International Business Management

Year: 2016
Volume: 10
Issue: 2
Page No. 67 - 77

Dynamic Portfolio Selection: A Literature Revisit

Authors : Rula Hani Salman Al Halaseh, Md. Aminul Islam and Rosni Bakar

References

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Alvord, C.H., 1981. Large scale system optimization using nonlinear integer goal programming methods. Ph.D. Thesis, Pennsylvania State University, Pennsylvania, USA.

Bawa, S.V., 1979. Simple rules for optimal portfolio selection in stable Paretian markets. J. Finance, 34: 1041-1047.
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Brown, D.B. and J.E. Smith, 2011. Dynamic portfolio optimization with transaction costs: Heuristics and dual bounds. Manage. Sci., 57: 1752-1770.
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Cai, Y., K. Judd and R. Xu, 2013. Numerical solution of dynamic portfolio optimization with transaction costs. National Bureau of Economic Research, Working Paper No. 8709, January 2013. http://www.nber.org/papers/w18709.

Crama, Y. and M. Schyns, 2001. Simulated Annealing for Complex Portfolio Selection Problems. University of Liege, Liege, Belgium.

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Elton, E.J. and M.J. Gruber, 1987. Portfolio analysis with partial information: The case of grouped data. Manage. Sci., 33: 1238-1246.
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Frey, R. and A. Gabih and R. Wunderlich, 2012. Portfolio optimization under partial information with expert opinions. Int. J. Theor. Applied Fin., 15: 1-18.
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Frey, R. and A. Gabih and R. Wunderlich, 2013. Portfolio optimization under partial information with expert opinions: A dynamic programming approach. The Institutional Repository of the WU Vienna University of Economics and Business, Cornell University Library, New York, USA., March 2013, pp: 1-31.

Frey, R. and A. Gabih and R. Wunderlich, 2014. Portfolio optimization under partial information with expert opinions: A dynamic programming approach. http://arxiv.org/pdf/1303.2513.pdf.

Frost, P.A. and J.E. Savarino, 1986. An empirical bayes approach to efficient portfolio selection. J. Finan. Q. Anal., 21: 293 -305.
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Garleanu, N. and L.H. Pedersen, 2009. Dynamic trading with predictable returns and transaction costs. AFA 2010 Atlanta Meetings Paper, July 21, 2009, pp: 1-64. http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1364170.

Jacobs, B.I., K.N. Levy and H.M. Markowitz, 2005. Portfolio optimization with factors, scenarios and realistic short positions. Operat. Res., 53: 586-599.
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Jobst, N.J., M.D. Horniman, C.A. Lucas and G. Mitra, 2001. Computational aspects of alternative portfolio selection models in the presence of discrete asset choice constraints. Q. Finance, 1: 489-501.
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Karamanis, D., 2013. Stochastic dynamic programming methods for the portfolio selection problem. Ph.D. Thesis, London School of Economics, Department of Management Science, London, UK.

Kwan, C.C.Y., 1995. Optimal portfolio selection under institutional procedures for short selling. J. Bank. Finance, 19: 871-889.
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Li, D. and W.L. Ng, 2000. Optimal dynamic portfolio selection: Multiperiod mean-variance formulation. Math. Finance, 10: 387-406.
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Liu, Q., 2009. On portfolio optimization: How and when do we benefit from high-frequency data? J. Applied Economet., 24: 560-582.
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Liu, Y.K., 2006. Convergent results about the use of fuzzy simulation in fuzzy optimization problems. IEEE Trans. Fuzzy Syst., 14: 295-304.
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Liu, Z. and J. Brige, 2012. Continuous-time portfolio optimization problem with transaction costs: An option pricing approach. Working Paper, University of Minnesota, Minnesota, USA.

Mansini, R. and M.G. Speranza, 1999. Heuristic algorithms for the portfolio selection problem with minimum transaction lots. Eur. J. Operat. Res., 114: 219-233.
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Mansour, N., A. Rebai and B. Aouni, 2007. Portfolio selection through imprecise Goal Programming model: Integration of the manager's preferences. J. Ind. Eng. Int., 3: 1-8.
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Markowitz, H., 1959. Portfolio Selection: Efficient Diversification of Investments, 2nd Edn., Wiley, New York, USA., ISBN: 978-1-55786-108-5.

Merton, R.C., 1972. An analytic derivation of the efficient portfolio frontier. J. Finan. Q. Anal. 7: 1851-1872.
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Moallemi, C.C. and M. Saglam, 2013. Dynamic portfolio choice with linear, rebalancing rules. https://moallemi.com/ciamac/papers/linear-2012.pdf.

Mulvey, J.M., W.R. Pauling and R.E. Madey, 2003. Advantages of multiperiod portfolio models. J. Portfolio Manage., 29: 35-45.
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Nuaimi, S.A.D., 2004. Financial Information Management: Developing Tools and Portfolio Construction. Alzaytoonah University of Jordan, Amman, Jordan.

Palczewski, J., R. Poulsen, K.R. Schenk-Hoppe and H. Wang, 2014. Dynamic portfolio optimization with transaction costs and state-dependent drift. Eur. J. Operat. Res., 243: 921-931.
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Parra, M.A., A.B. Terol and M.V.R. Uria, 2001. A fuzzy goal programming approach to portfolio selection. Eur. J. Operat. Res., 133: 287-297.
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Skaf, J. and S. Boyd, 2008. Multi-period portfolio optimization with constraints and transaction costs. Working Paper, Stanford University, California, December 2008. http://web.stanford.edu/~boyd/papers/dyn_port_opt.html.

Stoyan, S.J., 2009. Advances in portfolio selection under discrete choice constraints: A mixed-integer programming approach and heuristics. Ph.D. Thesis, Department of Mechanical and Industrial Engineering, University of Toronto, Toronto, Canada.

Sun, W., A. Fan, L.W. Chen, T. Schouwenaars and M.A. Albota, 2010. Optimal rebalancing strategy using dynamic programming for institutional portfolios. MIT Working Paper, Massachusetts Institute of Technology (MIT), USA.

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Valian, H., 2009. Optimization dynamic portfolio selection. Ph.D. Thesis, Graduate School-New Brunswick, Rutgers University, University in New Brunswick, New Jersey.

Ziemba, W. and R.G. Vickson, 2006. Stochastic optimization models in finance. World Scientific, Carnegie Mellon University, Pittsburgh, PA., USA., January 2006. http://www.math.ku.dk/~rolf/CT_FinOpt.pdf.

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