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3981. Optimal portfolios' weights and rank-size shapes
Invited abstract in session WC-2: Portfolio Optimization: Models and Methods, stream OR in Banking, Finance and Insurance: New Tools for Risk Management.
Wednesday, 12:30-14:00Room: Glassalen (building: 101)
Authors (first author is the speaker)
| 1. | Alessio Di Paolo
|
| Business Studies, Roma Tre University | |
| 2. | Roy Cerqueti
|
| Department of Social and Economic Sciences, Sapienza University of Rome | |
| 3. | Francesco Cesarone
|
| Department of Business Studies, Roma Tre University | |
| 4. | Valerio Ficcadenti
|
| Business School, London South Bank University |
Abstract
In this work, we study the relationship between the mean-variance-based portfolio optimization algorithms' inputs parameters mu and Sigma and the rank-size function's law's estimated parameters from the best fit on the resulting sorted weights distribution. The objective is to explore the way weights describe a unified framework once they are ranked according to their sizes and, at the same time, the implications on the optimal allocation outcomes. Indeed, characterizing portfolio weights through rank-size curve parameters allows us to understand how portfolio risk and return vary as these parameters change.
Keywords
- Risk Analysis and Management
- Finance and Banking
- Optimization Modeling
Status: accepted
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