Projects funded by the NCN

Information on the principal investigator and host institution

Information of the project and the call

Keywords

Equipment

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Construction of robust investment portfolios by means of the generalized ordered weighted averages

2012/07/B/HS4/03076

Keywords:

portfolio optimization portfolio mangement financial engineering operations research robustness risk decision support

Descriptors:

  • HS4_3: Econometrics, statistical methods
  • HS4_6: Financial markets, international finance, public finance

Panel:

HS4 - Individuals, institutions, markets: economics, finance, management, demography, social and economic geography, urban studies

Host institution :

Politechnika Warszawska, Wydział Elektroniki i Technik Informacyjnych

woj. mazowieckie

Other projects carried out by the institution 

Principal investigator (from the host institution):

prof. Włodzimierz Ogryczak 

Number of co-investigators in the project: 5

Call: OPUS 4 - announced on 2012-09-15

Amount awarded: 442 949 PLN

Project start date (Y-m-d): 2013-07-01

Project end date (Y-m-d): 2016-09-30

Project duration:: 39 months (the same as in the proposal)

Project status: Project settled

Equipment purchased [PL]

  1. komputer przenośny.
  2. Serwer obliczeniowy (12 000 PLN)
  3. Deterministyczny nieliniowy solwer optymalizacyjny BARON (15 990 PLN)

Information in the final report

  • Publication in academic press/journals (5)
  • Articles in post-conference publications (4)
  • Book publications / chapters in book publications (3)
  1. Efficient optimization of the reward-risk ratio with polyhedral risk measures
    Authors:
    Włodzimierz Ogryczak, Michał Przyłuski, Tomasz Śliwiński
    Academic press:
    Mathematical Methods of Operations Research (rok: 2017, tom: 86, strony: 625-653), Wydawca: Springer
    Status:
    Published
    DOI:
    10.1007/s00186-017-0613-1 - link to the publication
  2. Twenty Years of Linear Programming Based Portfolio Optimization
    Authors:
    Renata Mansini, Wlodzimierz Ogryczak, M. Grazia Speranza
    Academic press:
    European Journal of Operational Research (rok: 2014, tom: 234, strony: 518 - 535), Wydawca: Elsevier B.V.
    Status:
    Published
    DOI:
    10.1016/j.ejor.2013.08.035 - link to the publication
  3. Zastosowanie rozkładu najgorszego przypadku do konstrukcji stabilnego portfela inwestycji finansowych
    Authors:
    Adam Krzemienowski
    Academic press:
    Studia Ekonomiczne Zeszyty Naukowe Uniwersytetu Ekonomicznego w Katowicach (rok: 2015, tom: 248, strony: 150-160), Wydawca: Uniwersytet Ekonomiczny w Katowicach
    Status:
    Published
    DOI:
    brak - link to the publication
  4. Enhanced Index Tracking with CVaR-Based Ratio Measures
    Authors:
    Gianfranco Guastaroba, Renata Mansini, Wlodzimierz Ogryczak, M. Grazia Speranza
    Academic press:
    Annals of Operations Research (), Wydawca: Springer
    Status:
    Submitted
    DOI:
    brak - link to the publication
  5. Linear Programming Models based on Omega Ratio for the Enhanced Index Tracking Problem
    Authors:
    Gianfranco Guastaroba, Renata Mansini, Wlodzimierz Ogryczak, M. Grazia Speranza
    Academic press:
    European Journal of Operational Research (rok: 2016, tom: 251, strony: 938-956), Wydawca: Elsevier B.V.
    Status:
    Published
    DOI:
    10.1016/j.ejor.2015.11.037 - link to the publication
  1. Efficient computation of the tangency portfolio by linear programming
    Authors:
    Włodzimierz Ogryczak, Tomasz Śliwiński
    Conference:
    The 7th International Conference on Computational Methods (ICCM2016) (rok: 2016, ), Wydawca: Scientech Publisher llc
    Data:
    konferencja 1st-4th August 2016
    Status:
    Published
    DOI:
    link to the publication
  2. On a Constrained Regression Problem and its Convex Optimisation Formulation
    Authors:
    Michał Przyłuski
    Conference:
    Proceedings of the 8 th International Conference on Knowledge, Information and Creativity Support Systems (rok: 2013, ), Wydawca: Progress & Business Publishers
    Data:
    konferencja 7-9.11.2013
    Status:
    Published
  3. Portfolio Optimization with Reward-Risk Ratio Measure based on the Conditional Value-at-Risk
    Authors:
    Włodzimierz Ogryczak, Michał Przyłuski, Tomasz Śliwiński
    Conference:
    The World Congress on Engineering and Computer Science 2015, WCECS 2015 (rok: 2015, ), Wydawca: IAENG, Lecture Notes in Engineering and Computer Science
    Data:
    konferencja October 21-23, 2015
    Status:
    Published
    DOI:
    link to the publication
  4. Portfolio Selection by Reward-Risk Ratio Optimization with CVaR Risk Measure
    Authors:
    Włodzimierz Ogryczak, Michał Przyłuski, Tomasz Śliwiński
    Conference:
    AIRO 2015 45th Annual Conference of the Italian Operational Research Society (rok: 2015, ), Wydawca: AIRO
    Data:
    konferencja September 7-10 2015
    Status:
    Published
  1. Rozdz. 1-7 (Cała książka)
    Authors:
    Renata Mansini, Wlodzimierz Ogryczak, M. Grazia Speranza
    Book:
    Linear and Mixed Integer Programming for Portfolio Optimization (rok: 2015, tom: 1, strony: 1-120), Wydawca: Springer International Publishing AG Switzerland
    Status:
    Published
  2. Chapter 8: Portfolio Optimization and Transaction Costs
    Authors:
    Renata Mansini, Wlodzimierz Ogryczak, M. Grazia Speranza
    Book:
    Quantitative Financial Risk Management: Theory and Practice (rok: 2015, tom: 1, strony: 212-241), Wydawca: John Wiley & Sons, Inc.
    Status:
    Published
  3. Determining OWA Operator Weights by Maximum Deviation Minimization
    Authors:
    Włodzimierz Ogryczak, Jarosław Hurkala
    Book:
    PReMI 2015, Lecture Notes in Computer Science (rok: 2015, tom: 9124, strony: 335-344), Wydawca: Springer International Publishing AG Switzerland
    Status:
    Published

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