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Optimal Financial Portfolios

Author

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

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.

Suggested Citation

  • S. V. Stoyanov & S. T. Rachev & F. J. Fabozzi, 2007. "Optimal Financial Portfolios," Applied Mathematical Finance, Taylor & Francis Journals, vol. 14(5), pages 401-436.
    • Handle: RePEc:taf:apmtfi:v:14:y:2007:i:5:p:401-436
    DOI: 10.1080/13504860701255292
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    References listed on IDEAS

    as
    1. Acerbi Carlo & Simonetti Prospero, 2002. "Portfolio Optimization with Spectral Measures of Risk," Papers cond-mat/0203607, arXiv.org.
    2. Acerbi, Carlo, 2002. "Spectral measures of risk: A coherent representation of subjective risk aversion," Journal of Banking & Finance, Elsevier, vol. 26(7), pages 1505-1518, July.
    Full references (including those not matched with items on IDEAS)

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