Effective solving Portfolio Optimization Problems by means of a Multi-Period Diversification model. Issue 13 (2021)

• Record Type: Journal Article
• Authors: Guliashki, V.; Stoyanova, K.
• Is Part Of: IFAC-PapersOnLine. Volume 54:Issue 13(2021)
• Page Start: 517
• Page End: 522
• Publication Date: 2021
• Subjects: Portfolio optimization -- Markowitz's MVO model -- Multi-period diversification model -- Population-based heuristic algorithms -- Evolutionary algorithms; Automatic control -- Periodicals; 629.805
• DOI: 10.1016/j.ifacol.2021.10.501
• Languages: English
• ISSNs: 2405-8963

Abstract

Abstract: A multi-period model for Portfolio optimization problems including a diversification quadratic constraint is considered in this paper. It is designed to minimize the risk, imposing a restriction on the return to be not less than a desired value. An illustrative example with 6 assets, based on data for 131 months historical period is constructed. The formulated optimization problem is solved for 10 different values of desired return by means of the Interior point method in Matlab's fmincon solver. The experimental results show that the proposed optimization model is effective and successful in solving constrained multi-period portfolio optimization problems.