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

Hiroshi Konno, Katsuhiro Tanaka, Rei Yamamoto

Research output: Contribution to journalArticle

2 Citations (Scopus)

Abstract

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.

Original languageEnglish
Pages (from-to)199-212
Number of pages14
JournalComputational Optimization and Applications
Volume48
Issue number2
DOIs
Publication statusPublished - 2011 Mar 1
Externally publishedYes

Keywords

  • 0-1 integer programming
  • Downside tail
  • Fractional programming
  • Modified Rachev ratio
  • Portfolio optimization
  • Rachev ratio
  • Upside tail

ASJC Scopus subject areas

  • Control and Optimization
  • Computational Mathematics
  • Applied Mathematics

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