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

Hiroshi Konno, Katsuhiro Tanaka, Rei Yamamoto

研究成果: Article

2 引用 (Scopus)

抜粋

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.

元の言語English
ページ(範囲)199-212
ページ数14
ジャーナルComputational Optimization and Applications
48
発行部数2
DOI
出版物ステータスPublished - 2011 3 1
外部発表Yes

ASJC Scopus subject areas

  • Control and Optimization
  • Computational Mathematics
  • Applied Mathematics

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