摘要
Marginalriskrepresentstheriskcontributionofanindividualassettotheriskoftheentireportfolio.Inthispaper,weinvestigatetheportfolioselectionproblemwithdirectmarginalriskcontrolinalinearconicprogrammingframework.'Theoptimizationmodelinvolvedisanonconvexquadraticallyconstrainedquadraticprogramming(QCQP)problem.WefirsttransformtheQCQPproblemintoalinearconicprogrammingproblem,andthenapproximatetheproblembysemidefiniteprogramming(SDP)relaxationproblemsoversomesubrectangles.InordertoimprovethelowerboundsobtainedfromtheSDPrelaxationproblems,linearandquadraticpolarcutsareintroducedfordesigningabranch-and-cutalgorithm,thatmayyieldane-optimalglobalsolution(withrespecttofeasibilityandoptimality)inafinitenumberofiterations.ByexploringthespecialstructureoftheSDPrelaxationproblems,anadaptivebranch-and-cutruleisemployedtospeedupthecomputation.Theproposedalgorithmistestedandcomparedwithaknownmethodintheliteratureforportfolioselectionproblemswithhundredsofassetsandtensofmarginalriskcontrolconstraints.
出版日期
2013年04月14日（中国期刊网平台首次上网日期，不代表论文的发表时间）
