A risk measure in a portfolio selection problem is linear programming (LP) solvable, if it has a linear formulation when the asset returns are represented by discrete random variables, i.e., they are defined by their realizations under specified scenarios. The efficient frontier corresponding to an LP solvable model is a piecewise linear curve. In this paper we describe a method which realizes and produces a tangency portfolio as a by-product during the procedure of tracing out of the efficient frontier of risky assets in an LP solvable model, when our portfolio contains some risky assets and a riskless asset, using nonsmooth optimization methods. We show that the test of finding the tangency portfolio can be limited only for two portfolios. Also, we describe that how this method can be employed to trace out the efficient frontier corresponding to a portfolio selection problem in the presence of a riskless asset.
Mots clés : linear programming, lp solvable portfolio selection models, subgradient, tangency portfolio, Aneja-Nair method
@article{RO_2012__46_2_149_0, author = {Keykhaei, Reza and Jahandideh, Mohamad Taghi}, title = {Tangency portfolios in the {LP} solvable portfolio selection models}, journal = {RAIRO - Operations Research - Recherche Op\'erationnelle}, pages = {149--158}, publisher = {EDP-Sciences}, volume = {46}, number = {2}, year = {2012}, doi = {10.1051/ro/2012012}, zbl = {1248.90062}, language = {en}, url = {http://www.numdam.org/articles/10.1051/ro/2012012/} }
TY - JOUR AU - Keykhaei, Reza AU - Jahandideh, Mohamad Taghi TI - Tangency portfolios in the LP solvable portfolio selection models JO - RAIRO - Operations Research - Recherche Opérationnelle PY - 2012 SP - 149 EP - 158 VL - 46 IS - 2 PB - EDP-Sciences UR - http://www.numdam.org/articles/10.1051/ro/2012012/ DO - 10.1051/ro/2012012 LA - en ID - RO_2012__46_2_149_0 ER -
%0 Journal Article %A Keykhaei, Reza %A Jahandideh, Mohamad Taghi %T Tangency portfolios in the LP solvable portfolio selection models %J RAIRO - Operations Research - Recherche Opérationnelle %D 2012 %P 149-158 %V 46 %N 2 %I EDP-Sciences %U http://www.numdam.org/articles/10.1051/ro/2012012/ %R 10.1051/ro/2012012 %G en %F RO_2012__46_2_149_0
Keykhaei, Reza; Jahandideh, Mohamad Taghi. Tangency portfolios in the LP solvable portfolio selection models. RAIRO - Operations Research - Recherche Opérationnelle, Tome 46 (2012) no. 2, pp. 149-158. doi : 10.1051/ro/2012012. http://www.numdam.org/articles/10.1051/ro/2012012/
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