Dresden 2014 – wissenschaftliches Programm
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SOE: Fachverband Physik sozio-ökonomischer Systeme
SOE 6: Poster Session
SOE 6.5: Poster
Montag, 31. März 2014, 18:00–20:00, P2
Time-dependent Optimization of the Markowitz Model with Simulated Annealing — •Jan Jurczyk1, Johannes Schneider2, and Ingo Morgenstern1 — 1Universität Regensburg — 2Universität Mainz
We investigate portfolio properties connected to the Markowitz Model. The introduction of observables other than average return and risk allows us to see a more detailed picture of the modern portfolio theory introduced by Markowitz. This gives us a better understanding of the efficient frontier behavior. We utilize a successful optimization algorithm based on Simulated Annealing and use a similar approach as with spin glass optimization methodology. The time-dependent resolution of the critical points within the optimization process leads to one explanation how financial bubbles can occur in the Mean-Variance Model