Construction of a portfolio with shorter downside tail and longer upside tail

Hiroshi Konno, Katsuhiro Tanaka, Rei Yamamoto

研究成果: Article査読

4 被引用数 (Scopus)

抄録

The purpose of this paper is to propose an algorithm for solving Rachev ratio optimization problem which is intended to construct a portfolio with shorter downside tail and longer upside tail. Moreover, we propose modified Rachev ratio to remove the theoretical flaw of Rachev ratio. Also, we will compare several portfolio models using the market data in Tokyo Stock Exchange.We believe that this paper is of interest to researchers and practitioners in the field of portfolio optimization.

本文言語English
ページ(範囲)199-212
ページ数14
ジャーナルComputational Optimization and Applications
48
2
DOI
出版ステータスPublished - 2011 3月
外部発表はい

ASJC Scopus subject areas

  • 制御と最適化
  • 計算数学
  • 応用数学

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