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Optimal Portfolio Projections for Skew-Elliptically Distributed Portfolio Returns

Author

Listed:
  • Nicola Loperfido

    (Università degli Studi di Urbino “Carlo Bo”)

  • Tomer Shushi

    (Ben-Gurion University of the Negev)

Abstract

We define the concept of optimal portfolio projection, a procedure that projects the vector of weights of the portfolio return to a lower dimension such that one can explicitly solve the problem of optimal portfolio selection for any given risk measure. We study the class of skew-elliptically distributed risks and show that following the proposed procedure, we are able to obtain explicit optimal weights for such risks, with a dramatic reduction of the complexity of such an optimization problem.

Suggested Citation

  • Nicola Loperfido & Tomer Shushi, 2023. "Optimal Portfolio Projections for Skew-Elliptically Distributed Portfolio Returns," Journal of Optimization Theory and Applications, Springer, vol. 199(1), pages 143-166, October.
    • Handle: RePEc:spr:joptap:v:199:y:2023:i:1:d:10.1007_s10957-023-02252-x
    DOI: 10.1007/s10957-023-02252-x
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