Discrete approximation in quantile problem of portfolio selection

被引：0
|
作者：
Kibzun, A [1 ]
Lepp, R [1 ]
机构：
[1] Moscow Inst Aviat Technol, Dept Probabil Theory, Moscow 125871, Russia
来源：
STOCHASTIC OPTIMIZATION: ALGORITHMS AND APPLICATIONS | 2001年 / 54卷
关键词：
portfolio selection; stochastic programming; quantile criterion; value-at-risk; confidence method; discrete approximation; logarithmic strategy; risky strategy; confidence strategy;
D O I：
暂无
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：
The paper deals with the well-known problem concerning the optimal investment. A paradoxical situation which is caused by the choice of the expected return as an optimization criterion is discussed. The quantile problem of the portfolio selection is investigated. Two algorithms based on the confidence method and discrete approximation of the probability measure axe suggested for solution of the quantile problem. Several different algorithms for solving the portfolio optimization problem are compared in an example.
引用
收藏
页码：121 / 135
页数：15
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