Filter Results:
(207)
Show Results For
- All HBS Web (207)
- Faculty Publications (46)
Show Results For
- All HBS Web (207)
- Faculty Publications (46)
Page 1 of 207
Results →
- Article
Portfolio Value-at-Risk Optimization for Asymmetrically Distributed Asset Returns
By: Joel Goh, Kian Guan Lim, Melvyn Sim and Weina Zhang
We propose a new approach to portfolio optimization by separating asset return distributions into positive and negative half-spaces. The approach minimizes a newly-defined Partitioned Value-at-Risk (PVaR) risk measure by using half-space statistical information. Using... View Details
Goh, Joel, Kian Guan Lim, Melvyn Sim, and Weina Zhang. "Portfolio Value-at-Risk Optimization for Asymmetrically Distributed Asset Returns." European Journal of Operational Research 221, no. 2 (September 1, 2012): 397–406.
- October 1984
- Article
Large-Scale Portfolio Optimization
By: André Perold
Keywords: Financial Instruments
Perold, André. "Large-Scale Portfolio Optimization." Management Science 30, no. 10 (October 1984): 1143–1160.
- 2017
- Working Paper
Optimal Tilts: Combining Persistent Characteristic Portfolios
By: Malcolm Baker, Ryan Taliaferro and Terry Burnham
We examine the optimal weighting of four tilts in US equity markets from 1968 through 2014. We define a “tilt” as a characteristic-based portfolio strategy that requires relatively low annual turnover. This is a continuum, with small size, a very persistent... View Details
Baker, Malcolm, Ryan Taliaferro, and Terry Burnham. "Optimal Tilts: Combining Persistent Characteristic Portfolios." Working Paper, March 2017.
- Fourth Quarter 2017
- Article
Optimal Tilts: Combining Persistent Characteristic Portfolios
By: Malcolm Baker, Ryan Taliaferro and Terry Burnham
We examine the optimal weighting of four tilts in U.S. equity markets from 1968 through 2014. We define a “tilt” as a characteristic-based portfolio strategy that requires relatively low annual turnover. This is a continuum, with small size (a very persistent... View Details
Baker, Malcolm, Ryan Taliaferro, and Terry Burnham. "Optimal Tilts: Combining Persistent Characteristic Portfolios." Financial Analysts Journal 73, no. 4 (Fourth Quarter 2017): 75–89.
- Research Summary
Optimal Portfolios with Housing Derivatives
Households that contemplate moving to different cities or trading up or down in the fu-ture are exposed to substantial housing risk. In order to mitigate this risk, I derive the op-timal portfolios using housing futures. In addition to the optimum growth portfolio,... View Details
- July–August 2011
- Article
Robust Optimization Made Easy with ROME
By: Joel Goh and Melvyn Sim
We introduce ROME, an algebraic modeling toolbox for a class of robust optimization problems. ROME serves as an intermediate layer between the modeler and optimization solver engines, allowing modelers to express robust optimization problems in a mathematically... View Details
Keywords: Robust Optimization; Algebraic Modeling Toolbox; MATLAB; Stochastic Programming; Decision Rules; Inventory Control; PERT; Project Management; Portfolio Optimization; Information Technology; Mathematical Methods; Operations
Goh, Joel, and Melvyn Sim. "Robust Optimization Made Easy with ROME." Operations Research 59, no. 4 (July–August 2011): 973–985.
- 07 Sep 2006
- Working Paper Summaries
Optimal Value and Growth Tilts in Long-Horizon Portfolios
Keywords: by Jakub W. Jurek & Luis M. Viceira
- Article
Optimal Value and Growth Tilts in Long-Horizon Portfolios
By: Jakub W. Jurek and Luis M. Viceira
We develop an analytical solution to the dynamic portfolio choice problem of an investor with power utility defined over wealth at a finite horizon, who faces a time-varying investment opportunity set, parameterized using a flexible vector autoregression. We apply this... View Details
Keywords: Decision Choices and Conditions; Private Equity; Investment; Investment Portfolio; Asset Pricing; Value
Jurek, Jakub W., and Luis M. Viceira. "Optimal Value and Growth Tilts in Long-Horizon Portfolios." Review of Finance 15, no. 1 (January 2011): 29–74.
- August 2016 (Revised July 2017)
- Background Note
Brand Portfolio Strategy and Brand Architecture
By: Jill Avery
While companies choose to brand their products and services in many different ways, there are some central tenets that help define an optimal brand portfolio and associated brand architecture. Brand portfolio strategy involves the design, deployment, and management of... View Details
Keywords: Brand Management; Brand Portfolio; Brand Extension; Brand Portfolio Strategy; Brand Architecture; Consumer Behavior; Marketing; Brands and Branding; Marketing Strategy
Avery, Jill. "Brand Portfolio Strategy and Brand Architecture." Harvard Business School Background Note 517-021, August 2016. (Revised July 2017.)
