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(Reference retrieved automatically from Web of Science through information on FAPESP grant and its corresponding number as mentioned in the publication by the authors.)

Portfolio optimization through Kriging methods

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da Barrosa, Marcelo Rosario ; Salles, Arthur Valle ; Ribeiro, Celma de Oliveira
Total Authors: 3
Document type: Journal article
Source: APPLIED ECONOMICS; v. 48, n. 50, p. 4894-4905, OCT 2016.
Web of Science Citations: 1

This article presents a new methodology for optimizing financial asset portfolios. The proposed methodology, based on the Kriging method, allows for approximating the risk surface - and thus the optimal solution to the problem - in a generalized fashion, relaxing every restrictive hypothesis inherent to the available methods and with the ability to estimate the error in the risk surface approximation. Illustratively, the proposed methodology is applied to the portfolio problem with the Variance, VaR and CVaR as objective functions. The results are compared to those obtained using the Khun-Tucker technique, for the former, and the Rockafellar method, for the latter. (AU)

FAPESP's process: 14/50279-4 - Brasil Research Centre for Gas Innovation
Grantee:Julio Romano Meneghini
Support type: Research Grants - Research Centers in Engineering Program