We generalize the disjunctive approach of Balas, Ceria, and Cornuéjols [2] and devevlop a
branch-and-cut method for solving 0-1 convex programming problems. We show that cuts …

The authors explore the negative effect that estimation error has on mean-variance optimal
portfolios. It is shown that asset weights in mean-variance optimal portfolios are very …

I. hl heat exchange at the surface of a globe thermometer in cquilihrium with its environment
is desk bed. A semitheoretical formula is derived, and presented graphically, to relate the …

… In this article, Ceria, Saxena, and Stubbs focus on the interaction of three key elements
that are part of the quantitative portfolio manage» ment process, namely, the expected returns …

… We refer the reader to Stubbs and Vandenbussche [2010] for further discussion of Equation
(1) and its relation to … We refer the reader to Saxena and Stubbs [2010b] for further details. …

… convex programs was developed by Stubbs and Mehrotra [15… expect that the projected region
in Stubbs and Mehrotra [15] is … the relaxations of (1) studied in Stubbs and Mehrotra [15]. In …

Mean–variance optimization of a single portfolio, as introduced by Markowitz (1952, 1959),
is well studied and well understood. Its influence can be found in many branches of the …

A common criticism of risk models is that they have a tendency to underestimate the risk
associated with optimized portfolios. Quantitative portfolio managers have historically used a …

In a typical Institutional Separately Managed Account (SMA) framework, client portfolios that
follow a similar strategy are individually optimized and the resulting trades are pooled …

… where T is the number of periods and RA is the average active return across all periods.
We decompose the ex-post risk by attributing a portion to each constraint or objective term …