Dantzig type optimization method with applications to portfolio selectionopen access
- Authors
- Park, S.[Park, S.]; Lee, E.R.[Lee, E.R.]; Lee, S.[Lee, S.]; Kim, G.[Kim, G.]
- Issue Date
- 1-Jun-2019
- Publisher
- MDPI AG
- Keywords
- Dantzig selector; Portfolio optimization; Sharpe ratio; Sparse model
- Citation
- Sustainability (Switzerland), v.11, no.11
- Indexed
- SCIE
SSCI
SCOPUS
- Journal Title
- Sustainability (Switzerland)
- Volume
- 11
- Number
- 11
- URI
- https://scholarworks.bwise.kr/skku/handle/2021.sw.skku/15137
- DOI
- 10.3390/su11113216
- ISSN
- 2071-1050
- 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). © 2019 by the authors.
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Collections - Economics > Department of Statistics > 1. Journal Articles
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