Optimal Financial Portfolios

The classes of reward-risk optimization problems that arise from different choices of reward and risk measures are considered. In certain examples the generic problem reduces to linear or quadratic programming problems. An algorithm based on a sequence of convex feasibility problems is given for the general quasi-concave ratio problem. Reward-risk ratios that are appropriate in particular for non-normal assets return distributions and are not quasi-concave are also considered.

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Year of publication:	2007
Authors:	Stoyanov, S. V. ; Rachev, S. T. ; Fabozzi, F. J.
Published in:	Applied Mathematical Finance. - Taylor & Francis Journals, ISSN 1350-486X. - Vol. 14.2007, 5, p. 401-436
Publisher:	Taylor & Francis Journals
Subject:	Reward-risk ratio \| optimal portfolio \| risk measure \| efficent frontier

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005495420