Sharpe-Ratio Portfolio in Controllable Markov Chains: Analytic and Algorithmic Approach for Second Order Cone Programming

Lesly Lisset Ortiz-Cerezo; Alin Andrei Carsteanu; Julio Bernardo Clempner

doi:10.3390/math10183221

Sharpe-Ratio Portfolio in Controllable Markov Chains: Analytic and Algorithmic Approach for Second Order Cone Programming

Título traducido de la contribución: Cartera de relaciones de Sharpe en cadenas de Markov controlables: enfoque analítico y algorítmico para la programación de conos de segundo orden

Lesly Lisset Ortiz-Cerezo, Alin Andrei Carsteanu, Julio Bernardo Clempner

Escuela Superior de Física y Matemáticas (ESFM)

Producción científica: Contribución a una revista › Artículo › revisión exhaustiva

4 Citas (Scopus)

Resumen

The Sharpe ratio is a measure based on the theory of mean variance, it is the measure of the performance of a portfolio when the risk can be measured through the standard deviation. This paper suggests a Sharpe-ratio portfolio solution using a second order cone programming (SOCP). We use the penalty-regularized method to represent the nonlinear portfolio problem. We present a computationally tractable way to determining the Sharpe-ratio portfolio. A Markov chain structure is employed to represent the underlying asset price process. In order to determine the optimal portfolio in Markov chains, a new hybrid optimization programming method for SOCP is proposed. The suggested method’s efficiency and efficacy are demonstrated using a numerical example.

Título traducido de la contribución	Cartera de relaciones de Sharpe en cadenas de Markov controlables: enfoque analítico y algorítmico para la programación de conos de segundo orden
Idioma original	Inglés
Número de artículo	3221
Publicación	Mathematics
Volumen	10
N.º	18
DOI	https://doi.org/10.3390/math10183221
Estado	Publicada - sep. 2022

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Profundice en los temas de investigación de 'Cartera de relaciones de Sharpe en cadenas de Markov controlables: enfoque analítico y algorítmico para la programación de conos de segundo orden: Analytic and Algorithmic Approach for Second Order Cone Programming'. En conjunto forman una huella única.

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abstract = "The Sharpe ratio is a measure based on the theory of mean variance, it is the measure of the performance of a portfolio when the risk can be measured through the standard deviation. This paper suggests a Sharpe-ratio portfolio solution using a second order cone programming (SOCP). We use the penalty-regularized method to represent the nonlinear portfolio problem. We present a computationally tractable way to determining the Sharpe-ratio portfolio. A Markov chain structure is employed to represent the underlying asset price process. In order to determine the optimal portfolio in Markov chains, a new hybrid optimization programming method for SOCP is proposed. The suggested method{\textquoteright}s efficiency and efficacy are demonstrated using a numerical example.",

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