Jovanović, M. (2023). Portfolio optimisation under integer constraints [Diploma Thesis, Technische Universität Wien]. reposiTUm. https://doi.org/10.34726/hss.2023.65067
E105 - Institut für Stochastik und Wirtschaftsmathematik
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Date (published):
2023
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Number of Pages:
51
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Keywords:
Portfoliooptimierung; Ganzzahligkeitsbedingungen; moderne Portfoliotheorie; Prospekt-Theorie
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Portfolio optimization; Integer constraints; Modern portfolio theory; Prospect theory
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Abstract:
The goal of this thesis is to study and analyze different models of portfolio optimization. We start with the basic models such as mean-variance model presented by Markowitz (1952), mean-absolute-deviation model proposed by Konno and Yamazaki (1991), minimax model developed by Young (1998). Furthermore, we extend models with various constraints, of which the most important is the integer constraint. The numerical implementation of these models is presented in addition and its results are discussed.This work is based largely on the two papers: An Exact Solution Approach for Portfolio Optimization Problems Under Stochastic and Integer Constraints published by Pierre Bonami and Miguel Lejeune and Portfolio-optimization models for small investors paper by Philipp Baumann and Norbert Trautmann.
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