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by GiuseppeAlesii
June 20th, 2019, 9:32 pm
Forum: Numerical Methods Forum
Topic: Expected Portfolio Return Maximization Formulation
Replies: 9
Views: 1374

Re: Expected Portfolio Return Maximization Formulation

hi there, I am looking for -- a numerical method  and -- a closed form solution  for the expected return formulation of the classical mean variance portfolio optimization problem. max w (w' \mu)  s.t. w' \Sigma w = \sigma 2 0 w' i = 1 Could someone please let me know some references about this? Goo...
by GiuseppeAlesii
March 14th, 2018, 10:14 pm
Forum: Numerical Methods Forum
Topic: Expected Portfolio Return Maximization Formulation
Replies: 9
Views: 1374

Re: Expected Portfolio Return Maximization Formulation

I am probably missing something, but why isn't every solution to your problem also a solution to what you call the 'dual problem'? If so, just use the latter. there are some references which hint to a possible solution with a Lagrangian, for instance on page 7 in  https://ocw.mit.edu/courses/mathem...
by GiuseppeAlesii
March 14th, 2018, 4:56 pm
Forum: Numerical Methods Forum
Topic: Expected Portfolio Return Maximization Formulation
Replies: 9
Views: 1374

Re: Expected Portfolio Return Maximization Formulation

I am probably missing something, but why isn't every solution to your problem also a solution to what you call the 'dual problem'? If so, just use the latter. there are some references which hint to a possible solution with a Lagrangian, for instance on page 7 in  https://ocw.mit.edu/courses/mathem...
by GiuseppeAlesii
March 12th, 2018, 2:38 pm
Forum: Numerical Methods Forum
Topic: Expected Portfolio Return Maximization Formulation
Replies: 9
Views: 1374

Re: Expected Portfolio Return Maximization Formulation

hi there, I am looking for -- a numerical method  and -- a closed form solution  for the expected return formulation of the classical mean variance portfolio optimization problem. max w (w' \mu)  s.t. w' \Sigma w = \sigma 2 0 w' i = 1 Could someone please let me know some references about this? The...
by GiuseppeAlesii
March 12th, 2018, 9:45 am
Forum: Numerical Methods Forum
Topic: Expected Portfolio Return Maximization Formulation
Replies: 9
Views: 1374

Expected Portfolio Return Maximization Formulation

hi there, I am looking for -- a numerical method  and -- a closed form solution  for the expected return formulation of the classical mean variance portfolio optimization problem. max w (w' \mu)  s.t. w' \Sigma w = \sigma 2 0 w' i = 1 Could someone please let me know some references about this?
by GiuseppeAlesii
September 20th, 2017, 10:11 am
Forum: Book And Research Paper Forum
Topic: a review of market efficiency theories
Replies: 1
Views: 789

a review of market efficiency theories

I am looking for a state of the art review of market efficiency theories. I mean a review which, with both numerical examples and some empirical analysis, starts with the traditional efficient markets hypothesis EMH , lists the anomalies literature and their behavioral finance interpretation , e.g. ...
by GiuseppeAlesii
August 18th, 2017, 3:11 pm
Forum: General Forum
Topic: analytical solutions / closed forms for classical mean var. portfolio sel.
Replies: 5
Views: 710

Re: analytical solutions / closed forms for classical mean var. portfolio sel.

If i remember correctly, the first set optimization equations are derived using exponential utility. So the expected utility formula should be something like E(exp(-a*x)). Yet, I assume that you are rather interested in the closed form solution to this equation - this would make itself available by...
by GiuseppeAlesii
August 17th, 2017, 5:39 pm
Forum: General Forum
Topic: analytical solutions / closed forms for classical mean var. portfolio sel.
Replies: 5
Views: 710

analytical solutions / closed forms for classical mean var. portfolio sel.

could anyone tell me a reference where I can find the analytical solution of the risk aversion formulation of the classical mean variance portfolio optimization problem, max w (w' \mu - \lambda w' \Sigma w) s.t. w' i = 1  akin to the closed forms which can be derived through constrained optimization...
by GiuseppeAlesii
March 21st, 2014, 8:47 am
Forum: Numerical Methods Forum
Topic: Multidimensional binomial trees
Replies: 11
Views: 5811

Multidimensional binomial trees

<r>Probably you may find convenient reading two publications of mine:1) Alesii, Giuseppe. Esercizi e complementi di finanza aziendale Roma Aracne, 2008, find summary at <URL url="http://bit.ly/1awdE0FAs">http://bit.ly/1awdE0FAs</URL> you may notice, in the appendix there are the GAUSS codes of (Boyl...
by GiuseppeAlesii
January 9th, 2014, 7:52 pm
Forum: Numerical Methods Forum
Topic: Parallel Programming for Multivariate Lattices 2
Replies: 23
Views: 9188

Parallel Programming for Multivariate Lattices 2

<t>Yes it is possible. As a matter of fact, in my codes I use to price simultaneously 8 options, namely Call on max, Put on the max, Call on the min and Put on the min, in both European and American or Bermudan Styles.Moreover, my parallelization approach could be deployed also for impulse control B...
by GiuseppeAlesii
December 28th, 2013, 2:51 pm
Forum: Numerical Methods Forum
Topic: Parallel Programming for Multivariate Lattices 2
Replies: 23
Views: 9188

Parallel Programming for Multivariate Lattices 2

that may be a good idea. Thanks.
by GiuseppeAlesii
December 28th, 2013, 2:49 pm
Forum: Numerical Methods Forum
Topic: Parallel Programming for Multivariate Lattices 2
Replies: 23
Views: 9188

Parallel Programming for Multivariate Lattices 2

<r>Thanks for your suggestion.My paper is already thereclick here to be redirected to <URL url="http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2365005"><LINK_TEXT text="http://papers.ssrn.com/sol3/papers.cfm? ... id=2365005">http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2365005</LINK_TEXT><...
by GiuseppeAlesii
December 27th, 2013, 10:30 am
Forum: Numerical Methods Forum
Topic: Parallel Programming for Multivariate Lattices 2
Replies: 23
Views: 9188

Parallel Programming for Multivariate Lattices 2

<t>QuoteWhat's the rationale? It takes years to publish and in the meantime you need feedback.this is the second paper in which I am caught in a covetous interest in my codes while my essay becomes second order.It seems to be the programmer's curse. People are not interested in what you write but in...
by GiuseppeAlesii
December 22nd, 2013, 10:39 am
Forum: Numerical Methods Forum
Topic: Parallel Programming for Multivariate Lattices 2
Replies: 23
Views: 9188

Parallel Programming for Multivariate Lattices 2

<t>QuoteSome more 2 cents...those remarks and comments are really precious for me. I am working in a complete intellectual vacuum, hence they are worth much more than 2 centsQuoteA. I think a 2-factor worked example A-Z on a 4/8 core commodity machine would be a good idea as it is not 100% clear wha...
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