Browsing by Subject "Asset management"

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Open Access
Optimal stopping problems for asset management
(2012) Dayanık, S.; Egami, M.
An asset manager invests the savings of some investors in a portfolio of defaultable bonds. The manager pays the investors coupons at a constant rate and receives a management fee proportional to the value of the portfolio. He/she also has the right to walk out of the contract at any time with the net terminal value of the portfolio after payment of the investors' initial funds, and is not responsible for any deficit. To control the principal losses, investors may buy from the manager a limited protection which terminates the agreement as soon as the value of the portfolio drops below a predetermined threshold. We assume that the value of the portfolio is a jump diffusion process and find an optimal termination rule of the manager with and without protection. We also derive the indifference price of a limited protection. We illustrate the solution method on a numerical example. The motivation comes from the collateralized debt obligations.
Open Access
Sparsity penalized mean-variance portfolio selection: computation and analysis
(2022-07) Şen, Buse
The problem of selecting the best portfolio of assets, so-called mean-variance portfolio (MVP) selection, has become a prominent mathematical problem in the asset management framework. We consider the problem of MVP selection regu-larized with ℓ0-penalty term to control the sparsity of the portfolio. We analyze the structure of local and global minimizers, show the existence of global mini-mizers and develop a necessary condition for the global minimizers in the form of a componentwise lower bound for the global minimizers. We use the results in the design of a Branch-and-Bound algorithm. Extensive computational results with real-world data as well as comparisons with an off-the-shelf and state-of-the-art mixed-integer quadratic programming (MIQP) solver are reported. The behavior of the portfolio’s risk against the expected return and penalty parameter is ex-amined by numerical experiments. Finally, we present the accumulated returns over time according to the solutions yielded by the Branch-and-Bound and Lasso for the instances that the MIQP solver fails to find.