model. These four models are established by considering the minimal transaction unit and the cardinality constraint in real-world investment practice. Extensive computational results are reported to compare the features of the models. We evaluate the performance of the models by analyzing the in-sample and out-of-sample numerical results with real data from Shanghai Stock Exchange.
Citation: Xueting Cui, Xiaoling Sun, Dan Sha. An empirical study on discrete optimization models for portfolio selection. Journal of Industrial & Management Optimization, 2009, 5 (1) : 33-46. doi: 10.3934/jimo.2009.5.33
[1]

Haixiang Yao, Ping Chen, Miao Zhang, Xun Li. Dynamic discrete-time portfolio selection for defined contribution pension funds with inflation risk. Journal of Industrial & Management Optimization, 2020  doi: 10.3934/jimo.2020166

[2]

Jiannan Zhang, Ping Chen, Zhuo Jin, Shuanming Li. Open-loop equilibrium strategy for mean-variance portfolio selection: A log-return model. Journal of Industrial & Management Optimization, 2021, 17 (2) : 765-777. doi: 10.3934/jimo.2019133

[3]

Matúš Tibenský, Angela Handlovičová. Convergence analysis of the discrete duality finite volume scheme for the regularised Heston model. Discrete & Continuous Dynamical Systems - S, 2021, 14 (3) : 1181-1195. doi: 10.3934/dcdss.2020226

[4]

Bing Liu, Ming Zhou. Robust portfolio selection for individuals: Minimizing the probability of lifetime ruin. Journal of Industrial & Management Optimization, 2021, 17 (2) : 937-952. doi: 10.3934/jimo.2020005

[5]

Junkee Jeon. Finite horizon portfolio selection problems with stochastic borrowing constraints. Journal of Industrial & Management Optimization, 2021, 17 (2) : 733-763. doi: 10.3934/jimo.2019132

[6]

Lin Jiang, Song Wang. Robust multi-period and multi-objective portfolio selection. Journal of Industrial & Management Optimization, 2021, 17 (2) : 695-709. doi: 10.3934/jimo.2019130

[7]

Mohammed Abdulrazaq Kahya, Suhaib Abduljabbar Altamir, Zakariya Yahya Algamal. Improving whale optimization algorithm for feature selection with a time-varying transfer function. Numerical Algebra, Control & Optimization, 2021, 11 (1) : 87-98. doi: 10.3934/naco.2020017

[8]

Editorial Office. Retraction: Xiao-Qian Jiang and Lun-Chuan Zhang, Stock price fluctuation prediction method based on time series analysis. Discrete & Continuous Dynamical Systems - S, 2019, 12 (4&5) : 915-915. doi: 10.3934/dcdss.2019061

[9]

Laurence Cherfils, Stefania Gatti, Alain Miranville, Rémy Guillevin. Analysis of a model for tumor growth and lactate exchanges in a glioma. Discrete & Continuous Dynamical Systems - S, 2020  doi: 10.3934/dcdss.2020457

[10]

Mohamed Dellal, Bachir Bar. Global analysis of a model of competition in the chemostat with internal inhibitor. Discrete & Continuous Dynamical Systems - B, 2021, 26 (2) : 1129-1148. doi: 10.3934/dcdsb.2020156

[11]

Cuicui Li, Lin Zhou, Zhidong Teng, Buyu Wen. The threshold dynamics of a discrete-time echinococcosis transmission model. Discrete & Continuous Dynamical Systems - B, 2020  doi: 10.3934/dcdsb.2020339

[12]

Guihong Fan, Gail S. K. Wolkowicz. Chaotic dynamics in a simple predator-prey model with discrete delay. Discrete & Continuous Dynamical Systems - B, 2021, 26 (1) : 191-216. doi: 10.3934/dcdsb.2020263

[13]

Ming Chen, Hao Wang. Dynamics of a discrete-time stoichiometric optimal foraging model. Discrete & Continuous Dynamical Systems - B, 2021, 26 (1) : 107-120. doi: 10.3934/dcdsb.2020264

[14]

Ran Zhang, Shengqiang Liu. On the asymptotic behaviour of traveling wave solution for a discrete diffusive epidemic model. Discrete & Continuous Dynamical Systems - B, 2021, 26 (2) : 1197-1204. doi: 10.3934/dcdsb.2020159

[15]

Yining Cao, Chuck Jia, Roger Temam, Joseph Tribbia. Mathematical analysis of a cloud resolving model including the ice microphysics. Discrete & Continuous Dynamical Systems - A, 2021, 41 (1) : 131-167. doi: 10.3934/dcds.2020219

[16]

Martin Kalousek, Joshua Kortum, Anja Schlömerkemper. Mathematical analysis of weak and strong solutions to an evolutionary model for magnetoviscoelasticity. Discrete & Continuous Dynamical Systems - S, 2021, 14 (1) : 17-39. doi: 10.3934/dcdss.2020331

[17]

José Madrid, João P. G. Ramos. On optimal autocorrelation inequalities on the real line. Communications on Pure & Applied Analysis, 2021, 20 (1) : 369-388. doi: 10.3934/cpaa.2020271

[18]

Thazin Aye, Guanyu Shang, Ying Su. On a stage-structured population model in discrete periodic habitat: III. unimodal growth and delay effect. Discrete & Continuous Dynamical Systems - B, 2020  doi: 10.3934/dcdsb.2021005

[19]

A. M. Elaiw, N. H. AlShamrani, A. Abdel-Aty, H. Dutta. Stability analysis of a general HIV dynamics model with multi-stages of infected cells and two routes of infection. Discrete & Continuous Dynamical Systems - S, 2020  doi: 10.3934/dcdss.2020441

[20]

Xin Zhao, Tao Feng, Liang Wang, Zhipeng Qiu. Threshold dynamics and sensitivity analysis of a stochastic semi-Markov switched SIRS epidemic model with nonlinear incidence and vaccination. Discrete & Continuous Dynamical Systems - B, 2020  doi: 10.3934/dcdsb.2021010

2019 Impact Factor: 1.366

Metrics

  • PDF downloads (101)
  • HTML views (0)
  • Cited by (4)

Other articles
by authors

[Back to Top]