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://www.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://www.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://www.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://www.numdam.org/articles/10.1051/ro/2016055/
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