Optimal Financial Portfolios

Abstract

We consider classes of reward-risk optimization problems that arise from different choices of reward and risk measures. In certain examples the generic problem reduces to linear or quadratic programming problems. We state an algorithm based on a sequence of convex feasibility problems for the general quasi-concave ratio problem. We also consider reward-risk ratios that are appropriate in particular for non-normal assets return distributions and are not quasi-concave.

Keywords: mean-variance analysis, Sharpe ratio, STARR ratio, Rachev ratio, Conditional value-at-risk, efficient frontier

JEL Classification: C61, G11