Computational challenges in portfolio management

Author

Haugh, Martin B. ; Lo, Andrew W.

Author_Institution

Sloan Sch. of Manage., MIT, Cambridge, MA, USA

Volume

3

Issue

3

fYear

2001

Firstpage

54

Lastpage

59

Abstract

The authors describe a relatively simple problem that all investors face: managing a portfolio of financial securities over time to optimize a particular objective function. They show how complex such a problem can become when real-world constraints are incorporated into its formulation. More specifically, the authors present the basic dynamic portfolio optimization problem and then consider three aspects of it: taxes, investor preferences, and portfolio constraints. These three issues are by no means exhaustive, they merely illustrate examples of the kinds of challenges financial engineers face today

Keywords

mathematics computing; optimisation; securities trading; basic dynamic portfolio optimization problem; computational challenges; financial engineers; financial security management; investor preferences; objective function optimization; portfolio constraints; portfolio management; real-world constraints; taxes; Bonding; Computer industry; Finance; Financial management; Mathematics; Physics computing; Portfolios; Professional societies; Scientific computing; Security;

fLanguage

English

Journal_Title

Computing in Science & Engineering

Publisher

ieee

ISSN

1521-9615

Type

jour

DOI

10.1109/5992.919267

Filename

919267