英文标题：
《Cardinality constrained portfolio selection via factor models》
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作者：
Juan Francisco Monge
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最新提交年份：
2017
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英文摘要：
In this paper we propose and discuss different 0-1 linear models in order to solve the cardinality constrained portfolio problem by using factor models. Factor models are used to build portfolios to track indexes, together with other objectives, also need a smaller number of parameters to estimate than the classical Markowitz model. The addition of the cardinality constraints limits the number of securities in the portfolio. Restricting the number of securities in the portfolio allows us to obtain a concentrated portfolio, reduce the risk and limit transaction costs. To solve this problem, a pure 0-1 model is presented in this work, the 0-1 model is constructed by means of a piecewise linear approximation. We also present a new quadratic combinatorial problem, called a minimum edge-weighted clique problem, to obtain an equality weighted cardinality constrained portfolio. A piecewise linear approximation for this problem is presented in the context of a multi factor model. For a single factor model, we present a fast heuristic, based on some theoretical results to obtain an equality weighted cardinality constraint portfolio. The consideration of a piecewise linear approximation allow us to reduce significantly the computation time required for the equivalent quadratic problem. Computational results from the 0-1 models are compared to those using a state-of-the-art Quadratic MIP solver.
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中文摘要：
本文提出并讨论了不同的0-1线性模型，以利用因子模型求解基数约束投资组合问题。因子模型用于构建投资组合以跟踪指数，与其他目标一起，也需要比经典的马科维茨模型更少的参数来估计。基数约束的增加限制了投资组合中证券的数量。限制投资组合中证券的数量可以使我们获得集中的投资组合，降低风险并限制交易成本。为了解决这个问题，本文提出了一个纯0-1模型，通过分段线性逼近的方法构造了0-1模型。我们还提出了一个新的二次组合问题，称为最小边加权团问题，以获得一个等式加权基数约束的投资组合。在多因素模型的背景下，给出了该问题的分段线性近似。对于单因素模型，我们基于一些理论结果提出了一种快速启发式方法，以获得一个等式加权基数约束投资组合。考虑分段线性近似可以显著减少等效二次问题所需的计算时间。将0-1模型的计算结果与使用最先进的二次MIP解算器的结果进行比较。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Portfolio Management 项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
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