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

Konno, Hiroshi; Watanabe, Hidetoshi

J. Oper. Res. Soc. Japan 39, No. 3, 295-306 (1996).

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.

MSC:

91G10	Portfolio theory
90C90	Applications of mathematical programming

Keywords:

parametric simplex algorithms; nonconvex minimization; bond portfolio optimization; index portfolio