Name
Abstract | ||
|---|---|---|
In this paper, we revisit the portfolio optimization problems of the minimization/maximization of investment risk under constraints of budget and investment concentration (primal problem) and the maximization/minimization of investment concentration under constraints of budget and investment risk (dual problem) for the case that the variances of the return rates of the assets are identical. We analyze both optimization problems by the Lagrange multiplier method and the random matrix approach. Thereafter, we compare the results obtained from our proposed approach with the results obtained in previous work. Moreover, we use numerical experiments to validate the results obtained from the replica approach and the random matrix approach as methods for analyzing both the primal and dual portfolio optimization problems. |
Year | DOI | Venue |
|---|---|---|
2017 | 10.7566/JPSJ.86.124804 | JOURNAL OF THE PHYSICAL SOCIETY OF JAPAN |
Field | DocType | Volume |
Replica,Mathematical optimization,Lagrange multiplier,Portfolio optimization,Minification,Duality (optimization),Optimization problem,Maximization,Condensed matter physics,Physics,Random matrix | Journal | 86 |
Issue | ISSN | Citations |
12 | 0031-9015 | 0 |
PageRank | References | Authors |
0.34 | 0 | 3 |
Name | Order | Citations | PageRank |
|---|---|---|---|
| Daichi Tada | 1 | 0 | 0.34 |
| Hisashi Yamamoto | 2 | 9 | 2.93 |
| Takashi Shinzato | 3 | 0 | 1.01 |