A NOTE ON OPTIMAL PORTFOLIO CORRESPONDING TO THE CVAR RATIO

被引：0
|
作者：
Keykhaei, Reza [1 ]
机构：
[1] Khansar Fac Math & Comp Sci, Dept Math, Khansar, Iran
来源：
RAIRO-OPERATIONS RESEARCH | 2017年 / 51卷 / 04期
关键词：
Reward-risk ratio optimization; CVaR ratio; optimal portfolio; linear programming; subderivative; RISK;
D O I：
10.1051/ro/2016055
中图分类号：
C93 [管理学]; O22 [运筹学];
学科分类号：
070105 ; 12 ; 1201 ; 1202 ; 120202 ;
摘要：
Various reward-risk performance measures and ratios have been considered in reward-risk portfolio selection problems. This paper investigates the optimal portfolio corresponding to the CVaR (STARR) ratio. Considering the LP solvability of CVaR, a method is proposed for detecting the optimal portfolio by using the corresponding Mean-CVaR optimization problem. By applying LP tools, a method is suggested for producing the optimal portfolio as a by-product during the procedure of computing the efficient frontier of the Mean-CVaR problem.
引用
收藏
页码：921 / 930
页数：10
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