Robust reward–risk ratio portfolio optimization

DOI10.1111/itor.12652OpenAlexW2922263894MaRDI QIDQ6091880

Aparna Mehra, Ruchika Sehgal

Publication date: 21 November 2023

Published in: International Transactions in Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/itor.12652

zbMATH Keywords

omega ratiocutting plane algorithmrobust portfolio optimizationreward-risk ratioSTARR ratioweighted conditional value at risk

Mathematics Subject Classification ID

Operations research, mathematical programming (90-XX)

Related Items (3)

Model and efficient algorithm for the portfolio selection problem with real‐world constraints under value‐at‐risk measure ⋮ A penalty decomposition algorithm with greedy improvement for mean‐reverting portfolios with sparsity and volatility constraints ⋮ An omega portfolio model with dynamic return thresholds

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