no. 4
A note on optimal portfolio corresponding to the CVaR ratio
Keykhaei, Reza1
1 Department of Mathematics, Khansar Faculty of Mathematics and Computer Science, Khansar, Iran.
RAIRO - Operations Research - Recherche Opérationnelle, Tome 51 (2017) no. 4, pp. 921-930.

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.

Reçu le :
Accepté le :
DOI : 10.1051/ro/2016055
Classification : 91G10, 90C05
Mots clés : Reward-risk ratio optimization, CVaR ratio, optimal portfolio, linear programming, subderivative
Keykhaei, Reza 1

1 Department of Mathematics, Khansar Faculty of Mathematics and Computer Science, Khansar, Iran. 
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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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