Portfolio Optimization with Reward-Risk Ratio Measure based on the Conditional Value-at-Risk

被引：0
|
作者：
Ogryczak, Wlodzimierz [1 ]
Przyluski, Michal [1 ]
Sliwinski, Tomasz [1 ]
机构：
[1] Warsaw Univ Technol, Inst Control & Computat Engn, PL-00661 Warsaw, Poland
来源：
WORLD CONGRESS ON ENGINEERING AND COMPUTER SCIENCE, WCECS 2015, VOL II | 2015年
关键词：
portfolio optimization; reward-risk ratio; conditional-value-at-risk; linear programming; stochastic dominance; STOCHASTIC-DOMINANCE; SELECTION; MODELS;
D O I：
暂无
中图分类号：
TP301 [理论、方法];
学科分类号：
081202 ;
摘要：
In several problems of portfolio selection the reward-risk ratio criterion is optimized to search for a risky portfolio offering the maximum increase of the mean return, compared to the risk-free investment opportunities. We analyze such a model with the CVaR type risk measure. Exactly the deviation type of risk measure must be used, i.e. the so-called conditional drawdown measure. We analyze both the theoretical properties (SSD consistency) and the computational complexity (LP models).
引用
收藏
页码：913 / +
页数：2
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