Bond portfolio optimization problems and their applications to index tracking: A partial optimization approach. (English) Zbl 0873.90009

Summary: We will discuss exact and efficient parametric simplex algorithms for solving a class of nonconvex minimization problems associated with bond portfolio optimization models which one of the authors proposed in the late 1980’s. We will show that global optimally solutions of both total and partial optimization problems can now be calculated on a real time basis. Also we will present some computational results of a partial optimization model applied to a tracking of an index portfolio.


91G10 Portfolio theory
90C90 Applications of mathematical programming
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