Quantile Portfolio Optimization Under Risk Measure Constraints

被引：0
|
作者：
Luis D. Cahuich
Daniel Hernández-Hernández
机构：
[1] BBVA Bancomer,
[2] Centro de Investigación en Matemáticas,undefined
来源：
Applied Mathematics & Optimization | 2013年 / 68卷
关键词：
Quantile function; Portfolio optimization; Risk quantification;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
This paper analyzes the problem of optimal portfolio choice with budget and risk constraints. The problem is formulated in terms of quantile functions and the risk is quantified through a large family of coherent risk measures. The solution is obtained analyzing the problem without constraints using Lagrange multipliers, getting a unique solution to the optimization problem.
引用
收藏
页码：157 / 179
页数：22
相关论文
共 50 条
  • [1] Quantile Portfolio Optimization Under Risk Measure Constraints
    Cahuich, Luis D.
    Hernandez-Hernandez, Daniel
    [J]. APPLIED MATHEMATICS AND OPTIMIZATION, 2013, 68 (02): : 157 - 179
  • [2] Portfolio optimization under l(infinity) risk measure
    Cai, X
    Teo, KL
    Yang, XQ
    Zhou, XY
    [J]. PROCEEDINGS OF THE 35TH IEEE CONFERENCE ON DECISION AND CONTROL, VOLS 1-4, 1996, : 3682 - 3687
  • [3] PORTFOLIO OPTIMIZATION UNDER A QUANTILE HEDGING CONSTRAINT
    Bouveret, Geraldine
    [J]. INTERNATIONAL JOURNAL OF THEORETICAL AND APPLIED FINANCE, 2018, 21 (07)
  • [4] Uncertain portfolio optimization problem under a minimax risk measure
    Li, Bo
    Sun, Yufei
    Aw, Grace
    Teo, Kok Lay
    [J]. APPLIED MATHEMATICAL MODELLING, 2019, 76 : 274 - 281
  • [5] Portfolio Optimization with Upper Bounds Under a l∞ Risk Measure
    Dai, Yingying
    [J]. 2019 16TH INTERNATIONAL CONFERENCE ON SERVICE SYSTEMS AND SERVICE MANAGEMENT (ICSSSM2019), 2019,
  • [6] The use of the tail dependence function for high quantile risk measure analysis: an application to portfolio optimization
    Salazar Flores, Yuri
    Diaz Hernandez, Adan
    Alberto Quezada-Tellez, Luis
    Nolasco Jauregui, Oralia
    [J]. APPLIED ECONOMICS, 2023, 55 (37) : 4289 - 4303
  • [7] Multi-period portfolio optimization under probabilistic risk measure
    Sun, Yufei
    Aw, Grace
    Teo, Kok Lay
    Zhu, Yanjian
    Wang, Xiangyu
    [J]. FINANCE RESEARCH LETTERS, 2016, 18 : 60 - 66
  • [8] The optimal portfolio problem with coherent risk measure constraints
    Benati, S
    [J]. EUROPEAN JOURNAL OF OPERATIONAL RESEARCH, 2003, 150 (03) : 572 - 584
  • [9] DYNAMIC INVESTMENT PORTFOLIO OPTIMIZATION UNDER CONSTRAINTS
    Dombrovskii, V. V.
    Dombrovskii, D., V
    Lyashenko, E. A.
    [J]. VESTNIK TOMSKOGO GOSUDARSTVENNOGO UNIVERSITETA-UPRAVLENIE VYCHISLITELNAJA TEHNIKA I INFORMATIKA-TOMSK STATE UNIVERSITY JOURNAL OF CONTROL AND COMPUTER SCIENCE, 2008, 2 (01): : 13 - 17
  • [10] A double objective portfolio optimization: The approach and model under the standardized risk measure
    Li, P
    Li, CL
    [J]. PROCEEDINGS OF THE 2004 INTERNATIONAL CONFERENCE ON MANAGEMENT SCIENCE & ENGINEERING, VOLS 1 AND 2, 2004, : 504 - 510
12345