Foreign bias in Australian-domiciled mutual fund holdings

Mishra, Anil V.

doi:10.1016/j.pacfin.2016.06.004

Cited by 2 publications

(1 citation statement)

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“…These problems commonly have non-linear constraints for which previous solutions have required strong, often linear, assumptions in order to find solutions. Traditional methods for solving these problems abound and are diverse: recent examples include modelling asymmetric dependence in portfolio formulation using copula functions (Hatherley and Alcock, 2007;Low, 2018), pricing options allowing for stochastic volatility utilising L evy processes (Li et al, 2017), analysing foreign equity bias in mutual funds using Bayesian and other approaches (Mishra, 2016), and portfolio optimisation in the presence of transactions costs (Suh, 2016). Smith and Walsh (2013) provide an important review of the Capital Asset Pricing Model (CAPM) approach that underpins much of the portfolio optimisation research, highlighting the important implication that there is an infinite number of ex-post efficient portfolios.…”

Section: Introductionmentioning

confidence: 99%

Financial applications of semidefinite programming: a review and call for interdisciplinary research

Gepp

Harris

Vanstone

2019

Accounting & Finance

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Optimisation problems in finance commonly have non‐linear constraints for which previous solutions have required unrealistic assumptions. However, many of these can be efficiently solved as semidefinite programming (SDP) problems, which have less restrictive assumptions. Through review of the literature that uses SDP in finance, two major research streams are identified: portfolio optimisation and option pricing. Nevertheless, many finance researchers are unaware of SDP. One possible reason is that this research is often published in non‐finance journals. This paper aims to better integrate the SDP research to promote wider use of current findings and further interdisciplinary research, particularly in environmental finance.

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