A Local Relaxation Method for Cardinality Constrained Portfolio Optimization Problem

2011 ◽  
Author(s):  
Walter Murray ◽  
Howard Howan Stephen Shek
Keyword(s):  
Portfolio Optimization ◽  
Optimization Problem ◽  
Relaxation Method ◽  
Local Relaxation ◽  
Portfolio Optimization Problem

scholarly journals Modeling and Optimizing the Multi-Objective Portfolio Optimization Problem with Trapezoidal Fuzzy Parameters

2021 ◽  
Vol 26 (2) ◽  
pp. 36
Author(s):  
Alejandro Estrada-Padilla ◽  
Daniela Lopez-Garcia ◽  
Claudia Gómez-Santillán ◽  
Héctor Joaquín Fraire-Huacuja ◽  
Laura Cruz-Reyes ◽  
...  
Keyword(s):  
Steady State ◽  
Portfolio Optimization ◽  
Optimization Problem ◽  
Solution Process ◽  
Density Estimator ◽  
Nsga Ii ◽  
Spatial Spread ◽  
Multi Objective ◽  
Significant Difference ◽  
Portfolio Optimization Problem

A common issue in the Multi-Objective Portfolio Optimization Problem (MOPOP) is the presence of uncertainty that affects individual decisions, e.g., variations on resources or benefits of projects. Fuzzy numbers are successful in dealing with imprecise numerical quantities, and they found numerous applications in optimization. However, so far, they have not been used to tackle uncertainty in MOPOP. Hence, this work proposes to tackle MOPOP’s uncertainty with a new optimization model based on fuzzy trapezoidal parameters. Additionally, it proposes three novel steady-state algorithms as the model’s solution process. One approach integrates the Fuzzy Adaptive Multi-objective Evolutionary (FAME) methodology; the other two apply the Non-Dominated Genetic Algorithm (NSGA-II) methodology. One steady-state algorithm uses the Spatial Spread Deviation as a density estimator to improve the Pareto fronts’ distribution. This research work’s final contribution is developing a new defuzzification mapping that allows measuring algorithms’ performance using widely known metrics. The results show a significant difference in performance favoring the proposed steady-state algorithm based on the FAME methodology.

scholarly journals An Improvement of Stochastic Gradient Descent Approach for Mean-Variance Portfolio Optimization Problem

2021 ◽  
Vol 2021 ◽  
pp. 1-10
Author(s):  
Stephanie S. W. Su ◽  
Sie Long Kek
Keyword(s):  
Portfolio Optimization ◽  
Standard Error ◽  
Gradient Descent ◽  
Optimization Problem ◽  
Stochastic Gradient Descent ◽  
Moment Estimation ◽  
The Mean ◽  
Portfolio Optimization Problem ◽  
Mean Variance Portfolio ◽  
Mean Variance

In this paper, the current variant technique of the stochastic gradient descent (SGD) approach, namely, the adaptive moment estimation (Adam) approach, is improved by adding the standard error in the updating rule. The aim is to fasten the convergence rate of the Adam algorithm. This improvement is termed as Adam with standard error (AdamSE) algorithm. On the other hand, the mean-variance portfolio optimization model is formulated from the historical data of the rate of return of the S&P 500 stock, 10-year Treasury bond, and money market. The application of SGD, Adam, adaptive moment estimation with maximum (AdaMax), Nesterov-accelerated adaptive moment estimation (Nadam), AMSGrad, and AdamSE algorithms to solve the mean-variance portfolio optimization problem is further investigated. During the calculation procedure, the iterative solution converges to the optimal portfolio solution. It is noticed that the AdamSE algorithm has the smallest iteration number. The results show that the rate of convergence of the Adam algorithm is significantly enhanced by using the AdamSE algorithm. In conclusion, the efficiency of the improved Adam algorithm using the standard error has been expressed. Furthermore, the applicability of SGD, Adam, AdaMax, Nadam, AMSGrad, and AdamSE algorithms in solving the mean-variance portfolio optimization problem is validated.

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