Portfolio Optimization with Trade Paring Constraints

14 Pages Posted: 27 Apr 2011

See all articles by Xu Rong

Xu Rong

affiliation not provided to SSRN

Scott Liu

MSCI Inc.

Date Written: February 9, 2011

Abstract

Trade paring constraints enable portfolio managers to control the number of trades when constructing and rebalancing their portfolios. Allowing users to set trade paring constraints is a new feature in the Barra Optimizer (first available in Aegis 4.4 and also in Barra Open Optimizer 1.2). Portfolio optimization problems involving trade paring constraints are difficult to solve. In this paper, we show that the integrated trade paring approach in the Barra Optimizer, which consists of two innovative, intuitive and complementary heuristics, is viable and effective.

Keywords: Portfolio Optimization Trade Paring Constraints managers Portfolio Construction Optimization Investment Management Barra Aegis 4.4

Suggested Citation

Rong, Xu and Liu, Scott, Portfolio Optimization with Trade Paring Constraints (February 9, 2011). MSCI Barra Research Paper No. 2011-06. Available at SSRN: https://ssrn.com/abstract=1823627 or http://dx.doi.org/10.2139/ssrn.1823627

Xu Rong (Contact Author)

affiliation not provided to SSRN ( email )

Scott Liu

MSCI Inc. ( email )

88 Pine Street
2nd Floor
New York, NY 10005
United States

Register to save articles to
your library

Register

Paper statistics

Downloads
294
rank
97,002
Abstract Views
1,362
PlumX Metrics