Physical Sciences and Mathematics Commons^™

Using Semialgebraic Parametric Analysis By Metaprogramming In Portfolio Optimization, Philip Blaine Meersman

Lewis Honors College Capstone Collection

One classic problem in quantitative finance is portfolio optimization, which consists of assigning weights to assets in a portfolio to maximize one’s expected return while keeping the level of risk at a desired level. This problem can be modeled as a linear program (LP), using a risk aversion parameter mu. For a given single value of mu, the LP can be solved using any standard LP solver. In this work, however, the problem is considered parametrically: the optimal solution is sought for every possible value of mu. This describes how weights to the portfolio assets would be assigned from the …