Asymmetric risk measures and tracking models for portfolio optimization under uncertainty

DOI10.1007/BF02282047zbMath0785.90013OpenAlexW2046125775MaRDI QIDQ1313152

Alan J. King

Publication date: 26 January 1994

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf02282047

zbMATH Keywords

portfolio optimizationlocal quadratic approximationasymmetric risklower partial momentspiecewise linear-quadratic risk measurestracking model

Mathematics Subject Classification ID

Applications of mathematical programming (90C90) Quadratic programming (90C20) Stochastic programming (90C15) Portfolio theory (91G10)

Related Items (16)

Mean and median-based nonparametric estimation of returns in mean-downside risk portfolio frontier ⋮ Global portfolio construction with emphasis on conflicting corporate strategies to maximize stockholder wealth ⋮ Portfolio optimization of financial commodities with energy futures ⋮ Challenges in stochastic programming ⋮ A new method for mean-variance portfolio optimization with cardinality constraints ⋮ Dynamic Tracking Error with Shortfall Control Using Stochastic Programming ⋮ Portfolio optimization and marginal contribution to risk on multivariate normal tempered stable model ⋮ Portfolio optimization for wealth-dependent risk preferences ⋮ Robust scenario optimization based on downside-risk measure for multi-period portfolio selection ⋮ Equilibria in the capital market with non-homogeneous investors ⋮ On-line portfolio selection using stochastic programming ⋮ Multistage quadratic stochastic programming ⋮ Continuity and Stability of a Quadratic Mixed-Integer Stochastic Program ⋮ Hedging exotic derivatives through stochastic optimization ⋮ Volatility versus downside risk: performance protection in dynamic portfolio strategies ⋮ Equivalence of linear deviation about the mean and mean absolute deviation about the mean objective functions

Uses Software

• OSL

Cites Work

• Scenario optimization
• PIECEWISE LINEAR RISK FUNCTION AND PORTFOLIO OPTIMIZATION
• Linear‐quadratic efficient frontiers for portfolio optimization
• Risk Aversion in the Small and in the Large
• Robust Statistics

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