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RAROC in portfolio optimization

Author

Listed:
  • Panagiotis Xidonas

    (Department of Finance, ESSCA, Paris, France)

  • Christos E. Kountzakis

    (#x2020;Department of Mathematics, University of the Aegean, Karlovassi, GR-83200 Samos, Greece)

  • Christis Hassapis

    (#x2021;Department of Economics, University of Cyprus, Cyprus)

  • Christos Staikouras

    (#xA7;Department of Accounting and Finance, Athens University of Economics and Business, Greece)

Abstract

In this paper, we provide the implications of using the performance ratio being defined by the expected shortfall-well known as RAROC-in static portfolio optimization, by giving the proof of the relevant results. We also use RAROC as a primary function in the AUGMECON algorithm, providing the main scheme of such an application on data from Athens Stock Exchange. The use of RAROC in AUGMECON as a primary function is also faced as an optimization problem under a general nonconvex optimization framework.

Suggested Citation

  • Panagiotis Xidonas & Christos E. Kountzakis & Christis Hassapis & Christos Staikouras, 2016. "RAROC in portfolio optimization," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 3(03), pages 1-14, September.
    • Handle: RePEc:wsi:ijfexx:v:03:y:2016:i:03:n:s2424786316500225
    DOI: 10.1142/S2424786316500225
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    References listed on IDEAS

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