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 |
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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Cite this
Konno, H., Tanaka, K., & Yamamoto, R. (2011). Construction of a portfolio with shorter downside tail and longer upside tail. Computational Optimization and Applications, 48(2), 199-212. https://doi.org/10.1007/s10589-009-9255-4