Portfolio Optimization

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Portfolio Optimization

• Literature Review
• Portfolio Optimization without Transaction Costs
• Portfolio Optimization with Transaction Costs

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Markowitz
Return
Mean-Variance Model
Risk
Sharpe
Skewness
Arrow
Basic Scenario-Based Portfolio Optimization
Downside Risk
Merton
High-Order Moments
Ralph
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Mean-Variance Model

• Markowitz, H. (1991), Portfolio Selection, 2nd
  Edition, USA Blackwell.
• Sharpe, W. (1970), Portfolio Theory and Capital
  Markets, New York McGraw-Hill.

4
Scenario-Based Analysis

• Arrow, K. (1970), Essays in the Theory of Risk
  Bearing, Amsterdam North Holland.
• Merton, R. (1990), Continuous Time Finance,
  OxfordBlackwell.

5
Ralphs Optimal Fractional Trading Model

• Ralph, V. (1990), Portfolio Management Formulas
  Mathematical Trading Methods for the Futures,
  Options and Stock Markets, New York John Wiley
  Sons.

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Ralphs Optimal Fractional Trading Model

• Ralph, V. (1992), The Mathematics of Money
  Management Risk Analysis Techniques for Traders,
  New York John Wiley Sons.
• Ralph, V. (1995), The New Money Management A
  Framework for Asset Allocation, New York John
  Wiley Sons.

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Portfolio Optimization

• What is it?
• Mathematics

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Portfolio Optimization with Transaction Costs

• Transaction Costs
• Mathematics

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