- 2023
- Working Paper
Interest-Rate Risk and Household Portfolios
By: Sylvain Catherine, Max Miller, James Paron and Natasha Sarin
How are households exposed to interest-rate risk? When rates fall, households face lower future expected returns but those holding long-term assets—disproportionately the wealthy and middle-aged—experience capital gains. We study the hedging demand for long-term assets... View Details
Keywords: Portfolio Choice; Social Security; Interest Rates; Investment Portfolio; Equality and Inequality; Welfare
Catherine, Sylvain, Max Miller, James Paron, and Natasha Sarin. "Interest-Rate Risk and Household Portfolios." Working Paper, October 2023. (Reject and Resubmit, American Economic Review.)
- 1981
- Chapter
Sparsity and Piecewise Linearity in Large Portfolio Optimization Problems
By: André Perold and Harry M. Markowitz
- April 2001
- Article
Optimal Portfolio Choice for Long-Horizon Investors with Nontradable Labor Income
By: Luis M. Viceira
Viceira, Luis M. "Optimal Portfolio Choice for Long-Horizon Investors with Nontradable Labor Income." Journal of Finance 56, no. 2 (April 2001): 433–470.
- 1972
- Chapter
Optimal Utilization of Market Forecasts and the Evaluation of Portfolio Performance
By: Michael Jensen
Keywords: Investment Portfolio; Financial Markets; Forecasting and Prediction; Performance Evaluation
Jensen, Michael. "Optimal Utilization of Market Forecasts and the Evaluation of Portfolio Performance." In Mathematical Methods in Finance, edited by G. P. Szego and Karl Shell. North-Holland Publishing Company, 1972.
- 2019
- Working Paper
Optimal Interventions for Increasing Healthy Food Consumption Among Low Income Households
By: Retsef Levi, Elisabeth Paulson and Georgia Perakis
The federal government currently spends over $100 billion per year on policies aimed to increase fruit and vegetable (FV) consumption among low income households. These include price-, nutrition education-, and access-related interventions. Currently, the government... View Details
Keywords: Bi-level Optimization; Optimal Subsidies; Public Policy; Food Policy; Central Planner; Government Administration; Poverty; Food; Nutrition
Levi, Retsef, Elisabeth Paulson, and Georgia Perakis. "Optimal Interventions for Increasing Healthy Food Consumption Among Low Income Households." MIT Sloan Research Paper, No. 6053-19, November 2019.
- May 1974
- Article
Fallacy of the Log-Normal Approximation to Optimal Portfolio Decision Making over Many Periods
By: Robert C. Merton and Paul A. Samuelson
Merton, Robert C., and Paul A. Samuelson. "Fallacy of the Log-Normal Approximation to Optimal Portfolio Decision Making over Many Periods." Journal of Financial Economics 1 (May 1974): 67–94.
- 1989
- Other Unpublished Work
Optimal Portfolio Rules in Continuous Time When the Nonnegativity Constraint on Consumption is Binding
By: Robert C. Merton
Merton, Robert C. "Optimal Portfolio Rules in Continuous Time When the Nonnegativity Constraint on Consumption is Binding." December 1989. (In Chapter 6 of Continuous-Time Finance.)
- November–December 2014
- Article
Fairness and Efficiency in Multiportfolio Optimization
By: Dan A. Iancu and Nikolaos Trichakis
We deal with the problem faced by a portfolio manager in charge of multiple accounts. We argue that because of market impact costs, this setting differs in several subtle ways from the classical (single account) case, with the key distinction being that the performance... View Details
Iancu, Dan A., and Nikolaos Trichakis. "Fairness and Efficiency in Multiportfolio Optimization." Operations Research 62, no. 6 (November–December 2014): 1283–1301.
- January 2011
- Case
AIC Netbooks: Optimizing Product Assembly
By: Steven C. Wheelwright and Sunru Yong
AIC Systems, located in Taichung, Taiwan, is a manufacturer of printed circuit boards, primarily for motherboards and video cards for personal computers. The firm is considered an original design manufacturer (ODM) and takes an active role in innovating and designing... View Details
Keywords: Performance Management; Quantitative Analysis; Manufacturing; Production Planning; Production Management; Diversification; Production; Performance Efficiency; Product Design; Performance Improvement; Mobile Technology; Manufacturing Industry; Electronics Industry; Taiwan
Wheelwright, Steven C., and Sunru Yong. "AIC Netbooks: Optimizing Product Assembly." Harvard Business School Brief Case 114-245, January 2011.
- June 2016
- Article
Technology Choice and Capacity Portfolios under Emissions Regulation
By: David Drake, Paul R. Kleindorfer and Luk N. Van Wassenhove
We study the impact of emissions tax and emissions cap-and-trade regulation on a firm's technology choice and capacity decisions. We show that emissions price uncertainty under cap-and-trade results in greater expected profit than a constant emissions price under an... View Details
Keywords: Technology Management; Management; Technology; Service Operations; Environmental Sustainability
Drake, David, Paul R. Kleindorfer, and Luk N. Van Wassenhove. "Technology Choice and Capacity Portfolios under Emissions Regulation." Production and Operations Management 25, no. 6 (June 2016): 1006–1025. (Runner up, Wickham Skinner Award for the best paper published in Production and Operations Management during 2016.)
- 29 Nov 2016
- Working Paper Summaries