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Workshop on Optimization in Finance
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06w5028 Optimization problems in financial economics
We propose a workshop that would focus on several aspects of optimization problems appearing in finance and economics, and the questions that these raise in terms of mathematical theories. We focus our attention on non linear and/or high-dimensional optimization problems that are commonly encountered in portfolio allocation, asset pricing and contract theory. We aim to organize a workshop where the recent theoretical and numerical methods on optimizations methods are applied in meaningful financial economics problems. While many theoretical and numerical advances have been recently realized in the field of optimization ...
Send correspondence to Lorenzo Garlappi, McCombs School of Business, University of Texas at Austin, Austin, TX 78712; Phone: (512) 471-5682, Fax: (512) 471-5073; email: lorenzo.garlappi{at}mccombs.utexas.edu . JEL Classification: G11 We evaluate the out-of-sample performance of the sample-based mean-variance model, and its extensions designed to reduce estimation error, relative to the naive 1/ N portfolio. Of the 14 models we evaluate across seven empirical datasets, none is consistently better than the 1/ N rule in terms of Sharpe ratio, certainty-equivalent return, or turnover, which ... Read More
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