A note on optimal portfolio corresponding to the CVaR ratio

DOI10.1051/ro/2016055zbMath1408.91197OpenAlexW2518499780MaRDI QIDQ4578150

Reza Keykhaei

Publication date: 8 August 2018

Published in: RAIRO - Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1051/ro/2016055

zbMATH Keywords

linear programmingoptimal portfoliosubderivativeCVaR ratioreward-risk ratio optimization

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Linear programming (90C05) Portfolio theory (91G10)

Cites Work

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• Coherent Measures of Risk
• Tangency portfolios in the LP solvable portfolio selection models
• Bicriteria Transportation Problem
• Optimal Financial Portfolios
• A note on calculating the optimal risky portfolio

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