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
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