Mathematical Models of Price Impact and Optimal Portfolio Management in Illiquid Markets

2014 ◽  
pp. 1-11
Author(s):  
Nikolay Andreev
Keyword(s):  
Mathematical Models ◽  
Portfolio Management ◽  
Price Impact ◽  
Optimal Portfolio ◽  
Illiquid Markets

Optimal Portfolio Execution Strategies and Sensitivity to Price Impact Parameters

2010 ◽  
Vol 20 (3) ◽  
pp. 1620-1654 ◽  
Author(s):  
Somayeh Moazeni ◽  
Thomas F. Coleman ◽  
Yuying Li
Keyword(s):  
Price Impact ◽  
Optimal Portfolio ◽  
Impact Parameters

Optimal portfolio management with American capital guarantee

2005 ◽  
Vol 29 (3) ◽  
pp. 449-468 ◽  
Author(s):  
Nicole El Karoui ◽  
Monique Jeanblanc ◽  
Vincent Lacoste
Keyword(s):  
Portfolio Management ◽  
Optimal Portfolio

DYNAMIC OPTIMIZATION OF THE INVESTMENT PORTFOLIO MANAGEMENT TRAJECTORY

2021 ◽  
Vol 17 (3) ◽  
pp. 73-77
Author(s):  
NATALIA GRINEVA ◽  
◽  
Keyword(s):  
Mathematical Model ◽  
Dynamic Optimization ◽  
Portfolio Management ◽  
Management Strategy ◽  
Optimization Problem ◽  
Optimal Portfolio ◽  
Processes Of Change ◽  
Investment Portfolio ◽  
Strategy Formation ◽  
Risk Appetite

The task of control from the position of mathematical tools application is discussed, economic statement and mathematical model of optimization problem are formulated, the sequential realization of the research aim - the mechanism of optimal portfolio management strategy formation - is presented. The results of dynamic optimization of decisions made at each step form the optimum law of the portfolio management. Scientific novelty of the study consists in the fact that the constructed portfolio takes into account the real incompleteness of the initial data on the processes of change in the yields of securities; there is no need to build a set of effective portfolios and indifference curves that characterize the risk appetite of investors; private characteristics are not used as the main criteria that determine the structure of the optimal portfolio of securities.

scholarly journals Optimal Portfolio Management for Engineering Problems Using Nonconvex Cardinality Constraint: A Computing Perspective

IEEE Access ◽  
2020 ◽  
Vol 8 ◽  
pp. 57437-57450 ◽  
Author(s):  
Ameer Hamza Khan ◽  
Xinwei Cao ◽  
Vasilios N. Katsikis ◽  
Predrag Stanimirovic ◽  
Ivona Brajevic ◽  
...  
Keyword(s):  
Portfolio Management ◽  
Optimal Portfolio ◽  
Cardinality Constraint ◽  
Engineering Problems

An Empirical Study on Pharmaceutical and Personal Care Stocks Using Sharpe's Single-Index Model

2021 ◽  
pp. 139-149
Author(s):  
Divya Bansal ◽  
Srilakshmi Rao ◽  
Karpagam T.
Keyword(s):  
Stock Market ◽  
Empirical Study ◽  
Portfolio Management ◽  
Investment Decision ◽  
Optimal Portfolio ◽  
Personal Care ◽  
Fund Managers ◽  
Index Model ◽  
Single Index Model ◽  
Monthly Return

As the various avenues for better returns in India are slowly dwindling due to various global scenarios as well as due to domestic government policies, more and more people are turning towards stock market for better returns. This poses a challenge to the fund managers when they have to construct a portfolio, which maximizes return and minimizes risk. This has become more and more challenging in the recent years as the investors are also becoming more knowledgeable. Timely and correct investment decision on the part of the investor requires an in-depth knowledge of the stock that he intends to procure and the theories behind portfolio management. This chapter mainly focuses on construction of an optimal portfolio comprising of top pharmaceutical companies and FMCG companies in India. Sharpe ratio return analysis is the tool that is used to construct the optimal portfolio. Monthly returns data of last 10 years of the said companies are regressed against monthly return data of Nifty for better comparison.

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