PIECEWISE LINEAR RISK FUNCTION AND PORTFOLIO OPTIMIZATION

DOI10.15807/JORSJ.33.139zbMATH Open0706.90005OpenAlexW570426766WikidataQ89045245 ScholiaQ89045245MaRDI QIDQ3487096FDOQ3487096

Authors: Hiroshi Konno 

Publication date: 1990

Published in: Journal of the Operations Research Society of Japan (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.15807/jorsj.33.139

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zbMATH Keywords

portfolio theoryparametric linear programsquadratic risk functionpiecewise linear risk function

Mathematics Subject Classification ID

Convex programming (90C25) Management decision making, including multiple objectives (90B50) Linear programming (90C05) Applications of mathematical programming (90C90) Portfolio theory (91G10) Sensitivity, stability, parametric optimization (90C31)

Cited In (43)

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• An optimistic value-variance-entropy model of uncertain portfolio optimization problem under different risk preferences
• Linear Optimization in C (Ω) and Portfolio Insurance
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• Portfolio optimization model with transaction costs.
• Equivalence of linear deviation about the mean and mean absolute deviation about the mean objective functions
• The optimal portfolio problem with coherent risk measure constraints.
• Asymmetric risk measures and tracking models for portfolio optimization under uncertainty
• Stochastic constraint programming: A scenario-based approach
• Multiobjective Programming and Multiattribute Utility Functions in Portfolio Optimization
• Goal programming models and their duality relations for use in evaluating security portfolio and regression relations
• Multi objective mean-variance-skewness model with Burg's entropy and fuzzy return for portfolio optimization
• Multiobjective (Combinatorial) optimisation-some thoughts on applications
• Personalized goal-based investing via multi-stage stochastic goal programming
• Uncertain portfolio optimization problem under a minimax risk measure
• Dynamic optimal portfolio with maximum absolute deviation model
• Risk management strategies via minimax portfolio optimization
• Portfolio selection problems with random fuzzy variable returns
• Probability maximization models for portfolio selection under ambiguity
• Equilibrium relations in a capital asset market: A mean absolute deviation approach
• Objective comparisons of the optimal portfolios corresponding to different utility functions
• An integrated stock-bond portfolio optimization model
• A new particle swarm optimization algorithm with an application
• Simulation-based parametric optimization for long-term asset allocation using behavioral utilities
• A mean-absolute deviation-skewness portfolio optimization model
• Mean-risk analysis of risk aversion and wealth effects on optimal portfolios with multiple investment opportunities
• Multi-stage stochastic linear programs for portfolio optimization
• An MCDM approach to portfolio optimization.
• Globalized distributionally robust optimization based on samples
• A modified particle swarm optimization algorithm with applications
• An interactive approach to stochastic programming-based portfolio optimization
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• A stochastic programming approach to multicriteria portfolio optimization
• CVaR-based robust models for portfolio selection
• Heuristics for cardinality constrained portfolio optimization
• Solving mean-VaR portfolio selection model with interval-typed random parameter using interval analysis
• A mixed integer linear programming formulation of the optimal mean/Value-at-Risk portfolio problem
• On extending the LP computable risk measures to account downside risk
• An analytic solution for multi-period uncertain portfolio selection problem
• A new portfolio selection model with interval-typed random variables and the empirical analysis
• Extending the MAD portfolio optimization model to incorporate downside risk aversion
• Portfolio optimization under a minimax rule revisited
• Portfolio optimization using a new probabilistic risk measure

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