Reference : A robust heuristic for the optimal selection of a portfolio of stocks
Scientific journals : Article
Business & economic sciences : Quantitative methods in economics & management
http://hdl.handle.net/2268/14044
A robust heuristic for the optimal selection of a portfolio of stocks
English
Schyns, Michael mailto [Université de Liège - ULg > HEC - Ecole de gestion de l'ULg > Informatique de gestion >]
2010
International Journal of Operational Research
InderScience
9
3
258-271
Yes (verified by ORBi)
International
1745-7645
1745-7653
[en] combinatorial optimization ; robustness ; Markowitz
[fr] MCD
[en] This paper introduces a new optimization heuristic for the robustification of critical inputs under consideration in many problems. It is shown that it allows to improve significantly the quality and the stability of the results for two classical financial problems, i.e. the Markowitz' portfolio selection problem and the computation of the financial beta.

Focus here is on the robust Minimum Covariance Determinant (MCD) estimator which can easily be substituted to the classical estimators of location and scatter. By definition, the computation of this estimator gives rise to a combinatorial optimization problem. We present a new heuristic, called 'RelaxMCD', which is based on a relaxation of the problem to the continuous space. The utility of this approach and the performance of our heuristic, with respect to other competitors, are illustrated through extensive simulations.
QuantOM
Researchers ; Professionals ; Students
http://hdl.handle.net/2268/14044
10.1504/IJOR.2010.035520
http://www.inderscience.com/browse/index.php?journalCODE=ijor
The original publication is available at www.inderscience.com

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