Back to Search
Start Over
Optimal Financial Portfolios.
- Source :
- Applied Mathematical Finance; Dec2007, Vol. 14 Issue 5, p401-436, 36p, 3 Graphs
- Publication Year :
- 2007
-
Abstract
- The classes of reward-risk optimization problems that arise from different choices of reward and risk measures are considered. In certain examples the generic problem reduces to linear or quadratic programming problems. An algorithm based on a sequence of convex feasibility problems is given for the general quasi-concave ratio problem. Reward-risk ratios that are appropriate in particular for non-normal assets return distributions and are not quasi-concave are also considered. [ABSTRACT FROM AUTHOR]
Details
- Language :
- English
- ISSN :
- 1350486X
- Volume :
- 14
- Issue :
- 5
- Database :
- Complementary Index
- Journal :
- Applied Mathematical Finance
- Publication Type :
- Academic Journal
- Accession number :
- 27949738
- Full Text :
- https://doi.org/10.1080/13504860701255292