1. LP Algorithms for Portfolio Optimization: The PortfolioOptim Package.
- Author
-
Palczewski, Andrzej
- Subjects
ALGORITHMS ,FINANCIAL management ,DISCRETE choice models - Abstract
The paper describes two algorithms for financial portfolio optimization with the following risk measures: CVaR, MAD, LSAD and dispersion CVaR. These algorithms can be applied to discrete distributions of asset returns since then the optimization problems can be reduced to linear programs. The first algorithm solves a simple recourse problem as described by Haneveld using Benders decomposition method. The second algorithm finds an optimal portfolio with the smallest distance to a given benchmark portfolio and is an adaptation of the least norm solution (called also normal solution) of linear programs due to Zhao and Li. The algorithms are implemented in R in the package PortfolioOptim. [ABSTRACT FROM AUTHOR]
- Published
- 2018
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