Volume 51, Number 4, October-December 2017
|Page(s)||921 - 930|
|Published online||21 November 2017|
A note on optimal portfolio corresponding to the CVaR ratio
Department of Mathematics, Khansar Faculty of Mathematics and Computer Science, Khansar, Iran.
Received: 21 June 2015
Accepted: 28 August 2016
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.
Mathematics Subject Classification: 91G10 / 90C05
Key words: Reward-risk ratio optimization / CVaR ratio / optimal portfolio / linear programming / subderivative
© EDP Sciences, ROADEF, SMAI 2017
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