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Dokumenttyp:
Zeitschriftenaufsatz 
Autor(en):
Poeschik, M.; Zagst, R. 
Nicht-TUM Koautoren:
ja 
Kooperation:
Titel:
Inverse Portfolio Optimization under Constraints 
Abstract:
The purpose of this paper is to present results on inverse optimization in the case of portfolios that have been optimized under constraints. Inverse optimization yields implied views that represent investors? expectations on market performance. While literature mainly considers the unconstrained case, we will focus on views that can be derived from constrained portfolios. The implied views are derived in the form of spreads representing the loss of explanatory power with an increasing number of...    »
 
Intellectual Contribution:
Discipline-based Research 
Zeitschriftentitel:
The Journal of Asset Management 
Jahr:
2008 
Band / Volume:
Heft / Issue:
Seitenangaben Beitrag:
239-253 
Sprache:
en 
Key publication:
Nein 
Peer reviewed:
Ja 
International:
Ja 
Book review:
Nein 
commissioned:
not commissioned 
Professional Journal:
Nein