Stoyanov, S. V.; Rachev, S. T.; Fabozzi, F. J. - In: Applied Mathematical Finance 14 (2007) 5, pp. 401-436
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...