Work

Optimal Financial Portfolios

Year: 2007

Type: article

Abstract: 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.

Source: Applied Mathematical Finance

DOI: 10.1080/13504860701255292

Authors: S. V. Stoyanov, S. T. Rachev, F. J. Fabozzi

Institutions: Charles Schwab Corporation (United States), Texas Tech University, University of California, Santa Barbara, Yale University, Ecole des Hautes Etudes Commerciales du Nord

Language: English

Topic: Risk and Portfolio Optimization

Subfield: Management Science and Operations Research

Field: Decision Sciences

Domain: Social Sciences

Open Access status: green

OpenAlex ID: W1986220092

FWCI: 8.611

Cites: 32

Cited by: 109

Related to: 10