Optimal Financial Portfolios

36 Pages Posted: 22 Dec 2010

Date Written: April 27, 2005

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

Suggested Citation

Stoyanov, Stoyan Veselinov and Rachev, Svetlozar and Fabozzi, Frank J., Optimal Financial Portfolios (April 27, 2005). Applied Mathematical Finance, Vol. 14, No. 5, 2007, Available at SSRN: https://ssrn.com/abstract=1729764

Stoyan Veselinov Stoyanov (Contact Author)

Charles Schwab ( email )

101 Montgomery Street (120K-15)
San Francisco, CA 94104
United States

Svetlozar Rachev

Texas Tech University ( email )

Dept of Mathematics and Statistics
Lubbock, TX 79409
United States
631-662-6516 (Phone)

Frank J. Fabozzi

EDHEC Business School ( email )

France
215 598-8924 (Phone)

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