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

Hiroshi Konno; Katsuhiro Tanaka; Rei Yamamoto

doi:10.1007/s10589-009-9255-4

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

Hiroshi Konno, Katsuhiro Tanaka, Rei Yamamoto

Research output: Contribution to journal › Article › peer-review

3 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 language	English
Pages (from-to)	199-212
Number of pages	14
Journal	Computational Optimization and Applications
Volume	48
Issue number	2
DOIs	https://doi.org/10.1007/s10589-009-9255-4
Publication status	Published - 2011 Mar
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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10.1007/s10589-009-9255-4

Cite this

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title = "Construction of a portfolio with shorter downside tail and longer upside tail",

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.",

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author = "Hiroshi Konno and Katsuhiro Tanaka and Rei Yamamoto",

note = "Funding Information: Acknowledgements Research of the first author is supported in part by the Grant-in-Aid for Scientific Research B18310109 and 19651070 of the MEXT of Japan.",

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AU - Konno, Hiroshi

AU - Tanaka, Katsuhiro

AU - Yamamoto, Rei

N1 - Funding Information: Acknowledgements Research of the first author is supported in part by the Grant-in-Aid for Scientific Research B18310109 and 19651070 of the MEXT of Japan.

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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

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

Abstract

Keywords

ASJC Scopus subject areas

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