Work

On the Continuity of Efficient Solution Mappings in Portfolio Optimization

Year: 2025

Type: article

Abstract: This paper investigates the stability of a portfolio optimization model. After obtaining explicit analytical expressions for the sets of efficient and weakly efficient portfolios and analyzing their structural characteristics, we developed a corresponding framework for stability analysis. Through this framework, we observed that the stability of the solution set mappings, including outer-semicontinuity, inner-semicontinuity and Lipschitz continuity, is closely related to the ranking of the assets’ expected returns. This understanding enables a shift in stability assessment from traditional numerical simulation towards algebraic verification of asset parameters, potentially offering a more effective approach for stability analysis in this class of models.

Source: Mathematics

DOI: 10.3390/math13233793

Authors: Jia Liu, Hongyu Yang

Institution: Civil Aviation Flight University of China

Language: English

Topic: Risk and Portfolio Optimization

Subfield: Management Science and Operations Research

Field: Decision Sciences

Domain: Social Sciences

Open Access status: gold

Estimated APC paid: $3,137

Funder: Fundamental Research Funds for the Central Universities