Case study background and problem formulations
Instructions for optimization with PSG Run-File, PSG MATLAB Toolbox, PSG MATLAB Subroutines and PSG R.
PROBLEM 1: problem_omega
Maximize Avg_g
subject to
Pm_pen ≤ Const1 (downside loss constraint)
Linear = Const2 (budget constraint)
Const3 ≥ Linear ≤ Const4 (constraints on allocations to strategies)
Const5 ≥ X ≤ Const6 (constraints on allocations to individual managers)
Box constraints (box constraints for individual positions)
——————————————————————–
Avg_g = Average Gain
Pm_pen = Partial Moment Penalty for Loss
Box constraints = constraints on individual decision variables
——————————————————————–
Maximize Avg_g
subject to
Pm_pen ≤ Const1 (downside loss constraint)
Linear = Const2 (budget constraint)
Const3 ≥ Linear ≤ Const4 (constraints on allocations to strategies)
Const5 ≥ X ≤ Const6 (constraints on allocations to individual managers)
Box constraints (box constraints for individual positions)
——————————————————————–
Avg_g = Average Gain
Pm_pen = Partial Moment Penalty for Loss
Box constraints = constraints on individual decision variables
——————————————————————–
# of Variables | # of Scenarios | Objective Value | Solving Time, PC 3.14GHz (sec) | ||||
Dataset | 10 | 641 | 0.12142 | <0.01 | |||
---|---|---|---|---|---|---|---|
Environments | |||||||
Run-File | Problem Statement | Data | Solution | ||||
Matlab Toolbox | Data | ||||||
Matlab Subroutines | Matlab Code | Data | |||||
R | R Code | Data |
CASE STUDY SUMMARY
This case study demonstrates an Omega optimization setup for a portfolio optimization problem. A fund of funds blends the risk-return profiles of various hedge fund managers/strategies to meet investor requirements. The data for this case study are prepared with the Converter_Omega_Portfolio. To install this converter you should download installation file Converter_Omega_Portfolio_setup.zip in the Client Area () from the Download page by selecting the “Case Studies” downloading option.
This case study demonstrates an Omega optimization setup for a portfolio optimization problem. A fund of funds blends the risk-return profiles of various hedge fund managers/strategies to meet investor requirements. The data for this case study are prepared with the Converter_Omega_Portfolio. To install this converter you should download installation file Converter_Omega_Portfolio_setup.zip in the Client Area () from the Download page by selecting the “Case Studies” downloading option.