Various reward-risk performance measures and ratios have been considered in reward-risk portfolio selection problems. This paper investigates the optimal portfolio corresponding to the CVaR (STARR) ratio. Considering the LP solvability of CVaR, a method is proposed for detecting the optimal portfolio by using the corresponding Mean-CVaR optimization problem. By applying LP tools, a method is suggested for producing the optimal portfolio as a by-product during the procedure of computing the efficient frontier of the Mean-CVaR problem.
Accepté le :
DOI : 10.1051/ro/2016055
Mots clés : Reward-risk ratio optimization, CVaR ratio, optimal portfolio, linear programming, subderivative
@article{RO_2017__51_4_921_0,
author = {Keykhaei, Reza},
title = {A note on optimal portfolio corresponding to the {CVaR} ratio},
journal = {RAIRO - Operations Research - Recherche Op\'erationnelle},
pages = {921--930},
publisher = {EDP-Sciences},
volume = {51},
number = {4},
year = {2017},
doi = {10.1051/ro/2016055},
mrnumber = {3783927},
zbl = {1408.91197},
language = {en},
url = {http://archive.numdam.org/articles/10.1051/ro/2016055/}
}
TY - JOUR AU - Keykhaei, Reza TI - A note on optimal portfolio corresponding to the CVaR ratio JO - RAIRO - Operations Research - Recherche Opérationnelle PY - 2017 SP - 921 EP - 930 VL - 51 IS - 4 PB - EDP-Sciences UR - http://archive.numdam.org/articles/10.1051/ro/2016055/ DO - 10.1051/ro/2016055 LA - en ID - RO_2017__51_4_921_0 ER -
%0 Journal Article %A Keykhaei, Reza %T A note on optimal portfolio corresponding to the CVaR ratio %J RAIRO - Operations Research - Recherche Opérationnelle %D 2017 %P 921-930 %V 51 %N 4 %I EDP-Sciences %U http://archive.numdam.org/articles/10.1051/ro/2016055/ %R 10.1051/ro/2016055 %G en %F RO_2017__51_4_921_0
Keykhaei, Reza. A note on optimal portfolio corresponding to the CVaR ratio. RAIRO - Operations Research - Recherche Opérationnelle, Tome 51 (2017) no. 4, pp. 921-930. doi : 10.1051/ro/2016055. http://archive.numdam.org/articles/10.1051/ro/2016055/
and , Bicriteria Transportation Problem. Manag. Sci. 25 (1979) 73–78. | DOI | MR | Zbl
, , and , Thinking coherently. Risk 10 (1997) 68–71.
, , and , Coherent measure of risk. Math. Finance 9 (1999) 203–228. | DOI | MR | Zbl
M.S. Bazaraa, J.J. Jarvis and H.D. Sherali, Linear Programming and Network Flows. John Wiley & Sons, New York (2005). | MR
, , and , Different approaches to risk estimation in portfolio theory. J. Portfolio Manag. 31 (2004) 103–112. | DOI
and , Tangency portfolios in the LP solvable portfolio selection models. RAIRO: OR 46 (2012) 149–158. | DOI | Numdam | Zbl
, Portfolio Selection. J. Finance 7 (1952) 77–91.
D. Martin, S. Rachev and F. Siboulet, Phi-alpha Optimal Portfolios and Extreme Risk Management. Wilmott Mag. Finance (2003) 70–83.
G.C. Pflug, Some Remarks on the Value-at-Risk and the Conditional Value-at-Risk, in Probabilistic Constrained Optimization: Methodology and Applications, edited by S. Uryasev. Kluwer (2000) 272–281. | MR | Zbl
, , and , Momentum strategies using reward-risk stock selection criteria. J. Banking Finance 31 (2007) 2325–2346. | DOI
and , Optimization of Conditional Value-at-Risk. J. Risk 2 (2000) 21–41. | DOI
and , Conditional value-at-risk for general loss distributions. J. Bank. Finance 26 (2002) 1443–1471. | DOI
, Mutual funds performance. J. Business 39 (1966) 119–138. | DOI
, The Sharpe ratio. J. Portfolio Manag. 21 (1994) 49–58. | DOI
, and , Optimal financial portfolios. Appl. Math. Finance 14 (2007) 403–438. | DOI | MR | Zbl
, Liquidity Preference as a Behavior Towards Risk. Rev. Econ. Stud. 25 (1958) 65–86. | DOI
, A Note on Calculating the Optimal Risky Portfolio. Finance Stoch. 5 (2001) 413–417. | DOI | MR | Zbl
, and , Min-max robust CVaR robust mean-variance portfolios. J. Risk 11 (2009) 55–85. | DOI
Cité par Sources :
