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

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 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 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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