Non-convex portfolio optimization

  • What is the best method of portfolio optimization?

    Modern portfolio theory (MPT) is a widely used method for portfolio optimization.
    Developed by Harry Markowitz in the 1950s, MPT is based on the idea that investors can achieve the optimal balance of risk and return by diversifying their investments across a range of assets..

Jul 1, 2022The tax-aware portfolio optimization problem aims to maximize the return and minimize the investment risk and tax-liabilities (Attinasi et al., 
Jul 27, 2023Based on the classical Markowitz mean-variance philosophy, we develop a new portfolio optimization framework which can produce sparse portfolios 
Jul 27, 2023In this paper, we address the problem of long-term investment by exploring optimal strategies for allocating wealth among a finite number of 

Is there a practical algorithm for large-scale mean-variance portfolio optimization?

This paper describes a practical algorithm for large-scale mean-variance portfolio optimization

The emphasis is on developing an efficient computational approach applicable to the broad range of portfolio models employed by the investment community

What is the difference between non-convex and ML-based optimization problems?

While non-convex optimization problems have been studied for the past several decades, ML-based problems have significantly different characteristics and requirements due to large datasets and high-dimensional parameter spaces along with the statistical nature of the problem


Categories

Polyhedron convex optimization
Convex optimization 10-725
Robust convex optimization
Convex analysis robust optimization
Double convex vs single convex lens
Convex optimisation solver
Non convex optimization solver
C++ convex optimization solver
Convex optimization problem solve
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