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Titel:

Inverse Portfolio Optimization under Constraints

Dokumenttyp:
Zeitschriftenaufsatz
Autor(en):
Poeschik, M.; Zagst, R.
Nicht-TUM Koautoren:
ja
Kooperation:
-
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:
9
Heft / Issue:
3
Seitenangaben Beitrag:
239-253
Sprache:
en
Key publication:
Nein
Peer reviewed:
Ja
International:
Ja
Book review:
Nein
commissioned:
not commissioned
Professional Journal:
Nein
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