Dantzig type optimization method with applications to portfolio selection

Seyoung Park, Eun Ryung Lee, Sungchul Lee, Geonwoo Kim

Research output: Contribution to journalArticle

1 Citation (Scopus)

Abstract

This paper investigates a novel optimization problem motivated by sparse, sustainable and stable portfolio selection. The existing benchmark portfolio via the Dantzig type optimization is used to construct a sparse, sustainable and stable portfolio. Based on the formulations, this paper proposes two portfolio selection methods, west and north portfolio selection, and investigates their empirical properties. Numerical results presented for 12 datasets and various simulated data show that the west selection can reduce risk, and the north selection may outperform the benchmark as to risk-adjusted returns (based on, e.g., information ratio and Sharpe ratio).

Original languageEnglish
Article number3216
JournalSustainability (Switzerland)
Volume11
Issue number11
DOIs
Publication statusPublished - 2019 Jun 1

All Science Journal Classification (ASJC) codes

  • Geography, Planning and Development
  • Renewable Energy, Sustainability and the Environment
  • Management, Monitoring, Policy and Law

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