Minimization of a function of a quadratic functional with application to optimal portfolio selection

DOI10.1007/s10957-015-0856-zzbMath1346.90668OpenAlexW2288285871MaRDI QIDQ306327

Zinoviy Landsman, Udi E. Makov

Publication date: 31 August 2016

Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10957-015-0856-z

zbMATH Keywords

minimizationlinear constraintsportfolio selectionfunction of quadratic functionaltail variance

Mathematics Subject Classification ID

Convex programming (90C25) Normed linear spaces and Banach spaces; Banach lattices (46B99) Linear-quadratic optimal control problems (49N10) Portfolio theory (91G10)

Related Items (4)

Portfolio optimization by a bivariate functional of the mean and variance ⋮ Portfolio optimization with two quasiconvex risk measures ⋮ A simultaneous diagonalization based SOCP relaxation for portfolio optimization with an orthogonality constraint ⋮ Portfolio optimization with two coherent risk measures

Cites Work

• On the tail mean-variance optimal portfolio selection
• Minimization of the root of a quadratic functional under an affine equality constraint
• Minimization of the root of a quadratic functional under a system of affine equality constraints with application to portfolio management
• Translation-invariant and positive-homogeneous risk measures and optimal portfolio management in the presence of a riskless component
• Markowitz Revisited: Mean-Variance Models in Financial Portfolio Analysis
• Tail Variance Premium with Applications for Elliptical Portfolio of Risks
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