Optimal Financial Portfolios
AbstractThe 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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Bibliographic InfoArticle provided by Taylor and Francis Journals in its journal Applied Mathematical Finance.
Volume (Year): 14 (2007)
Issue (Month): 5 ()
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Web page: http://taylorandfrancis.metapress.com/link.asp?target=journal&id=100141
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- Balbás, Alejandro & Balbás, Beatriz & Balbás, Raquel, 2010. "CAPM and APT-like models with risk measures," Journal of Banking & Finance, Elsevier, vol. 34(6), pages 1166-1174, June.
- Balbás, Alejandro & Balbás, Beatriz & Balbás, Raquel, 2010. "CAPM and APT-like models with risk measures," Open Access publications from Universidad Carlos III de Madrid info:hdl:10016/12945, Universidad Carlos III de Madrid.
- Daníelsson, Jón & Jorgensen, Bjørn N. & Samorodnitsky, Gennady & Sarma, Mandira & de Vries, Casper G., 2013. "Fat tails, VaR and subadditivity," Journal of Econometrics, Elsevier, vol. 172(2), pages 283-291.
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