-

 

 

 




Optimization Online





 

Optimal construction of a fund of funds

Petri Hilli(petri.hilli***at***qsa.fi)
Matti Koivu(Matti.Koivu***at***finanssivalvonta.fi)
Teemu Pennanen(teemu.pennanen***at***tkk.fi)

Abstract: We study the problem of diversifying a given initial capital over a finite number of investment funds that follow different trading strategies. The investment funds operate in a market where a finite number of underlying assets may be traded over finite discrete time. We present a numerical procedure for finding a diversification that is optimal in the sense of a given convex risk measure. The procedure is illustrated on an asset-liability management problem where the liabilities correspond to a pension insurance portfolio.

Keywords: portfolio optimization, Galerkin methods

Category 1: Applications -- OR and Management Sciences

Citation:

Download: [PDF]

Entry Submitted: 05/04/2011
Entry Accepted: 05/04/2011
Entry Last Modified: 05/04/2011

Modify/Update this entry


  Visitors Authors More about us Links
  Subscribe, Unsubscribe
Digest Archive
Search, Browse the Repository

 

Submit
Update
Policies
Coordinator's Board
Classification Scheme
Credits
Give us feedback
Optimization Journals, Sites, Societies
Mathematical Optimization Society