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Optimal Financial Portfolios

  • S. V. Stoyanov
  • S. T. Rachev
  • F. J. Fabozzi

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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Article provided by Taylor & Francis Journals in its journal Applied Mathematical Finance.

Volume (Year): 14 (2007)
Issue (Month): 5 ()
Pages: 401-436

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Handle: RePEc:taf:apmtfi:v:14:y:2007:i:5:p:401-436
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