On portfolio optimization: Imposing the right constraints

By Patrick Behr, Andre Guettler, Felix Miebs. 2013

117 citations recorded by the source corpus.

Subfields: Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/e81130a7be62d5646b05630e3b6ab996dbb7ec0c

Citations in the corpus

• Sparse and Stable Portfolio Selection With Parameter Uncertainty (2015, unknown): “Behr, Guettler, and Miebs (2013) imposed flexible upper and lower bounds on each portfolio weight, allowing their strategy to nest different benchmarks.”
• Multi-asset portfolio optimization and out-of-sample performance: an evaluation of Black–Litterman, mean-variance, and naïve diversification approaches (2017, unknown): “These suggestions range from imposing portfolio constraints (Frost and Savarino 1988; Jagannathan and Ma 2003; Behr, Guettler, and Miebs 2013) to the use of factor models (Chan, Karceski, and Lakonishok 1999), and Bayesian methods for estimating the MV input parameters (Jorion 1985, 1986; Pastor…”