Portfolio management with minimum guarantees: some modeling and optimization issues

Authors:
Diana Barro;Elio Canestrelli
Affiliations:
Dept. of Applied Mathematics, Ca' Foscari University, Venice;Dept. of Applied Mathematics, Ca' Foscari University, Venice
Venue:
Proceedings of the 2009 conference on Neural Nets WIRN09: Proceedings of the 19th Italian Workshop on Neural Nets, Vietri sul Mare, Salerno, Italy, May 28--30 2009
Year:
2009

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Abstract

In this contribution we consider a dynamic portfolio optimization problem where the manager has to deal with the presence of minimum guarantee requirements on the performance of the portfolio. We briefly discuss different possibilities for the formulation of the problem and present a quite general formulation which includes transaction costs, cardinality constraints and buy-in thresholds. The presence of realistic and operational constraints introduces binary and integer variables greatly increasing the complexity of the problem.