Factor-targeted Asset Allocation: a Reverse Optimization Approach

2021 ◽  
Author(s):  
Jacky Lee ◽  
Marco Salerno
Keyword(s):  
Asset Allocation ◽  
Optimization Approach ◽  
Reverse Optimization

scholarly journals Bitcoin and Portfolio Diversification: A Portfolio Optimization Approach

2021 ◽  
Vol 14 (7) ◽  
pp. 282
Author(s):  
Walid Bakry ◽  
Audil Rashid ◽  
Somar Al-Mohamad ◽  
Nasser El-Kanj
Keyword(s):  
Portfolio Optimization ◽  
Asset Allocation ◽  
Portfolio Diversification ◽  
Optimization Approach ◽  
Risk Averse ◽  
Safe Haven ◽  
Market Conditions ◽  
Risk Seeking ◽  
Risk Parity ◽  
Asset Class

This study investigates the performance of Bitcoin as a diversifier under different constraining portfolio optimization frameworks. The study employs different constraining optimization frameworks that seek to maximize risk-adjusted returns (Sharpe ratio) of the portfolio by optimizing allocations to each asset class (asset allocation). The performance attributes are evaluated by comparing the portfolios both with and without Bitcoin under frameworks ranging from equal-weighted, risk-parity, and semi-constrained to unconstrained. This study suggests that Bitcoin, due to its exotic nature, unwavering appeal, and unknown set of drivers, could act as a diversifier in normal market conditions, and it might also have some borderline hedge to safe haven properties. The results further suggest that while Bitcoin may be a potential diversifier for a risk-seeking investor, the risk-averse investor must exercise caution by limiting their exposure to Bitcoin in their portfolios, as unnecessary exposure may increase the probability of losses in extreme market conditions.

Interactive multiobjective DEA target setting using lexicographic DDF

2020 ◽  
Vol 54 (6) ◽  
pp. 1703-1722 ◽  
Author(s):  
Narges Soltani ◽  
Sebastián Lozano
Keyword(s):  
Efficient Frontier ◽  
Directional Distance Function ◽  
Fixed Number ◽  
Optimization Approach ◽  
Target Setting ◽  
Interactive Process ◽  
Decision Making Unit ◽  
Setting Approach ◽  
Promising Area ◽  
Current Region

In this paper, a new interactive multiobjective target setting approach based on lexicographic directional distance function (DDF) method is proposed. Lexicographic DDF computes efficient targets along a specified directional vector. The interactive multiobjective optimization approach consists in several iteration cycles in each of which the Decision Making Unit (DMU) is presented a fixed number of efficient targets computed corresponding to different directional vectors. If the DMU finds one of them promising, the directional vectors tried in the next iteration are generated close to the promising one, thus focusing the exploration of the efficient frontier on the promising area. In any iteration the DMU may choose to finish the exploration of the current region and restart the process to probe a new region. The interactive process ends when the DMU finds its most preferred solution (MPS).

The Current Carbon Sink Structure of China's Staple Crop Production and Its Optimization Approach

2016 ◽  
Vol 18 (1) ◽  
pp. 114
Author(s):  
She Wei ◽  
Huang Huang ◽  
Guan Chunyun ◽  
Chen Fu ◽  
Chen Guanghui
Keyword(s):  
Crop Production ◽  
Carbon Sink ◽  
Optimization Approach ◽  
Staple Crop
Sign in / Sign up

Export Citation Format

Share Document