Effective solving Portfolio Optimization Problems by means of a Multi-Period Diversification model

摘要

A multi-period model for Portfolio optimization problems including a diversification quadratic constraint is considered in this paper. It is designed to minimize the risk, imposing a restriction on the return to be not less than a desired value. An illustrative example with 6 assets, based on data for 131 months historical period is constructed. The formulated optimization problem is solved for 10 different values of desired return by means of the Interior point method in Matlab’sfminconsolver. The experimental results show that the proposed optimization model is effective and successful in solving constrained multi-period portfolio optimization problems.