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 language | English |
|---|---|
| Pages (from-to) | 199-212 |
| Number of pages | 14 |
| Journal | Computational Optimization and Applications |
| Volume | 48 |
| Issue number | 2 |
| DOIs | |
| Publication status | Published - 2011 Mar 1 |
| Externally published | Yes |
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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
Cite this
Construction of a portfolio with shorter downside tail and longer upside tail. / Konno, Hiroshi; Tanaka, Katsuhiro; Yamamoto, Rei.
In: Computational Optimization and Applications, Vol. 48, No. 2, 01.03.2011, p. 199-212.Research output: Contribution to journal › Article
}
TY - JOUR
T1 - Construction of a portfolio with shorter downside tail and longer upside tail
AU - Konno, Hiroshi
AU - Tanaka, Katsuhiro
AU - Yamamoto, Rei
PY - 2011/3/1
Y1 - 2011/3/1
N2 - 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.
AB - 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.
KW - 0-1 integer programming
KW - Downside tail
KW - Fractional programming
KW - Modified Rachev ratio
KW - Portfolio optimization
KW - Rachev ratio
KW - Upside tail
UR - http://www.scopus.com/inward/record.url?scp=79956081807&partnerID=8YFLogxK
UR - http://www.scopus.com/inward/citedby.url?scp=79956081807&partnerID=8YFLogxK
U2 - 10.1007/s10589-009-9255-4
DO - 10.1007/s10589-009-9255-4
M3 - Article
AN - SCOPUS:79956081807
VL - 48
SP - 199
EP - 212
JO - Computational Optimization and Applications
JF - Computational Optimization and Applications
SN - 0926-6003
IS - 2
ER -