Zobrazeno 1 - 10
of 89
pro vyhledávání: '"Chanaka Edirisinghe"'
Publikováno v:
Operations Research.
Dangers of Ignoring Market Friction When Leveraging Financial Portfolios Portfolio leveraging is a standard industry practice to target higher fund returns, for example, in risk parity asset allocation. However, the existing models of optimal bet siz
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::f18552cfca81d298f170f0608ce75c67
https://doi.org/10.1287/opre.2023.2462
https://doi.org/10.1287/opre.2023.2462
Publikováno v:
Quantitative Finance. 22:303-319
We study [Roll, R., A mean/variance analysis of tracking error. J. Portfolio Manage., 1992, 18, 13–22.] conjecture that there exists an implicit value in index-tracking (IVIT) relative to forming m...
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::621c2e6011ec4dbf2f0a8dffd1512b03
https://doi.org/10.1080/14697688.2021.1959631
https://doi.org/10.1080/14697688.2021.1959631
Publikováno v:
European Journal of Operational Research. 294:746-759
We consider the problem of optimally deleveraging a high net-worth long-short portfolio in a short time period to position the fund favorably with respect to leverage and margin risks, in the face of an adverse outlook on future uncertainty. We devel
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::588193c083d67a068322d707a9d178b3
https://doi.org/10.1016/j.ejor.2021.02.016
https://doi.org/10.1016/j.ejor.2021.02.016
Autor:
Chanaka Edirisinghe, Yonggan Zhao
Publikováno v:
Applied Mathematical Finance. 27:422-456
Index funds that track a benchmark, such as the market cap-weighted S&P 500 index, tend to have portfolio holdings biased towards slower-growth large-cap equities that result in the fund’s under-pe...
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::7c875ea7333b3515823d9df9935c2064
https://doi.org/10.1080/1350486x.2021.1891554
https://doi.org/10.1080/1350486x.2021.1891554
Autor:
Jaehwan Jeong, Chanaka Edirisinghe
Publikováno v:
European Journal of Operational Research. 278:49-63
Multi-constrained indefinite separable quadratic optimization occurs in many practical applications. However, it is an NP-hard problem and its solution even for problems of moderate size is computationally tedious. Extending our previous work on sing
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::f92e3a74701412b483af241b2b2f16d1
https://doi.org/10.1016/j.ejor.2019.04.004
https://doi.org/10.1016/j.ejor.2019.04.004
Publikováno v:
Finance Research Letters. 47:102770
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::48341fe216e2e69d70020d4cb27ba886
https://doi.org/10.1016/j.frl.2022.102770
https://doi.org/10.1016/j.frl.2022.102770
Autor:
Chanaka Edirisinghe
Publikováno v:
SSRN Electronic Journal.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::7ac8c3056a3fccc220950af0bcc11bf9
https://doi.org/10.2139/ssrn.3995010
https://doi.org/10.2139/ssrn.3995010
Publikováno v:
SSRN Electronic Journal.
We study the impact of liquidity in optimal portfolio choice under leveraging to improve risk-adjusted and absolute returns. We consider a quasi-elastic market with continuous trading where temporary liquidity costs are sufficiently large relative to
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::b021868a60d9904529617bd197a935e7
https://doi.org/10.2139/ssrn.3730627
https://doi.org/10.2139/ssrn.3730627
Autor:
Jaehwan Jeong, Chanaka Edirisinghe
Publikováno v:
Journal of Risk and Financial Management; Volume 15; Issue 3; Pages: 98
This paper addresses the optimal rebalancing problem of a long–short portfolio with high net asset value under trading impact losses. The fund manager may employ leveraging as a tool to increase portfolio returns. However, to mitigate potential lev
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::f6c19f82eb32ab07a022abfc7d8e26b6
https://doi.org/10.3390/jrfm15030098
https://doi.org/10.3390/jrfm15030098